Market Data - S3
We offer Amazon S3 bulk downloads to retrieve massive historical datasets for select data types, delivered in Apache Parquet format.
Market Datasets
| Market Type | Feature Type | Sample Files |
|---|---|---|
| Spot | Order Book Snapshots | Download |
| Spot | Order Book Events | Download |
| Spot | Tickers | Download |
| Spot | Trades | Download |
| Spot | OHLCV | Download (minutely) Download (hourly) Download (daily) |
| Futures | Funding Rates | Download |
| Futures | Insurance Funds | Download |
| Futures | Liquidations | Download |
| Futures | Long/Short Ratio | Download (minutely) Download (hourly) Download (daily) |
| Futures | Order Book Snapshots | Download |
| Futures | Order Book Events | Download |
| Futures | Open Interest | Download |
| Futures | Tickers | Download |
| Futures | Trades | Download |
| Options | Liquidations | Download |
| Options | Open Interest | Download |
| Options | Order Book Snapshots | Download |
| Options | Order Book Updates | Download |
| Options | Tickers | Download |
| Options | Trades | Download |
Market Data Fields & Descriptions
Spot - Order Book Snapshots
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| pair | The name of the asset pair. |
| exchangeTimestamp | The time at which the order book snapshot took place. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| 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. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| metadata | The metadata associated with the order book data. |
| sequence | The sequence number provided by the exchange (equal to null if it is not provided by the exchange). |
| data | The order book data corresponding to the columns fields. |
| maxPrice | The maximum price for the asset pair. Any buy orders you submit higher than this price, will be clamped to this maximum. |
| minPrice | The minimum price for the asset pair. Any sell orders you submit lower than this price will be clamped to this minimum. |
Spot - Order Book Events
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| pair | The name of the asset pair. |
| exchangeTimestamp | The time at which the order book event took place. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| isBid | Indicates if the order is a bid or ask: true for a bid and false for an ask. |
| receivedTimestamp | Timestamp when Amberdata received order book event. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | Timestamp when Amberdata received order book event. |
| metadata | The metadata associated with the order book data. |
| sequence | The sequence number provided by the exchange (equal to null if it is not provided by the exchange). |
| data | The order book data corresponding to the columns fields. |
Spot - Tickers
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| pair | The name of the asset pair. |
| timestamp | The time at which the event occurred. |
| timestampNanoseconds | The nanosecond part of the timestamp where applicable. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the ticker data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| metadata | The metadata associated with the ticker data. |
| sequence | The sequence number provided by the exchange (equal to null if it is not provided by the exchange). |
| ask | The ask price of the market pair. |
| askVolume | It represents the requested order size of all best asks. |
| bid | The bid price of the market pair. |
| bidVolume | It represents the requested order size of all best bids. |
| last | The last price of the market pair. |
| mid | The mid price of the market 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. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. NOTE: This is an optional field whose value may or may not be provided by the exchanges. |
| tradeId | The exchange provided id of the trade. |
| receivedTimestamp | The time Amberdata received the trade data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| metadata | The metadata associated with 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. |
| quoteSize | Quote size at the moment of trade NOTE: This is an optional field whose value may or may not be provided by the exchanges. |
| 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 trade took place. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. NOTE: This is an optional field whose value may or may not be provided by the exchanges. |
| 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, represented in the quote currency. |
| derived | A boolean flag indicating whether the OHLCV data was derived from aggregated trade data or directly provided as derived data by the exchange. |
| count | The total number of trades executed for the trading pair within the specified time period. |
Futures - Funding Rates
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| 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. |
Futures - Insurance Funds
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| fund | The fund of insurance fund. |
| underlying | The underlying asset for the instrument. |
Futures - Liquidations
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the liquidation occurred. |
| action | The type of action taken during the liquidation process (for example: delete, insert, update, etc). |
| orderId | The order identifier. |
| price | The price of the instrument at the time of the liquidation. |
| side | The direction of the trade. |
| status | The status of the liquidation. |
| timeInForce | How long the order is to remain active before it is executed or expires, for example: - IOC: immediate-or-cancel - FOK: fill-or-kill - GTC: good-'till-canceled - etc. |
| type | The type of liquidation. |
| volume |
Futures - Long/Short Ratio
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| period | The number of the period. |
| longAccount | The long account number ratio of all traders |
| ratio | The long/short account number ratio of all traders |
| shortAccount | The short account number ratio of all traders |
Futures - Order Book Updates
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| isBid | true if the order is a bid, false otherwise. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the event occurred. |
| sequence | The sequence number (equal to null if it is not provided by the exchange). |
