Trade Count

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 and 30min for monthly grouped CSV files, while 1hour, 4hour and 1day 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.

ColumnDescriptionExample

timestamp

The starting timestamp of the time interval, expressed in Unix Timestamp (in milliseconds)

1672531200000

count

Then number of trades. 0 when no trades reported.

321

open

Opening price of interval. null when no trades reported.

0.4935

high

Highest price during interval. null when no trades reported.

0.4951

low

Lowest price during interval. null when no trades reported.

0.4911

close

Closing price of interval. null when no trades reported.

0.4939

volume

Volume traded in interval. 0 when no trades reported.

62.32

vwap

The volume weighted price during the time interval. null when no trades reported.

0.4945

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