Top of Book
Last updated
Last updated
A CSV file of tick-level updates of the best bid and best ask on an order book (quotes).
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
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
Exchange code.
See