AWS S3
We offer Amazon S3 bulk downloads to retrieve massive historical datasets for select data types, delivered in Apache Parquet format.
Market Data - S3 Datasets
Dataset Type | Dataset Name | Sample Files |
---|---|---|
Spot | Order Book Snapshots | Download |
Spot | Order Book Events | Download |
Spot | Tickers | Download |
Spot | Trades | Download |
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 |
DeFi Data - S3 Datasets
Blockchain Data - S3 Datasets
CME Only - S3 Datasets
Dataset Type | Dataset Name | Sample Files |
---|---|---|
Futures | Open Interest | Download (CME only) |
Futures | Tickers | Download (CME only) |
Futures | Trades | Download (CME only) |
Options | Open Interest | Download (CME only) |
Options | Tickers | Download (CME only) |
Options | Trades | Download (CME only) |
Fields & Descriptions
Market Data
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. |
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. |
id | |
receivedTimestamp | Timestamp when Amberdata received the data. |
receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
timestamp | The time at which the liquidation occurred. |
action | |
orderId | |
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 | |
instrument | |
exchangeTimestamp | |
exchangeTimestampNanoseconds | |
id | |
volume | |
sequence | |
receivedTimestamp | |
receivedTimestampNanoseconds | |
metadata | |
action | |
orderId | |
price | |
side | |
status | |
timeInForce | |
type |
Options - Open Interest
Field | Description |
---|---|
exchange | |
instrument | |
exchangeTimestamp | |
exchangeTimestampNanoseconds | |
receivedTimestamp | |
receivedTimestampNanoseconds | |
type | |
value |
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 | |
instrument | |
exchangeTimestamp | |
exchangeTimestampNanoseconds | |
isBid | |
receivedTimestamp | |
receivedTimestampNanoseconds | |
timestamp | |
metadata | |
sequence | |
data | |
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 |
CME Only
Futures - Open Interest (CME only)
Field | Description |
---|---|
exchange | The name of the exchange. |
symbol | Instrument Name or Symbol. |
exchangeTimestamp | Timestamp provided by CME. |
exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
receivedTimestamp | The time Amberdata received the data. |
receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
sentTime | Time CME MDP gateway sends the message (UTC). |
tradeStatistics | Object - view more details here |
tradeStatistics.openInterest | The total open interest for the market at the close of the prior trading session. |
tradeStatistics.clearedVolume | Cleared volume quantity. |
tradeStatistics.settlementFinal | Final settlement price |
tradeStatistics.settlementPrice | Settlement price. |
tradeStatistics.openInterestDate | Open interest trade date Format: "YYYY-MM-DD" |
tradeStatistics.settlementActual | Actual settlement price |
tradeStatistics.clearedVolumeDate | Cleared volume date. |
tradeStatistics.settlementRounded | Rounded settlement price |
tradeStatistics.settlementPriceDate | Date of trade session corresponding to a statistic entry. Format: "YYYY-MM-DD" |
tradeStatistics.openInterestTimestamp | Open interest update time. |
tradeStatistics.clearedVolumeTimestamp | Cleared volume time. |
tradeStatistics.settlementPriceTimestamp | Time of trade session corresponding to a statistic entry. Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
instrument | Object - view more details here |
instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
instrument.symbol | Instrument Name or Symbol. |
instrument.periodCode | This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
instrument.exchangeMic | Exchange used to identify a security. |
instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
instrument.productType | Product Type |
instrument.productGroup | Product Group Code. |
instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
Futures - Tickers (CME only)
Field | Description |
---|---|
exchange | The name of the exchange. |
symbol | Instrument Name or Symbol. |
exchangeTimestamp | Timestamp provided by CME. |
exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
receivedTimestamp | The time Amberdata received the data. |
receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
sentTime | Time CME MDP gateway sends the message (UTC). |
tradingStatus | Identifies the trading status applicable to the instrument or product group. |
instrument | Object - view more details here |
instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
instrument.symbol | Instrument Name or Symbol. |
instrument.periodCode | This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
instrument.exchangeMic | Exchange used to identify a security. |
instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
instrument.productType | Product Type |
instrument.productGroup | Product Group Code. |
instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
askLevel | Object - view more details here |
askLevel.qty | Order quantity. |
askLevel.price | Price of the MD Entry. |
askLevel.orderCnt | Aggregate number of orders at the given price level. |
askLevel.lastUpdateTime | Last update time for ask price Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
bidLevel | Object - view more details here |
bidLevel.qty | Order quantity |
bidLevel.price | Price of the MD Entry. |
bidLevel.orderCnt | Aggregate number of orders at the given price level. |
bidLevel.lastUpdateTime | Last update time for bid price. Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
