This section provides reference quote prices for every pair across every exchange we support in the spot markets. Reference quotes fall under the "price" category and are essentially the average of mid's across exchanges for each pair. However, while Prices, TWAP and VWAP are all calculated based on post-trade data (OHLCV, in this case), Reference Quotes are calculated based on pre-trade data (Tickers, in this case).
Amberdata gives the ability for users to determine which sources (exchanges) are included in the calculation. We also allow the user to show a list of the sources that were included in the calculation if none are specified.
We are one of the only providers who also provide this kind of pre-trade price data in real-time via WebSockets!
Reference Quotes are calculated across all exchanges (or particular exchanges if specified) with a 1 second frequency, meaning we publish and update every second. It is derived from the Tickers data with the following calculation: Mid = (Ask + Bid) / 2).
The calculation takes into account mid prices from every exchange, with a maximum lookback of 1 minute, meaning if a pair for an exchange has not been updated in the most recent 60 seconds, it is dropped and not used in the calculation of the current price.
Our Reference Quote endpoint provides historical (time series) data for the specified pair and across all exchanges which support the pair. The data is available via REST API and is limited to 60 API requests per second.
Since the Reference Quotes are derived from the Ticker data, the historical availability can be found here. Keep in mind, this is only for Spot Markets.
|Spot Start Date (for secondly data)*
*These dates represent the oldest start date we have for Reference Quote data across all pairs
**As of 2022-11-12, we stopped supporting FTX, but historical data will remain available
What does the reference quote endpoint do?
- It takes all the BBO’s, top of the order books, across all the exchanges and creates an aggregated average price of the specified pair. This is pre-trade and it is an executable price. Nobody else has anything like this!
How is the pricing data aggregated across exchanges?
- We aggregate pre-trade data as quotes across exchanges to give a global mid. We do the same using post-trade, which would be your VWAP and TWAP.
How can I see which sources were included in the calculation?
- There is a query parameter called
includeSourcesthat should be set to
true. You will then see in the response payload an array called
sources, which is a list of all exchanges included in the calculation.
Updated about 1 year ago