Retrieves the historical time series order book events (bid and ask) for the specified instrument and exchange(s).
Note: This endpoint returns a maximum of 1 hour of historical data per request. The parameters startDate and endDate can be used to specify any arbitrary time range.
Time Range Limit
The maximum time range (difference between startDate and endDate) is 1 hour.
In order to get more than the maximum allowed, you can use the
startDate&endDateparameters to move the time frame window to get the next n days/hours/minutes of data.This endpoint is used to retrieve historical data only and is updated every hour. If your query does not return any data, try the hour before using the
startDate&endDateparameters.
Not specifying startDate and endDate
If the
startDateandendDatequery parameters are not provided, the API will return the data from the previous 10 minutes.
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] | object | 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 | The nanoseconds decimal part of the timestamp. |
| [data].isBid | boolean | true if the order is a bid, false otherwise. |
| [data].price | number | Price level in the order book. |
| [data].amount | number | The number of contracts at the price level (an amount of zero indicates a delete from the order book). |