Futures - Trades (CME only)
Field | Description |
---|---|
exchange | The name of the exchange. |
symbol | Instrument Name or Symbol. |
exchangeTimestamp | Timestamp provided by CME. |
exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
receivedTimestamp | The time Amberdata received the data. |
receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
sentTime | Time CME MDP gateway sends the message (UTC). |
tradeSummary | Object - view more details here |
tradeSummary.orderQty | Object - view more details here |
tradeSummary.orderQty.orderId | Unique ID assigned by CME Globex to identify orders. |
tradeSummary.orderQty.lastOrdQty | Quantity of trade |
tradeSummary.tradeQty | Total traded quantity. |
tradeSummary.tradePrice | Trade price. |
tradeSummary.aggressorSide | Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Trades without aggressors occur: - at Market Open - after a Pre-Open or after a Pause - when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer. |
tradeSummary.mdTradeEntryId | Common Trade ID that links each trade execution. |
tradeSummary.tradeOrderCount | Identifies the total number of non-implied orders per instrument that participated in a match event. |
tradeSummary.tradeUpdateAction | Trade market data update action. |
instrument | Object - view more details here |
instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
instrument.symbol | Instrument Name or Symbol. |
instrument.periodCode | This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
instrument.exchangeMic | Exchange used to identify a security. |
instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
instrument.productType | Product Type |
instrument.productGroup | Product Group Code. |
instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
Options - Open Interest (CME only)
Field | Description |
---|---|
exchange | The name of the exchange. |
symbol | Instrument Name or Symbol. |
exchangeTimestamp | Timestamp provided by CME. |
exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
receivedTimestamp | The time Amberdata received the data. |
receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
sentTime | Time CME MDP gateway sends the message (UTC). |
tradeStatistics | Object - view more details here |
tradeStatistics.openInterest | The total open interest for the market at the close of the prior trading session. |
tradeStatistics.clearedVolume | Cleared volume quantity. |
tradeStatistics.settlementFinal | Final settlement price |
tradeStatistics.settlementPrice | Settlement price. |
tradeStatistics.openInterestDate | Open interest trade date Format: "YYYY-MM-DD" |
tradeStatistics.settlementActual | Actual settlement price |
tradeStatistics.clearedVolumeDate | Cleared volume date. |
tradeStatistics.settlementRounded | Rounded settlement price |
tradeStatistics.settlementPriceDate | Date of trade session corresponding to a statistic entry. Format: "YYYY-MM-DD" |
tradeStatistics.openInterestTimestamp | Open interest update time. |
tradeStatistics.clearedVolumeTimestamp | Cleared volume time. |
tradeStatistics.settlementPriceTimestamp | Time of trade session corresponding to a statistic entry. Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
instrument | Object - view more details here |
instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
instrument.symbol | Instrument Name or Symbol. |
instrument.periodCode | The calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
instrument.exchangeMic | Exchange used to identify a security. |
instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
instrument.productType | Product Type. |
instrument.productGroup | Product Group Code. |
instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
Options - Tickers (CME only)
Field | Description |
---|---|
exchange | The name of the exchange. |
symbol | Instrument Name or Symbol. |
exchangeTimestamp | Timestamp provided by CME. |
exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
receivedTimestamp | The time Amberdata received the data. |
receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
sentTime | Time CME MDP gateway sends the message (UTC). |
tradingStatus | Identifies the trading status applicable to the instrument or product group. |
instrument | Object - view more details here |
instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
instrument.symbol | Instrument Name or Symbol. |
instrument.putOrCall | Indicates whether an option instrument is a put or call. |
instrument.periodCode | This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
instrument.exchangeMic | Exchange used to identify a security. |
instrument.productCode | An exchange-specific code assigned to a group of related securities, which are concurrently affected by market events. |
instrument.productType | Product type |
instrument.strikePrice | The strike price. |
instrument.productGroup | Product Group Code. |
instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
instrument.underlyingSymbol | Underlying Instrument Symbol (Contract Name) * this value will be the same as that contained in Leg Instrument's Security Definition Tag 55-Symbol. |
askLevel | Object - view more details here |
askLevel.qty | Order quantity. |
askLevel.price | Price of the MD Entry. |
askLevel.orderCnt | Aggregate number of orders at the given price level. |
askLevel.lastUpdateTime | Last update time for ask price Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
bidLevel | Object - view more details here |
bidLevel.qty | Order quantity |
