This section provides unweighted prices for every pair and asset across every exchange we support in the spot markets. You can view the data from the latest or historical endpoints. Depending on the exchange, we have data as far back as 2011.
Similar to the VWAP and TWAP sections, the Prices endpoints break up the data into two types; asset and pair. The benefit of this is that it allows you to see what the prices are for a particular pair as well as an individual asset. For example, if you wanted to see what the BTC_USD pair price was on Gemini on a certain day, the Pairs Historical endpoint can do this. More generally, you can also choose just the pair without an exchange and see the aggregate pair price across every exchange that supports that pair. You can do something similar for just the asset price. The big difference here is that instead of a particular pair, the Asset price uses the VWAP price with a lookback period of 1 to give an overall price for the asset itself. Using this method as opposed to an aggregate of all pairs eliminates the potential for erroneous prices due to an outlier. The Asset price has been referred to as a global or reference price.
Price is calculated across all exchanges (or a single exchange if specified) with a 1 minute frequency and 1 bar lookback. It is derived from the OHLCV data with the following calculation: (H+L+C) / 3
Our Prices 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 Prices data goes across the different exchanges within the Spot market:
|Exchange||Spot Market Start Date*|
|GDAX (Coinbase Pro)||2014-12-01|
*These dates represent the oldest start date we have for Price data across all pairs
**As of 2022-11-12, we stopped supporting FTX, but historical data will remain available
How is this different from the TWAP and VWAP price data?
- Unlike the TWAP and VWAP weighted prices, the Prices endpoints show the unweighted prices of an asset or pair.
- Since Price is derived from the OHLCV data with the following calculation: (H+L+C) / 3, it is essentially the same thing as VWAP with 1 lookback period (weighted across all exchanges).
What is the latency of the Prices endpoints?
- The average latency for the Prices endpoints is 100-300 ms.
If I want to see just the price data for a particular exchange, can I?
- Yes. In the pairs endpoints, latest and historical, you have the option to choose whether to see the price based on every exchange or just one particular exchange. Note, the asset endpoints aggregate across every exchange.
How do you define what price is?
- There are many methods and ways to define price. At Amberdata, we define price as (H+L+C)/3
Updated 6 months ago