Level 2 Aggregations

Data descriptions

  • 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.

  • 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.

  • 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.

  • 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.

  • 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.

  • 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 exchange's order book to 10% depth. Used to build your own custom level 2 aggregations. The snapshot is produced every 30 seconds.

  • 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.

  • Tokens in a liquidity pool (uniswap only) - The total total value locked (TVL) in a uniswap liquidity pool.

  • Interest rates, borrowed and deposited amounts - Block-by-block supply and times series for supply and borrow interest rates.

Data details

Data / channel
Historical data
Live?
Granularity
Coverage
Docs link

Market depth Bid ask spread Price slippage

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REST API

1-month rolling

No

At least one snapshot per minute.

Raw order book snapshot

AWS, Azure, Google Cloud Platform

Varies per exchange. Data from 2015.

No

At least one snapshot per minute. New CSV once day.

BigQuery, Snowflake

Varies per exchange. Data from 2015.

No

At least one snapshot per minute. Data refreshes once a day.

Tokens in a liquidity pool

Interest rates, borrowed and deposited amounts

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