Kaiko, a provider of crypto-asset data, today announced the launch of its historical tick-by-tick order book data product. This data will initially be available for Coinbase, Bitstamp, and Bitfinex, providing the ability to replicate historical market states at tick-level precision.
This data type is designed for professional traders and researchers with a strong understanding of market dynamics and experience working with big data. Tick-level order books include every changed, added, or removed bid and ask to an order book, enabling traders to reconstruct market states at any given time and playback all changes (commonly referred to as ‘deltas’ or ‘incremental updates’) to the order book.
The tick-by-tick data type complements Kaiko’s existing order book snapshot data product. Tick-level order books offer more precision, enabling traders and researchers to better project market demand and support, simulate entries and exits, identify order imbalances, train machine learning algorithms, search for arbitrage opportunities, determine order fill probabilities, and more.
Technical Product Details:
- Precision: The first version of this product will be ticks at Level 3 precision, comprising non-aggregated bids and asks.
- Coverage: BTC-USD and ETH-USD on Coinbase, Bitstamp, and Bitfinex.
- Collection: Began collecting data on May 21 from exchanges’ WebSocket data feeds.
- File Structure: Each individual data packet is stored in rows in compressed .csv files. One file is generated per day for both tick updates (called “events”) and snapshots (taken once per hour).
- Delivery: Files for both “events” and “snapshots” are delivered through either AWS or GCP. Kaiko can configure weekly delivery so that once per week, the previous week’s worth of L3 order book data is automatically pushed to users’ cloud bucket.
“We will be providing tick-level order books for free for the first few weeks in order to receive feedback and perfect the product. We can provide individual data samples or set-up a full trial of the service with weekly pushes of historical data. We are eager for any and all feedback, including any comments about our data formatting, details about your use case, additional exchanges to begin collection for, etc.”
– The Kaiko Team
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