Crypto Order books (Bitcoin, Etherum and more) - CEX and DEX

# Orderbook Data

Orderbook data provides a comprehensive snapshot of market depth and liquidity by capturing the full range of buy (bid) and sell (ask) orders for cryptocurrency trading pairs. This data represents up to 20 price levels on each side of the orderbook, offering detailed insight into market microstructure and available liquidity at different price points.

# Data Fields:

- symbol_id: Unique identifier for the trading pair
- time_exchange: Timestamp of the orderbook snapshot from the exchange
- time_coinapi: Timestamp when CoinAPI processed the data
- bids[number].price: Price levels for buy orders, from highest to lowest
- bids[number].size: Available volume at each bid price level
- asks[number].price: Price levels for sell orders, from lowest to highest
- asks[number].size: Available volume at each ask price level

The orderbook maintains price-time priority, with each level representing the aggregate volume available at that price. The bid-ask spread can be calculated as the difference between asks[0].price and bids[0].price, providing a key measure of market liquidity. Each price level's size represents the total quantity of the base currency available for trading at that price.

This data is essential for understanding market depth, analyzing liquidity conditions, and executing large trades with minimal price impact. It enables real-time market making strategies and provides crucial insights for algorithmic trading systems.

搜集汇总

背景与挑战

背景概述

该数据集提供比特币、以太坊等多种加密货币在中心化和去中心化交易所的订单簿数据，包含买卖双方各20个价格层级的详细快照，用于分析市场深度和流动性。数据字段涵盖交易对标识、时间戳及每个价格层的买卖价格与数量，支持市场微观结构研究和算法交易策略。