Trade Count, OHLCV Candlesticks & 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
and30min
for monthly grouped CSV files, while1hour
,4hour
and1day
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 |
---|---|---|
| The starting timestamp of the time interval, expressed in Unix Timestamp (in milliseconds) |
|
| Then number of trades. 0 when no trades reported. |
|
| Opening price of interval. null when no trades reported. |
|
| Highest price during interval. null when no trades reported. |
|
| Lowest price during interval. null when no trades reported. |
|
| Closing price of interval. null when no trades reported. |
|
| Volume traded in interval. 0 when no trades reported. |
|
| The volume weighted price during the time interval. |
|
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