S3
Spot Market Data (S3)
| Feature Type | Sample Files |
|---|---|
| OHLCV | Minutely • Hourly • Daily |
| Order Book Snapshots | Download |
| Order Book Events | Download |
| Tickers | Download |
| Trades | Download |
Futures Market Data (S3)
| Feature Type | Sample Files |
|---|---|
| Funding Rates | Download |
| Insurance Funds | Download |
| Liquidations | Download |
| Long/Short Ratio | Minutely • Hourly • Daily |
| OHLCV | Minutely • Hourly • Daily |
| Open Interest | Download |
| Order Book Snapshots | Download |
| Order Book Events | Download |
| Tickers | Download |
| Trades | Download |
Options Market Data (S3)
| Feature Type | Sample Files |
|---|---|
| Liquidations | Download |
| OHLCV | Minutely • Hourly • Daily |
| Open Interest | Download |
| Order Book Snapshots | Download |
| Order Book Updates | Download |
| Tickers | Download |
| Trades | Download |
Snowflake Tables
All Snowflake tables are versioned. Below are the latest available versions.Spot (Snowflake)
Available in theMARKET_SPOT schema.
| Feature Type | Snowflake Table Name |
|---|---|
| OHLCV (daily) | OHLCV_DAILY_V1 |
| OHLCV (hourly) | OHLCV_HOURLY_V1 |
| OHLCV (minutely) | OHLCV_MINUTELY_V1 |
| Order Book Events | ORDER_BOOK_EVENT_V1 |
| Order Book Snapshots | ORDER_BOOK_SNAPSHOTT_V1 |
| Tickers | TICKER_V1 |
| Trades | TRADE_V1 |
Futures (Snowflake)
Available in theMARKET_FUTURES schema.
| Feature Type | Snowflake Table Name |
|---|---|
| Funding Rates | FUNDING_RATE_V1 |
| Insurance Funds | INSURANCE_FUND_V1 |
| Liquidations | LIQUIDATION_V1 |
| Long/Short Ratio (daily) | LONG_SHORT_RATIO_DAILY_V1 |
| Long/Short Ratio (hourly) | LONG_SHORT_RATIO_HOURLY_V1 |
| Long/Short Ratio (minutely) | LONG_SHORT_RATIO_HOURLY_V1 |
| OHLCV (daily) | OHLCV_DAILY_V1 |
| OHLCV (hourly) | OHLCV_HOURLY_V1 |
| OHLCV (minutely) | OHLCV_MINUTELY_V1 |
| Open Interest | OPEN_INTEREST_V1 |
| Order Book Events | ORDER_BOOK_EVENT_V1 |
| Order Book Snapshots | ORDER_BOOK_SNAPSHOTT_V1 |
| Tickers | TICKER_V1 |
| Trades | TRADE_V1 |
Options (Snowflake)
Available in theMARKET_OPTIONS schema.