bidLevel.price | Price of the MD Entry. |
bidLevel.orderCnt | Aggregate number of orders at the given price level. |
bidLevel.lastUpdateTime | Last update time for bid price. Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
Options - Trades (CME only)
Field | Description |
---|---|
exchange | The name of the exchange. |
symbol | Instrument Name or Symbol. |
exchangeTimestamp | Timestamp provided by CME. |
exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
receivedTimestamp | The time Amberdata received the data. |
receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
sentTime | Time CME MDP gateway sends the message (UTC). |
tradeSummary | Object - view more details here |
tradeSummary.orderQty | |
tradeSummary.orderQty.orderId | Unique ID assigned by CME Globex to identify orders. |
tradeSummary.orderQty.lastOrdQty | Quantity of trade |
tradeSummary.tradeQty | Total traded quantity. |
tradeSummary.tradePrice | Trade price. |
tradeSummary.aggressorSide | Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Trades without aggressors occur: at Market Open after a Pre-Open or after a Pause when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer. |
tradeSummary.mdTradeEntryId | Common Trade ID that links each trade execution. |
tradeSummary.tradeOrderCount | Identifies the total number of non-implied orders per instrument that participated in a match event. |
tradeSummary.tradeUpdateAction | Trade market data update action. |
instrument | Object - view more details here |
instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
instrument.symbol | Instrument Name or Symbol. |
instrument.putOrCall | Indicates whether an option instrument is a put or call. |
instrument.periodCode | The calendar month reflected in the instrument symbol. For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
instrument.exchangeMic | Exchange used to identify a security. |
instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
instrument.productType | Product Type. |
instrument.strikePrice | The strike price. |
instrument.productGroup | Product Group Code. |
instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
instrument.underlyingSymbol | Underlying Instrument Symbol (Contract Name) * this value will be the same as that contained in Leg Instrument's Security Definition Tag 55-Symbol. |
Blockchain Data
Mempool
Field | Description |
---|---|
blockchainId | Amberdata Unique Identifier for the blockchain network |
hash | The transaction hash. |
transactionIndex | The transaction index in block. Will be 0 for pending transactions. |
blockHash | The block hash. |
blockNumber | The blocknumber of the block in which the specified transaction is contained. |
createdAt | The timestamp of when the transaction was seen in the mempool. |
createdAtNanoseconds | The timestamp for createdAt with nanoseconds. |
numLogs | The number of logs in the transaction. |
transactionTypeId | The transaction type: EOA_EOA, EOA_Contract, Contract_contract |
contractAddress | The address of the contract if this transaction created a contract and null otherwise. |
isCoinbase | (UTXO Chains) - first transaction in a block |
fee | The transaction fee. |
from | Contains data about the transaction sender. |
cumulativeGasUsed | The total gas used up to and including the transaction. |
gas | |
gasPrice | The value equal to the number of computation units (in Ethereum Wei) to be paid per unit of gas for all computation costs incurred as a result of the execution of this transaction. |
gasUsed | The value equal to the total amount of gas used by the transaction. |
maxFeePerGas | Maximum amount that can be paid to validate and include this transaction in the blockchain. |
maxPriorityFeePerGas | The value equal to the number of transactions sent by the address. |
input | The input data to the function. |
nonce | The value equal to the number of transactions sent by the address. |
status | The status of the transaction (successful, failed, etc.) |
timestamp | The value equal to the reasonable output of Unix’s time() at this transactions confirmation. |
timestampNanoseconds | The transaction timestamp with nanoseconds. |
to | Contains objects that hold data about the recipient address(es). |
tos | |
type | The transaction type:0 - legacy2 - EIP 1559 |
value | The scalar value equal to the number of units (in Ethereum Wei) to be transferred to the message call’s recipient or, in the case of contract creation, as an endowment to the newly created contract. |
accessList | |
logsBloom | The Bloom filter composed from indexable information (logger address and log topics) contained in each log entry from the receipt of each transaction in the transactions list. |
r | Value corresponding to the signature of the transaction and used to determine the sender of the transaction. |
s | Value corresponding to the signature of the transaction and used to determine the sender of the transaction. |
v | Value corresponding to the signature of the transaction and used to determine the sender of the transaction. |
opProInputValue | BTC & LTC only. Value of the transaction input. |
opProLockTime | BTC & LTC only. Block height a transaction will be confirmed. Optional. |
opProOutputValue | BTC & LTC only. Value of the transaction output. |
opProSize | BTC & LTC only. The number of bytes that the transaction takes up on the blockchain |
opProVersion | BTC & LTC only. Version of the transaction format. |
opProVirtualSize | BTC & LTC only. A measure of the complexity of the transaction, and it is used to calculate the fee. |
