Bids and asks
What is this CSV for?
Bids and asks is commonly referred to as a "Raw Order Book". This CSV shows all bids and asks from an exchange's order book at a specific point in time. The snapshots are produced every 30 seconds.
File structure details
File Name: [kaiko_legacy_slug]_[instrument_symbol]_[date].csv
Files are created on a daily basis.
example: oe_btcusdt_2023-05-30.csv
Cut-off time:
00:00:00 UTC
We use the timestamp when we send the Orderbook snapshot REST API requests to exchanges in order to cut-off the data points between days.
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)
Column | Description | Example |
---|---|---|
| The timestamp when we send the REST API requests to exchanges in Unix Timestamp (in milliseconds) |
|
| Type(side) of the limit orders on the orderbook snapshot. a: ask. b: bid. |
|
| Quoted price |
|
| Amount of limit orders at the specific price (can be in base_asset, quote_asset or the number of contracts). |
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