Order Books


An order book is a book or more specifically an electronic list of buy and sell orders for a specific asset or instrument organized by price. The order book lists the number of units being bid on or offered per price point, or market depth.


The order book endpoints at Amberdata are complete order books which allow you to see every bid and ask for every asset and pair on every exchange we support. If you need to reconstruct an order book from a particular exchange, with a particular pair from a particular point in time, you can do this from our REST endpoints. This is particularly useful if you are doing research, backtesting a model or just want to see what happened in the past with a particular dataset. We offer order book data across all four of our market data sections: spot, swaps, futures and options. In addition to the full order book, we also have snapshots of the order books for the same four sections. These snapshots are 1 minute looks at the order books. If the deepest granularity of the full order book is not needed, the snapshot endpoints are the next best thing and will allow you to see what happened at a higher level for any pair at any time on any exchange we support.

  • 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










Our Order Book endpoints are available via REST API for latest and historical (time series) data as well as WebSockets for real-time data.

This table outlines how far back our Order Book data goes across the different exchanges within the Spot, Futures, Swaps and Option markets

ExchangeSpot Market Start Date*Futures Market Start Date*Options Market Start Date*Swaps Market Start Date*
GDAX (Coinbase Pro)2019-05-21XXX

*These dates represent the oldest start date we have for Order Book data across all pairs/contracts
**As of 2022-11-12, we stopped supporting FTX, but historical data will remain available

Frequently Asked Questions

How granular is your order book data?

  • Our order book data is extremely granular and includes every ‘flick’ of a bid or ask for any pair on any exchange we support. Some exchange data is available from as early as 2011.

What are common use cases for your order book data?

  • The most common use case for our order book data is research and/or back testing. If you’re writing a paper and need to reconstruct an order book from Bitstamp in 2014 for the BTC_USD pair, you can do that. If you’re testing a new model and need X months of data across multiple exchanges for multiple pairs, you can do that too from our historical REST endpoints.

Do you offer real-time streaming order book data?

  • Yes. We have Websocket subscriptions for all 4 order book types; spot, options, futures and swaps. We also offer FIX protocol.