Trade Count, OHLCV & VWAP

What is this CSV for?

This CSV offers the trade count, OHLCV and VWAP history for an instrument on an exchange.

File structure details

• The time granularity that we provide through CSV files is 1min, 5min, 10min, 15min and 30min for monthly grouped CSV files, while 1hour, 4hour and 1day for yearly grouped CSV files.

• File Name: [kaiko_legacy_slug]_[data_feed_code]_cohlcvwap_[time_granularity]_[date].csv

  • Files are created on a daily basis, but complete as a month or year ends

  • example: bw_btcusdt_perp_cohlcvwap_5m_2023_02.csv, bw_atomusdt_perp_cohlcvwap_1h_2023.csv

• Cut-off datetime:

  • Monthly grouped files: The mid-night of the last day of the month

  • Yearly grouped files: The mid-night of the last day of the year

• Column Delimeter: , (comma)

• Decimal Mark (in numbers): . (dot)

• There are no column headers in the CSV files, so I will present the columns in order from left to right.

Column	Description	Example
timestamp	The starting timestamp of the time interval, expressed in Unix Timestamp (in milliseconds)	1672531200000
count	Then number of trades. 0 when no trades reported.	321
open	Opening price of interval. null when no trades reported.	0.4935
high	Highest price during interval. null when no trades reported.	0.4951
low	Lowest price during interval. null when no trades reported.	0.4911
close	Closing price of interval. null when no trades reported.	0.4939
volume	Volume traded in interval. 0 when no trades reported.	62.32
price	The volume weighted price during the time interval. null when no trades reported.	0.4945