Top of Book

What is this CSV for?

A CSV file of tick-level updates of the best bid and best ask on an order book (quotes).

File structure details

File Structure Details

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

  • Files are generated on a daily basis.

  • example: bw_btcusdt_2023-05-02.csv

• Cut-off time: 00:00:00 UTC

  • We use the timestamp when exchanges send the top of book data points through websocket in order to cut-off the data points between days.

• Column Delimeter: , (comma)

• Decimal Mark (in numbers): . (dot)

Column	Description	Example
ts_exchange	Timestamp when the exchanges send the data. In the epoch format.	1661990400274591751
ts_collection	Timestamp when we collect the data. In the epoch format.	1661990400274591751
exchange	Exchange code. See Exchanges	binc
class	The instrument class of the instrument	1676246400344
symbol	Kaiko identifier for the instrument	21779.5
type	a stands for ask, while b stands for bid. Tells which side has an update on price or size	a
price	Price displayed in quote currency	20289.2
size	Limit order size of the quotes	0.8