Snapshots Historical [ENT]

Retrieves the historical time series order book snapshots (bid and ask) for the specified instrument and exchange(s).

Note: This endpoint returns a maximum of 10 minutes of historical data per request. The parameters startDate and endDate can be used to specify any arbitrary time range.

RESPONSE DATA

Field

Type

Description

metadata

object

The metadata associated with the data.

metadata.columns

array

The name of the columns associated with the returned liquidation data.

metadata.startDate

number | string

The first date/time for which data is available.

metadata.endDate

number | string

The last date/time for which data is available.

data

array

The order book data corresponding to the columns fields, aggregated by exchange.

data[].exchange

string

The name of the exchange, as specified by the filter provided or representing the supported exchanges for this instrument.

data[].timestamp

number | string

The time at which the event occurred.

data[].timestampNanoseconds

number | null

The nanoseconds decimal part of the timestamp.

data[].underlyingPrice

number | null

Underlying price for implied volatility calculations.

data[].underlyingIndex

string | null

Name of the underlying future, or indexPrice.

data[].stats

object | null

data[].stats.high

number | null

Highest price during 24h.

data[].stats.low

number | null

Lowest price during 24h.

data[].stats.price_change

number | null

24-hour price change expressed as a percentage, null if there weren't any trades.

data[].stats.volume

number | null

Volume during last 24h in base currency.

data[].state

string | null

The state of the order book. Possible values are open and closed.

data[].openInterest

number | null

The amount of corresponding cryptocurrency contracts, e.g., BTC or ETH.

data[].minPrice

number | null

The minimum price for the future. Any sell orders you submit lower than this price will be clamped to this minimum.

data[].maxPrice

number | null

The maximum price for the future. Any buy orders you submit higher than this price, will be clamped to this maximum.

data[].markPrice

number | null

The mark price for the instrument.

data[].markIv

number | null

Implied volatility for mark price.

data[].lastPrice

number | null

The price for the last trade.

data[].interestRate

number | null

Interest rate used in implied volatility calculations.

data[].indexPrice

number | null

Current index price

data[].greeks

object | null

data[].greeks.delta

number | null

The delta value for the option.

data[].greeks.gamma

number | null

The gamma value for the option.

data[].greeks.rho

number | null

The rho value for the option.

data[].greeks.theta

number | null

The theta value for the option.

data[].greeks.vega

number | null

The vega value for the option.

data[].estimatedDeliveryPrice

number | null

The settlement price for the instrument. Only when state = open.

data[].bids

array of [price, amount]

List of bids.

data[].bidIv

number | null

Implied volatility for best bid.

data[].bestBidPrice

number | null

The current best bid price, null if there aren't any bids.

data[].bestBidAmount

number | null

It represents the requested order size of all best bids.

data[].bestAskPrice

number | null

The current best ask price, null if there aren't any asks.

data[].bestAskAmount

number | null

It represents the requested order size of all best asks.

data[].asks

array of [price, amount]

List of asks.

data[].askIv

number | null

Implied volatility for best ask.

data[].sequence

number | null

data[].metadata

object | null

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