| Feature Type | Snowflake Table Name |
|---|---|
| Liquidations | LIQUIDATION_V1 |
| OHLCV (daily) | OHLCV_DAILY_V1 |
| OHLCV (hourly) | OHLCV_HOURLY_V1 |
| OHLCV (minutely) | OHLCV_MINUTELY_V1 |
| Open Interest | OPEN_INTEREST_V1 |
| Order Book Events | ORDER_BOOK_EVENT_V1 |
| Order Book Snapshots | ORDER_BOOK_SNAPSHOTT_V1 |
| Tickers | TICKER_V1 |
| Trades | TRADE_V1 |
Data Field Descriptions
Spot Market Fields
Order Book Snapshots
| Field | Description |
|---|---|
| exchange | The name of the exchange |
| pair | The name of the asset pair |
| exchangeTimestamp | The last bid/ask updated timestamp if provided by the exchange |
| isBid | Indicates if the order is a bid or ask: true for a bid and false for an ask |
| timestamp | The time at which the order book snapshot took place |
| receivedTimestamp | Timestamp when Amberdata received the order book snapshot |
| sequence | The sequence number provided by the exchange (null if not provided) |
| data | The order book data corresponding to the columns fields |
| maxPrice | The maximum price for the asset pair |
| minPrice | The minimum price for the asset pair |
Spot Trades
| Field | Description |
|---|---|
| exchange | The name of the exchange |
| pair | The name of the asset pair |
| exchangeTimestamp | The time at which the trade took place |
| tradeId | The exchange provided id of the trade |
| receivedTimestamp | The time Amberdata received the trade data |
| isBuySide | Indicates if the trade is a buy or sell: true for a buy and false for a sell |
| price | The price at which the asset was traded |
| size | The total amount of that asset that was traded |
Spot OHLCV
| Field | Description |
|---|---|
| exchange | The name of the exchange |
| pair | The name of the asset pair |
| exchangeTimestamp | The time at which the candle period starts |
| open | The opening price of the trading pair for the specified time period |
| high | The highest price of the trading pair during the specified time period |
| low | The lowest price of the trading pair during the specified time period |
| close | The closing price of the trading pair for the specified time period |
| volume | The total volume of the trading pair traded during the specified time period, in the base currency |
| quotedVolume | The total volume of the trading pair traded during the specified time period, in the quote currency |
| count | The total number of trades executed for the trading pair within the specified time period |
Futures Market Fields
Funding Rates
| Field | Description |
|---|---|
| exchange | The name of the exchange |
| instrument | The name of the instrument |
| exchangeTimestamp | The time at which the event occurred |
| fundingInterval | The funding interval for which data is available |
| fundingRate | The funding rate for which data is available |
| nextFundingRate | The next funding rate for which data is available |
| nextFundingTime | The next funding time for which data is available |
Liquidations
| Field | Description |
|---|---|
| exchange | The name of the exchange |
| instrument | The name of the instrument |
| exchangeTimestamp | The time at which the event occurred |
| timestamp | The time at which the liquidation occurred |
| orderId | The order identifier |
| price | The price of the instrument at the time of the liquidation |
| side | The direction of the trade |
| volume | The volume liquidated |
Open Interest
| Field | Description |
|---|---|
| exchange | The name of the exchange |
| instrument | The name of the instrument |
| exchangeTimestamp | The time at which the event occurred |
| type | The type of instrument |
| value | The total outstanding number of contracts |
Options Market Fields
Options Trades
| Field | Description |
|---|---|
| exchange | The name of the exchange |
| instrument | The name of the instrument |
| exchangeTimestamp | The time at which the event occurred |
| tradeId | The exchange provided id of the trade |
| isBuySide | true if the trade is a buy, false otherwise |
| price | The price at which the asset was traded |
| size | The total amount of that asset that was traded |
Use Cases and Applications
Spot Market Applications
- Trading Strategy Development: Backtest strategies using historical spot market data
- Market Making: Analyze order book dynamics for algorithmic trading
- Price Discovery Research: Study how prices form across different exchanges
- Arbitrage Detection: Identify price differences across exchanges and timeframes
- Liquidity Analysis: Understand market depth and trading patterns
Futures Market Applications
- Funding Rate Analysis: Study perpetual swap funding patterns and arbitrage opportunities
- Liquidation Monitoring: Track large liquidation events and market impact
- Open Interest Tracking: Monitor position changes and market sentiment
- Risk Management: Calculate exposure and portfolio risk across futures positions
- Contango/Backwardation Studies: Analyze futures curve structures
Options Market Applications
- Volatility Analysis: Study implied volatility patterns and surfaces
- Options Flow Analysis: Track institutional and retail options activity
- Risk Management: Monitor Greeks exposure and hedge portfolios
- Strategy Backtesting: Test options strategies with historical data
- Market Structure Research: Understand options market efficiency and pricing
Integration Benefits
- Multi-Asset Analysis: Correlate spot, futures, and options data
- Cross-Exchange Research: Compare data across multiple exchanges
- Historical Depth: Years of tick-level data for robust analysis
- Real-time Applications: Fresh data for live trading and monitoring
- Academic Research: Clean datasets for empirical finance studies