Order Book Snapshot (Full)

What is this CSV for?

The full snapshot delivers a view of an exchange's order book at a specific point in time. These are produced every 30 seconds. The "full" snapshot returns the following metrics for the specific point-in time:

  • All bids

  • All asks

  • Market Depth

  • Price Slippage

  • Bid-ask Spread

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)

ColumnDescriptionExample

date

The timestamp when we send the REST API requests to exchanges in Unix Timestamp (in milliseconds)

1676246400344

type

Type(side) of the limit orders on the orderbook snapshot. a: ask. b: bid.

a

price

Quoted price

21779.5

amount

Amount of limit orders at the specific price (can be in base_asset, quote_asset or the number of contracts).

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