Access
Product specifications
- T_DEPTH (Tick-Level Orderbook): Tick-by-tick order book (level 2), directly fetched from our API and WSS different depth streams, with data gaps.
- S_DEPTH (Order book snapshot): Data starts from 2020-01, order book snapshot (level 2). This is a temp data solution only for BTCUSDT at the moment, providing a 2-level order book snapshot for the BTCUSDT symbol only.
- T_DEPTH_BACKFILL (Tick-Level Orderbook backfill): Tick-by-tick order book (level 2). T_DEPTH backfilled with internal logs had stopped producing since mid-July 2021.
T_DEPTH
Field | Description |
symbol | Both COIN-M and USDⓈ-M Futures symbols are supported (queried through different symbols, for example: 'BTCUSDT', 'BTCUSD_200925') |
time | Transaction time in timestamp. From 2020/07/01 to the current date. For newly launched symbols , start from the launch date. |
first_update_id | - |
last_update_id | - |
pu | Last_update_id of the previous row, which helps examine completeness. Only applicable to COIN-M Futures depth update (not orderbook snapshot). |
side | a = ask (Sell order) b = bid (Buy order) |
update_type | snap = for order book snapshot only set = set price level to the current qty (not delta) delta = qty change of the price level (delta) |
price | - |
qty | - |
symbol | timestamp | first_update_id | last_update_id | pu | side | update_type | price | qty |
BTCUSDT | 1593647999921 | 39538108420 | 39538108420 | 39538108419 | a | set | 9235.09 | 0 |
BTCUSDT | 1593647999933 | 39538108444 | 39538108444 | 39538108420 | a | set | 9236.04 | 0.852 |
BTCUSDT | 1593647999954 | 39538108472 | 39538108472 | 39538108444 | b | set | 9219.67 | 0 |
BTCUSDT | 1593647999983 | 39538108497 | 39538108497 | 39538108472 | a | set | 9236.04 | 0.912 |
BTCUSDT | 1593647999983 | 39538108498 | 39538108498 | 39538108497 | a | set | 9235.11 | 0 |
S_DEPTH
Field | Description |
symbol | Both COIN-M and USDⓈ-M Futures symbols are supported (queried through different symbols, for example: 'BTCUSDT', 'BTCUSD_200925') |
time | Transaction time in timestamp. From 2020/07/01 to the current date. For newly launched symbols , start from the launch date. |
first_update_id | - |
last_update_id | - |
pu | Last_update_id of the previous row which helps examine completeness. Only applicable to COIN-M Futures depth update (not order book snapshot). |
side | a = ask (Sell order) b = bid (Buy order) |
update_type | snap = for order book snapshot only set = set price level to the current qty (not delta) delta = qty change of the price level (delta) |
price | - |
qty | - |
Sample Data
symbol | timestamp | first_update_id | last_update_id | side | update_type | price | qty |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | a | snap | 20.487 | 551 |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | a | snap | 20.488 | 404 |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | a | snap | 20.489 | 229 |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | b | snap | 20.485 | 866 |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | b | snap | 20.485 | 298 |
- T_DEPTH (Tick-level order book): Tick-by-tick order book (level 2), generated from matching engine internal logs, no data gaps.
- S_DEPTH (Order book snapshot): order book snapshot (level 2); snapshot update for each minute on all depth for every symbol.
T_DEPTH
Field | Description |
symbol | Both COIN-M and USDⓈ-M Futures symbols are supported (queried through different symbols, for example: 'BTCUSDT', 'BTCUSD_200925') |
time | Transaction time in timestamp. From 2020/07/01 to the current date. For newly launched symbols , start from the launch date. |
first_update_id | - |
last_update_id | - |
trans_id | Transaction id in matching engine, for each trans_id, there might be update on multiples orderbook price level |
side | a = ask (Sell order) b = bid (Buy order) |
update_type | snap = for order book snapshot only set = set price level to the current qty (not delta) |
price | - |
qty | - |
symbol | timestamp | first_update_id | last_update_id | side | update_type | price | qty | trans_id |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | a | snap | 20.487 | 551 | 232143412 |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | a | snap | 20.488 | 404 | 232143423 |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | a | snap | 20.489 | 229 | 232143415 |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | b | snap | 20.485 | 866 | 232143419 |
SOLUSDT | 1685663989004 | 2903022136846 | 2903022136846 | b | snap | 20.485 | 298 | 243215125 |
symbol | timestamp | first_update_id | last_update_id | side | update_type | price | qty | trans_id |
SOLUSDT | 1685577589191 | 2899807690957 | 2899807690957 | b | set | 20.611 | 201 | 232143412 |
SOLUSDT | 1685577589191 | 2899807690963 | 2899807690963 | b | set | 20.542 | 124 | 232143423 |
SOLUSDT | 1685577589193 | 2899807690982 | 2899807690982 | a | set | 20.952 | 116 | 232143415 |
SOLUSDT | 1685577589193 | 2899807690990 | 2899807690990 | a | set | 21.021 | 35 | 232143419 |
SOLUSDT | 2899807690990 | 2899807690994 | 2899807690994 | b | set | 20.678 | 1476 | 243215125 |
S_DEPTH
Field | Description |
symbol | Both COIN-M and USDⓈ-M Futures symbols are supported (queried through different symbols, for example: 'BTCUSDT', 'BTCUSD_200925') |
timestamp | Transaction time in timestamp. From 2020/07/01 to the current date. For newly launched symbols , start from the launch date. |
update_id | Last update |
side | a = ask (Sell order) b = bid (Buy order) |
price | - |
qty | - |
timestamp | update_id | symbol | side | price | qty |
1693785660000 | 3230886649408 | BTCUSDT | a | 27414.3 | 0.003 |
1693785660000 | 3230886649408 | BTCUSDT | a | 26318.5 | 0.001 |
1693785660000 | 3230889577102 | BTCUSDT | a | 26067.7 | 1.394 |
1693785660000 | 3230886649408 | BTCUSDT | a | 28825 | 0.007 |
1693785660000 | 3230886649408 | BTCUSDT | a | 37232.1 | 0.001 |
1693785660000 | 3230886649408 | BTCUSDT | a | 26949.2 | 0.004 |
1693785660000 | 3230886649408 | BTCUSDT | b | 22357.5 | 0.005 |
1693785660000 | 3230886649408 | BTCUSDT | b | 10390.5 | 0.002 |
When does the data get updated?
How to download the historical Futures order book level 2 data via API?
How to obtain the Futures order book data via API?
Symbol | Type | Mandatory | Note |
symbol | STRING | YES | support USDⓈ-M and COIN-M Futures symbols |
startTime | LONG | YES | If no startTime, default endTime to time - 7 days |
endTime | LONG | YES | If no endTime, default to the current time |
dataType | ENUM | YES | S_DEPTH / T_DEPTH |
rectWindow | LONG | NO | - |
timestamp | LONG | YES | - |