Market Data
Order Books
Definition
An order book is an electronic book, or list, of buy and sell orders for a specific asset or instrument. The order book lists the number of units being bid on or offered per price point, or market depth.Details
Amberdata’s order book endpoints provide comprehensive access to all bids and asks for each asset and pair across all supported exchanges. Order book coverage spans all markets: spot, futures, and options. Order book events contain the full granularity of the order book. Reconstructing order books across specific exchanges, pairs, or dates for use cases like research, backtesting, or modeling is possible using RESTful API endpoints. Order book snapshots are 1-minute looks at the order books for a higher-level look at any pair on supported exchanges. Order book endpoints are structured as follows:- Bid - the highest rate that someone is willing to buy the currency from you
- Ask - the lowest rate that someone in the market is willing to sell you the currency
- Mid - average of the bid and ask rates (the bid and ask prices will be either side of the mid market rate)
- Last - price at which the last trade occurred
API Endpoints
Spot
/markets/spot/order-book-events/{instrument} /markets/spot/order-book-snapshots/information /markets/spot/order-book-snapshots/{instrument}Futures
/markets/futures/order-book-events/{instrument} /markets/futures/order-book-snapshots/information /markets/futures/order-book-snapshots/{instrument}/historicalOptions
/markets/options/order-book-events/information /markets/options/order-book-events/{instrument}/historical /market/options/order-book-snapshots/information /market/options/order-book-snapshots/{instrument}/historicalAvailability
Order Book endpoints are available via REST API for latest and historical (time series) data and WebSockets for real-time data.| Exchange | Spot Market Start Date* | Futures Market Start Date* | Options Market Start Date* |
|---|---|---|---|
| Binance | 2019-02-25 | 2020-10-23 | 2024-12-26 |
| Binance.US | 2022-06-15 | X | X |
| Bitfinex | 2019-02-25 | X | X |
| Bitget | 2024-09-29 | 2024-10-08 | X |
| Bithumb | 2019-04-03 | X | X |
| Bitmex | 2024-04-29 | 2020-08-10 | X |
| Bitstamp | 2019-02-25 | X | X |
| Bullish | 2025-03-16 | X | X |
| Bybit | 2021-09-01 | 2021-10-06 | 2024-03-15 |
| CBOE Digital | 2024-04-02 | 2024-03-31 | X |
| Coinbase Intx | 2025-04-01 | 2025-04-01 | X |
| CoinW | 2025-05-15 | X | X |
| Crypto.com | 2025-02-18 | X | X |
| Deribit | 2025-03-19 | 2021-05-21 | 2021-11-23 |
| dYdX | X | 2024-11-26 | X |
| FTX** | 2021-01-11 | 2020-12-18 | X |
| FTX US** | 2022-10-05 | X | X |
| Gate.io | 2025-01-07 | X | X |
| GDAX (Coinbase) | 2019-02-25 | X | X |
| Gemini | 2019-02-25 | X | X |
| Hashkey | 2025-02-28 | X | X |
| Huobi | 2019-02-25 | 2021-01-04 | X |
| Hyperliquid | X | 2025-03-19 | X |
| itBit | 2024-03-05 | X | X |
| Kraken | 2018-01-14 | 2022-08-18 | X |
| Kucoin | 2025-02-19 | X | X |
| LMAX | 2022-05-10 | X | X |
| Mercado Bitcoin*** | 2024-03-19 | X | X |
| MEXC | 2022-10-19 | X | X |
| OKex (OKX) | 2019-08-17 | 2021-07-13 | 2024-03-15 |
| Poloniex | 2019-08-08 | X | X |
| Thalex | X | X | 2024-09-06 |
| Upbit | 2025-04-21 | X | X |
| ZB | 2019-04-04 | X | X |
Order Book Maximum Depth
| Exchange | Spot Data | Futures Data | Options Data |
|---|---|---|---|
| Binance | 5000 | 1000 | 1000 |
| Binance.US | 5000 | X | X |
| Bitfinex | 100 | X | X |
| Bitget | 150 | 400 | X |
| Bithumb | 50 | X | X |
| Bitmex | Full Depth | Full Depth | X |
| Bitstamp | Full Depth | X | X |
| Bullish | Full Depth | X | X |
| Bybit | 200 | 500 | 25 |
| CBOE Digital | 20 | 20 | X |
| Coinbase Intl | 20 | 20 | X |
| CoinW | 20 | X | X |
| Crypto.com | 50 | X | X |
| Deribit | Full Depth | 1000 | 1000 |
| dYdX | X | 100 | X |
| FTX** | 100 | 100 | X |
| FTX US** | 100 | 100 | 100 |
| GDAX (Coinbase Pro) | Full Depth | X | X |
| Gemini | Full Depth | X | X |
| Hashkey | 200 | X | X |
| Huobi | 150 | 150 | X |
| Hyperliquid | X | Full Depth | X |
| itBit | Full Depth | X | X |
| Kraken | 100 | Full Depth | X |
| Kucoin | 100 | X | X |
| LMAX | Full Depth | X | X |
| Mercado Bitcoin | 1000 | X | X |
| MEXC | 5000 | X | X |
| OKex | 1000 | 2000 | 400 |
| Poloniex | 150 | X | X |
| Upbit | 15 | X | X |
| ZB | 50 | X | X |
Frequently Asked Questions
How granular is your order book data?- The order book dataset includes every price-level event (or “flick”) for supported trading pairs across all integrated exchanges. Historical data is available for select exchanges dating as far back as 2011.
- Order book data is commonly used for quantitative research, trading strategy development, and backtesting. For example, a researcher can reconstruct the Bitstamp BTC/USD order book from 2014, or a developer can access multi-month historical depth data across multiple exchanges and trading pairs using the historical REST API.
- Yes. WebSocket subscriptions are supported for real-time order book feeds across spot, options, and futures markets.
- All order book data is sourced directly from exchange-provided APIs and data feeds.
- Order Book Snapshots:
Captured via exchange REST APIs at one-minute intervals. Each snapshot includes the full available depth of the order book, as permitted by the exchange. Snapshot depth varies by venue—for example, Binance or Coinbase may return thousands of levels, while others may limit data to the top 50 price levels. - Order Book Events:
Represent incremental changes (deltas) to the order book, rather than the full book. Exchanges provide these through real-time feeds, often batched at intervals such as 10–100 milliseconds. These updates reflect any modifications to the order book between snapshots.
- “Events” is a more accurate term, as it captures multiple types of changes—including additions, updates, and deletions. For example:
- A deletion is represented by a volume of zero.
- An addition or update is shown as a new volume at a specific price level.
Each event replaces the previous value; it is not calculated as a delta. This approach aligns with how exchanges format and transmit the data.