| data | The order book data corresponding to the columns fields, aggregated by exchange. |
| status |
Futures - Open Interest
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| type | The type of instrument. |
| value | The total outstanding number of contracts. |
Futures - Tickers
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| timestamp | Timestamp when Amberdata received the data. |
| timestampNanoseconds | The nanosecond part of the timestamp. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| sequence | The sequence number (equal to null if it is not provided by the exchange). |
| ask | The ask price for instrument. |
| askVolume | It represents the requested order size of all best asks. |
| baseVolume | |
| bid | The bid price for instrument. |
| bidVolume | It represents the requested order size of all best bids. |
| last | The last price for instrument. |
| mid | The mid price for instrument. |
| quoteVolume | |
| markPrice | |
| lastVolume |
Futures - Trades
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| tradeId | The exchange provided id of the trade. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the event occurred. |
| isBuySide | true if the trade is a buy, false otherwise. |
| price | The price at which the asset was traded. |
| quoteVolume | |
| volume | The total amount of that asset that was traded. |
| sequence | |
| isLiquidation |
Options - Liquidations
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the liquidation occurred. |
| action | The type of action taken during the liquidation process (for example: delete, insert, update, etc). |
| orderId | The order identifier. |
| price | The price of the instrument at the time of the liquidation. |
| side | The direction of the trade. |
| status | The status of the liquidation. |
| timeInForce | How long the order is to remain active before it is executed or expires, for example: - IOC: immediate-or-cancel - FOK: fill-or-kill - GTC: good-'till-canceled - etc. |
| type | The type of liquidation. |
| volume |
Options - Open Interest
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| type | The type of instrument. |
| value | The total outstanding number of contracts. |
Options - Order Book Snapshots
| Field | Description |
|---|---|
| exchange | |
| instrument | |
| exchangeTimestamp | |
| exchangeTimestampNanoseconds | |
| sequence | |
| receivedTimestamp | |
| receivedTimestampNanoseconds | |
| metadata | |
| stats | |
| state | |
| asks | |
| askIv | |
| bids | |
| bidIv | |
| bestAskAmount | |
| bestAskPrice | |
| bestBidAmount | |
| bestBidPrice | |
| estimatedDeliveryPrice | |
| greeks | |
| indexPrice | |
| interestRate | |
| lastPrice | |
| lastPrice | |
| markIv | |
| markPrice | |
| maxPrice | |
| minPrice | |
| openInterest | |
| underlyingIndex | |
| underlyingPrice |
Options - Order Book Updates
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| isBid | true if the order is a bid, false otherwise. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the event occurred. |
| sequence | The sequence number (equal to null if it is not provided by the exchange). |
| data | The order book data corresponding to the columns fields, aggregated by exchange. |
| status |
Options - Tickers
| Field | Description |
|---|---|
| exchange | |
| instrument | |
| exchangeTimestamp | |
| exchangeTimestampNanoseconds | |
| sequence | |
| receivedTimestamp | |
| receivedTimestampNanoseconds | |
| stats | |
| state | |
| ask | |
| askIv | |
| askVolume | |
| baseVolume | |
| bid | |
| bidIv | |
| bidVolume | |
| quoteVolume | |
| lastVolume | |
| estimatedDeliveryPrice | |
| greeks | |
| indexPrice | |
| interestRate | |
| mid | |
| last | |
| markIv | |
| markPrice | |
| maxPrice | |
| minPrice | |
| openInterest | |
| settlementPrice | |
| underlyingIndex | |
| underlyingPrice | |
| open24H | |
| high24H | |
| low24H |
Options - Trades
| Field | Description |
|---|---|
| exchange | |
| instrument | |
| exchangeTimestamp | |
| exchangeTimestampNanoseconds | |
| tradeId | |
| isBuySide | |
| receivedTimestamp | |
| receivedTimestampNanoseconds | |
| metadata | |
| sequence | |
| price | |
| quoteSize | |
| size | |
| tickDirection | |
| markPrice | |
| iv | |
| indexPrice |
FAQs
Why is delivery via S3 important?
- With data in S3, our customers can bulk download historical data in an analytics friendly format. This allows them to dig deep into the data and perform their own proprietary research and test trading strategies without being limited by our REST API throughput.
How does a customer get access to these datasets?
- Customers will need to have their own AWS credentials in which we will provision for S3 access. If you are interested in downloading data via S3, please contact your Account Executive.
Why Parquet format instead of a GZIP compressed JSON file?
- Parquet is a columnar storage format for structured data that is optimized for querying and analysis. In Parquet format, data is stored in columns rather than rows, allowing for more efficient compression and encoding of data. This can result in significant performance improvements for analytical workloads that involve large datasets and complex queries. Parquet is widely used in big data environments for data warehousing, analytics, and machine learning applications and can be easily integrated into existing data pipelines.
How do I download a parquet sample file and open it to see which fields are returned?
- If you only want to see the fields, simply download the sample parquet file, load it as a pandas dataframe in Python and use dataframe.dtypes, that'll give you a quick output of the field types. Here is the code available for you to try out:
#Import the pandas library
import pandas as pd
# Replace 'your_parquet_file.parquet' with the path to your Parquet file
parquet_file = 'your_parquet_file.parquet'
# Load the Parquet file as a pandas DataFrame
df = pd.read_parquet(parquet_file)
# Display the data types of the DataFrame
print(df.dtypes)
- Now if you wanted to actually read the parquet data, once you've downloaded the sample parquet file, you can run the following Python code:
#Import the pandas library
import pandas as pd
# Replace 'your_parquet_file.parquet' with the path to your Parquet file
parquet_file = 'your_parquet_file.parquet'
pd.read_parquet(parquet_file, engine='pyarrow')
Updated 1 day ago