opProInputs | BTC & LTC only. Input address(es) |
opProOutputs | BTC & LTC only. Output address(es) |
Transactions
Field | Bitcoin - Description | Ethereum - Description |
---|---|---|
hash | The transaction hash. | The transaction hash. |
blockNumber | The block number of the block in which the specified transaction is contained. | The block number of the block in which the specified transaction is contained. |
contractAddress | N/A | The address of the contract if this transaction created a contract and null otherwise. |
cumulativeGasUsed | N/A | The total gas used up to and including the transaction. |
from | Contains data about the transaction sender. | Contains data about the transaction sender. |
gas | N/A | Gas used for this transaction. |
gasPrice | N/A | The value equal to the number of computation units (in Ethereum Wei) to be paid per unit of gas for all computation costs incurred as a result of the execution of this transaction. |
gasUsed | N/A | The value equal to the total amount of gas used by the transaction. |
index | The transaction index in block. Will be 0 for pending transactions. | The transaction index in block. Will be 0 for pending transactions. |
input | N/A | The input data to the function. |
logsBloom | N/A | The Bloom filter composed from indexable information (logger address and log topics) contained in each log entry from the receipt of each transaction in the transactions list. |
nonce | N/A | The value equal to the number of transactions sent by the address. |
numFunctionCalls | N/A | The number of function calls made during the execution of a smart contract as part of this transaction. |
publicKey | N/A | The public key associated with the sender of the transaction. |
raw | N/A | The raw hexadecimal representation of the entire transaction. |
root | N/A | Particularly relevant in the context of Ethereum's pre-EIP-1559 transactions and blocks, refers to the state root of the Ethereum world state after the transaction has been processed. |
status | The status of the transaction (0x1 if successful) | The status of the transaction (0x1 if successful) |
timestamp | The value equal to the reasonable output of Unix’s time() at this transactions confirmation. | The value equal to the reasonable output of Unix’s time() at this transactions confirmation. |
to | Contains objects that hold data about the recipient address(es). | Contains objects that hold data about the recipient address(es). |
value | Total scalar transaction (UTXO measurement) input value minus transaction fee | The scalar value equal to the number of units (in Ethereum Wei) to be transferred to the message call’s recipient or, in the case of contract creation, as an endowment to the newly created contract. |
meta | Metadata of the UTXO transaction, such as size of transaction, weight, and block version | Contains auxiliary information about the transaction that is not directly related to the execution or processing of the transaction on the Ethereum blockchain. |
r | N/A | Value corresponding to the signature of the transaction and used to determine the sender of the transaction. |
s | N/A | Value corresponding to the signature of the transaction and used to determine the sender of the transaction. |
v | N/A | Value corresponding to the signature of the transaction and used to determine the sender of the transaction. |
fees | The transaction fee (in UTXO scalar value) | The transaction fee. |
isCoinbase | Only for UTXO Chains - first transaction in a block otherwise known as a coinbase transaction. Not to be confused with Coinbase the CEX. | N/A |
blockHash | The block hash. | The block hash. |
type | N/A | The transaction type: 0 - legacy 2 - EIP 1559 |
adjustedValue | Total amount of value the recipient address received | An interpretation or adjustment of the transaction value to provide more context or clarity. |
maxFeePerGas | N/A | Maximum amount that can be paid to validate and include this transaction in the blockchain. |
maxPriorityFeePerGas | N/A | The value equal to the number of transactions sent by the address. |
accessList | N/A | A feature introduced as part of EIP-2930, used to specify which addresses and storage slots a transaction intends to access. |
transactionInputs | The Transaction Input Vector (raw input transaction information) | The data provided as input to a transaction, especially when the transaction involves interaction with a smart contract. |
transactionOutputs | The Transaction Output Vector (raw output transaction information) | The outputs generated by executing a transaction on the Ethereum blockchain. |
DeFi Data
Ethereum - Protocol Events (Aave v2 & v3)
Field | Description |
---|---|
account | The EOA that triggered this event |
action | The event that the EOA triggered in the smart contract |
amountNative | The amount of the asset in native units, normalized with the asset's decimals |
amountUSD | The amount of the asset in US dollars |
assetId | The smart contract address of the asset |
assetSymbol | The human readable, abbreviated name of the asset |
blockNumber | The integer value identifying the block |
borrowRate | The interest rate for borrowing the asset |
borrowRateMode | Indicates whether the borrowRate is stable or variable |
caller | |
collateralAmountNative | The amount of the asset in native units, normalized with the asset's decimals |
collateralAmountUSD | The amount of the asset in US dollars |
collateralAssetId | The smart contract address of the asset. This is the asset that was used as backing for the borrowing activity of liquidatee |
