Level 1 & Level 2 Data - CeFi Spot

The need for independent institutional-grade crypto market data has never been higher, and that’s what we deliver, backed by proprietary methodologies, approved by regulators and the wider industry. Our data is used as the foundation for world-class crypto indices underlying market-leading financial products and premium research published on a global scale.

<br/>**Our CeFi Spot Data** <br/><br/>CeFi spot data delivers comprehensive, tick-level and aggregated market data, including trades, order books, and liquidity metrics, standardized across 100+ centralized cryptocurrency exchanges.<br/>

See our full CeFi Spot market coverage [here](https://docs.kaiko.com/coverage/cefi-spot-markets).

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*Scroll down to learn more…*

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## **Raw Trades (*view_tick_data)***

See tick-data view

Tick-level data is the most granular level of trading data and contains every single trade that occurs on centralized and decentralized exchanges. The data is normalized and timestamped and contains information such as the price and volume of each trade.

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**Sample Fields**

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**timestamp** - Exchange‑provided event time or collection time, as Unix timestamp in milliseconds (ms).

**trade_id** - Unique trade identifier (exchange‑unique). If the exchange does not provide one, a deterministic ID is generated.

**price** - Trade price expressed in the quote currency.

**amount** - Quantity of the asset bought or sold (may be in base asset units, quote asset units, or number of contracts).

**taker_side_sell** - For CEX: true when a taker’s sell order fills a maker’s buy order; false when a taker’s buy order fills a maker’s sell order.<br/>

## **Trade Aggregations**

Trade aggregations provide time-bucketed summaries of trading activity across centralized exchanges. The data is aggregated into standardized intervals (e.g., 1 minute, 1 hour, 1 day) and includes OHLCV metrics: opening price, highest price, lowest price, closing price, and total volume. Each aggregation is normalized and timestamped, enabling efficient analysis of price movements and market trends.<br/>

**Sample Fields**

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**timestamp** - Timestamp at which the interval begins.

**count** - Number of trades in the interval; 0 when no trades are reported.

**open** - Opening price of the interval; null when no trades are reported.

**high** - Highest price during the interval; null when no trades are reported.

**low** - Lowest price during the interval; null when no trades are reported.

**close** - Closing price during the interval; null when no trades are reported.

**volume** - Volume traded during the interval; 0 when no trades are reported.

**price** - Volume-weighted price during the interval; null when no trades are reported.

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## <br/>**Order Book Aggregations**

Order book aggregations provide time-bucketed snapshots of market depth across centralized exchanges. The data is captured at standardized intervals (e.g., 1 minute, 1 hour, 1 day) and includes bid and ask prices with their corresponding volumes at various depth levels. Each snapshot is normalized and timestamped, enabling efficient analysis of liquidity distribution, spread dynamics, and market depth trends.

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**Market Depth** <br/>Market Depth provides insight into the "depth" of an exchange's order book by aggregating the volume of bids and asks within 0-10% of the best bid or ask, respectively. A higher volume of bids and asks at each level implies more liquidity. Shows via a point-in-time view, generated every 30 seconds.

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**Market Depth Aggregation**

Market Depth provides insight into the "depth" of an exchange's order book by aggregating the volume of bids and asks within 0-10% of the best bid or ask, respectively. A higher volume of bids and asks at each level implies more liquidity. Shows via an aggregation of all 30-second snapshots from the period requested.

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**Price Slippage**

Price Slippage calculates the potential slippage for a market buy order if it were placed at the time the Order Book Snapshot was taken. Shows via a point-in-time view, generated every 30 seconds.

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**Price Slippage Aggregation**

Price Slippage calculates the potential slippage for a market buy order if it were placed at the time the Order Book Snapshot was taken .Shows via an aggregation of all 30-second snapshots from the period requested.

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**Bid-ask Spread** Delivers averages for bid volume, ask volume, bid-ask spread and price slippage across the requested period.

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**Raw Order** The raw data on which our Level 2 Aggregations such as market depth , bid/ask spread, and price slippage are built. Details a point-in-time view of the bids and asks on an exchange's order book to 10% depth. Used to build your own custom level 2 aggregations. The snapshot is produced every 30 seconds.

搜集汇总

背景与挑战

背景概述

该数据集提供机构级的加密货币现货市场数据，覆盖100多家中心化交易所，包括tick级交易、订单簿和流动性指标。数据经过标准化处理，支持聚合分析，如OHLCV、市场深度和价差动态，用于市场趋势和流动性研究。