Provides detailed historical snapshots of options order books, including bid and ask levels, underlying prices, market statistics, open interest, and Greeks, enabling in-depth analysis of market depth and options pricing over time across supported exchanges.
⚠️ Historical Data Availability Notice (click to expand)
To ensure optimal performance and system reliability, historical data for Order Book Snapshots and Order Book Events via REST API is available for the past 18 months only. If you require access to deeper historical data—for use cases such as machine learning model training, backtesting strategies, or conducting long-term research—we strongly recommend using our bulk file delivery options. These solutions are designed to efficiently handle large-scale data access and offer full historical coverage across all supported exchanges and instruments.
Why this limitation?
- REST APIs are optimized for recent, low-latency access to granular data. Using them for deep historical queries can lead to performance degradation, rate limiting, and an inconsistent experience. Bulk delivery options are purpose-built for large data pulls and are the best fit for these needs.
Time Range Limit
The maximum time range (difference between startDate and endDate) is 1 hour.
Not specifying startDate and endDate
If the startDate and endDate query parameters are not provided, the API will return the data from the previous 10 minutes.
RESPONSE DATA (click to expand)
| 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 | The sequence number (equal to null if it is not provided by the exchange). |
| data[].metadata | object | null |