collateralAssetSymbol | The human readable, abbreviated name of the asset |
initiator | |
liquidatee | The EOA being liquidated because they are under-collateralized on their borrowed amount |
liquidator | The EOA that is triggering the liquidation on liquidatee |
logIndex | |
market | |
marketId | |
principalAmountNative | The amount of the asset in native units, normalized with the asset's decimals |
principalAmountUSD | The amount of the asset in US dollars |
principalAssetId | The smart contract address of the asset. This is the asset that was borrowed by the liquidatee |
principalAssetSymbol | The human readable, abbreviated name of the asset |
profitUSD | The amount in US dollars that the liquidator earned from triggering a liquidation |
repayer | The EOA that repaid the load |
reserveAsCollateralEnabled | Indicates if assets deposited into the smart contract can be used as collateral |
target | |
timestamp | Indicates the datetime or epoch milliseconds of when the event took place |
totalFee | The fee for the FlashLoan |
transactionHash | The unique identifier of the transaction indicating that the transaction was validated and added to the block |
Ethereum - Protocol Events (Compound v2 & MakerDAO)
Field | Description |
---|---|
account | The EOA that triggered this event |
action | The human readable name of the event that the EOA triggered in the smart contract |
amountNative | The amount of the asset in native units, normalized with the asset's decimals |
amountUSD | The amount of the asset in US dollars |
assetId | The smart contract address of the asset |
assetSymbol | The human readable, abbreviated name of the asset |
blockNumber | The integer value identifying the block |
borrowRate | The interest rate for borrowing the asset |
borrowRateMode | Indicates whether the borrowRate is stable or variable |
collateralAmountNative | The amount of the asset in native units, normalized with the asset's decimals |
collateralAmountUSD | The amount of the asset in US dollars |
collateralAssetId | The smart contract address of the asset. This is the asset that was used as backing for the borrowing activity of liquidatee |
collateralAssetSymbol | The human readable, abbreviated name of the asset |
liquidatee | The EOA being liquidated because they are under-collateralized on their borrowed amount |
liquidator | The EOA that is triggering the liquidation on liquidatee |
logIndex | |
market | |
marketId | |
principalAmountNative | The amount of the asset in native units, normalized with the asset's decimals |
principalAmountUSD | The amount of the asset in US dollars |
principalAssetId | The smart contract address of the asset. This is the asset that was borrowed by the liquidatee |
principalAssetSymbol | The human readable, abbreviated name of the asset |
profitUSD | The amount in US dollars that the liquidator earned from triggering a liquidation |
timestamp | Indicates the datetime or epoch milliseconds of when the event took place |
totalFee | The fee for the FlashLoan |
transactionHash | The unique identifier of the transaction indicating that the transaction was validated and added to the block |
DEX - Trades
Field | Description |
---|---|
exchange | The name of the exchange. |
timestamp | Timestamp when Amberdata received the data. |
timestampNanoseconds | The nanosecond part of the timestamp where applicable. |
isBuy | Indicates the direction of the trade: - true means buy the base, sell the quote- false means sell the base, buy the quote |
price | The actual price at which the asset was traded (including slippage, but not fees) |
volume | The total amount of that asset that was traded. |
tradeId | The exchange provided id of the trade. |
logIndex | The index of the log within the transaction which included this trade event. |
pairAddress | The address of the pair. |
amountInBase | The amount of the Base asset accepted in the trade. |
amountInQuote | The amount of the Quote asset accepted in the trade. |
amountOutBase | The amount of the Base asset returned in the trade. |
amountOutQuote | The amount of the Quote asset accepted in the trade. |
fromAddress | The address which started the trade, ie the sender |
toAddress | The recipient of the trade, ie the receiver |
DEX - Liquidity
Field | Description |
---|---|
exchangeName | The name of the exchange. |
exchangeId | The address of the exchange/pool. |
pair | The common name for the pair - name is not unique, use pairAddress instead. |
pairNormalized | The internal name for the pair - name is not unique, use pairAddress instead. |
pairAddress | The address of the pair. |
baseAddress | The address of the first underlying assert behind the pair. |
quoteAddress | The address of the last underlying assert behind the pair. |
address | The address of the asset for which this liquidity events is for (would be one of base or quote address). |
timestamp | The timestamp associated with this record. |
transactionHash | The hash of the transaction which included this liquidity event. |
transactionIndex | The index of the transaction which included this liquidity event. |
logIndex | The index of the log within the transaction which included this liquidity event. |
amount | The new amount of the underlying asset after this liquidity event. |
liquidityPrice | The new price of the underlying asset after this liquidity event. |
timestampNanoseconds | The nanosecond part of the timestamp where applicable. |
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 6 days ago