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 |
---|---|---|
| Timestamp when the exchanges send the data. In the epoch format. |
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| Timestamp when we collect the data. In the epoch format. |
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| The instrument class of the instrument |
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| Kaiko identifier for the instrument |
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| Price displayed in quote currency |
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| Limit order size of the quotes |
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