Events/Updates Historical

Retrieves the historical (time series) order book event data for the specified futures instrument.

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Time Range Limit

The maximum time range (difference between startDate and endDate) is 731 days (2 years).

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Not specifying startDate and endDate

If the startDate and endDate query parameters are not provided, the API will return the data from the previous 24 hours.

Response Data

Fields and paths are relative to the top-level payload field i.e. metadata.next is equivalent to payload.metadata.next.

JSON Field/PathValue TypeOptionalDescription
metadata.nextstringPagination
data[index].timestampstring | numberThe timestamp of the event/update.
data[index].instrumentstringThe futures instrument in this order book event/update.
data[index].exchangestringThe exchange from which the event/update was retrieved.
data[index].exchangeTimestampstring | number
data[index].sequencestringYes
data[index].ask[index].pricenumberThe ask price of the instrument at this order book level.
data[index].ask[index].volumenumberThe ask volume of the instrument at this order book level.
data[index].ask[index].numOrdersnumberYesThe ask number of orders of the instrument at this order book level.
data[index].ask[index].orderSequencestringYesSome exchanges provide individual sequence values for order levels.
data[index].ask[index].orderTimestampstring | numberYesSome exchanges provide individual timestamps for order levels.
data[index].ask[index].orderTimestampNanosecondsnumberYes
data[index].bid[index].pricenumberThe bid price of the instrument at this order book level.
data[index].bid[index].volumenumberThe bid volume of the instrument at this order book level.
data[index].bid[index].numOrdersnumberYesThe bid number of orders of the instrument at this order book level.
data[index].bid[index].orderSequencestringYesSome exchanges provide individual sequence values for order levels.
data[index].bid[index].orderTimestampstring | numberYesSome exchanges provide individual timestamps for order levels.
data[index].bid[index].orderTimestampNanosecondsnumberYes
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