Daily Spot Traffic - Full Book

**Overview**
BlockFills offers an institutional-grade, aggregated full-order book that provides researchers and traders with a complete historical depth of the book for all major cryptocurrency pairs.

Each price level represents the volume weight average price at each quantity. Because the data represents a collection of raw prices across exchanges and liquidity providers, the data provides unique insight into market dynamics and inefficiencies. Similarly, BlockFills has made available historical, top-of book, raw price data representing the best bid/offer across 30+ liquidity providers and exchanges.

**Attributes**
* Institutionalgrade, historical aggregated order book, and top-of-book pricing data
* 30+ liquidity providers and exchanges
* Raw prices represent the true market spreads and market dynamics
* Data is available via Delta Sharing, CSV, and REST API

**Use Cases**
* *Research*: historical data used to study and model the behavior of the cryptocurrency market microstructure
* *Backtesting Strategies*: historical data used to support the development and testing of your algorithmic trading strategies
* *Market Making*: historical data used to provide insights into order book dynamics, spreads, and slippage
* *Custom Indices*: historical data can be leveraged to build custom indices, visualizations, or pricing data

搜集汇总

背景与挑战

背景概述

该数据集由BlockFills提供，包含机构级的聚合全订单簿和历史顶部订单簿数据，覆盖30多个流动性提供商和交易所的原始价格，用于研究加密货币市场微观结构、策略回测、做市和定制指数等应用。数据可通过Delta Sharing、CSV和REST API获取。