Level 2 Aggregations
Market depth (snapshot)
The number of orders at each price level either side of the mid price of an order book. The higher the order volume, the deeper and more liquid the market is. Shown as a point-in-time view generated every 30 seconds.
Historical data: 1-month rolling
Live data: No
Granularity: At least one snapshot per minute.
Coverage: See Spot markets - centralized and Derivatives markets - centralized
Market depth (aggregation)
The number of orders at each price level either side of the mid price of an order book. The higher the order volume, the deeper and more liquid the market is. Shown as an aggregation of all 30-second snapshots from the period requested.
Historical data: 1-month rolling
Live data: No
Granularity: An aggregation of all snapshots from the requested period.
Coverage: See Spot markets - centralized and Derivatives markets - centralized
Bid-ask spread (aggregation)
The difference between the best bid and the best ask on an instrument’s order book is an indicator of liquidity.
Historical data: 1-month rolling
Live data: No
Granularity: An aggregation of all snapshots from the requested period.
Coverage: See Spot markets - centralized and Derivatives markets - centralized
Price slippage (snapshot)
The difference between the expected price for a trade and the executed price. High slippage can be a sign of low liquidity on the exchange. Shown as a point-in-time view generated every 30 seconds.
Historical data: 1-month rolling
Live data: No
Granularity: At least one snapshot per minute.
Coverage: See Spot markets - centralized and Derivatives markets - centralized
Price slippage (aggregation)
The difference between the expected price for a trade and the executed price. High slippage can be a sign of low liquidity on the exchange. Shown as an aggregation of all 30-second snapshots from the period requested.
Historical data: 1-month rolling
Live data: No
Granularity: An aggregation of all snapshots from the requested period.
Coverage: See Spot markets - centralized and Derivatives markets - centralized
Interest rates, borrowed and deposited amounts
Block-by-block supply and times series for supply and borrow interest rates.
Historical data: Since Genesis
Live data: Yes
Granularity: Tick-level
Coverage: See Lending and borrowing protocols
Tokens in a liquidity pool
The total total value locked (TVL) in a liquidity pool, as well as the unit of tokens available. A large number suggests the pool can handle large trades while maintaining low slippage.
Historical data: Since Genesis
Live data: Yes
Granularity: Block-by-block
Coverage: See Spot markets - decentralized
Methodology: Download here.
Tokens in a liquidity pool (uniswap only)
Historical data: Since Genesis
Live data: Yes
Granularity: Block-by-block
Coverage: Uniswap only. See - Spot markets - decentralized
Methodology: Download here.
Raw order book snapshot
The raw data on which our Level 2 Aggregations such as market depth , bid/ask spread, and price slippage are built. Details a point-in-time view of the bids and asks on an exhange's order book to 10% depth. Used to build your own custom level 2 aggregations. The snapshot is produced every 30 seconds.
Historical data: 1-month rolling
Live data: No
Granularity: At least one snapshot per minute.
Coverage: See Spot markets - centralized and Derivatives markets - centralized
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