Bitcoin Order Book Data

Set of order book snapshots of the now closed down trading platform BTC-e for the Bitcoin/USD market. The snapshots are taken every 10 seconds and contain 20 levels per side of the book. Both prices and volumes are included for each level. The data covers the years 2015 and 2016. Data comes in two versions: parsed data as a multivariate time series per side of the book. That is, one file for each side of the book which contains 20 rows, where the first row is the series of the first level of prices or volumes and the last row is the series of the 20th level. This applies both to asks and bids. The other version of the data is unparsed and contains the 20 levels per side paired with the volumes and a timestamp string.

本数据集收录了已关停交易平台BTC-e比特币/美元（Bitcoin/USD）市场的委托簿（order book）快照集合。此类快照每10秒采集一次，委托簿每一侧均包含20个交易档位，每个档位均记录对应价格与交易量。数据覆盖2015年与2016年两个年度。
数据集包含两种版本：其一为已解析版本，以多元时间序列（multivariate time series）形式存储委托簿每一侧的数据：即委托簿每一侧对应一个包含20行数据的文件，其中首行对应第1档位的价格或交易量序列，末行对应第20档位的序列，该规则同时适用于卖盘（asks）与买盘（bids）。其二为未解析版本，每侧保留20个交易档位，同时关联对应交易量与时间戳字符串（timestamp string）。