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.

本数据集收录已关停交易平台BTC-e的比特币兑美元（BTC/USD）市场订单簿（order book）快照。快照采集频率为每10秒一次，每侧订单簿包含20个价位档位，每个价位档位均记录对应价格与交易量。数据集覆盖2015年与2016年。数据集包含两种格式版本：其一为已解析版本，以每侧订单簿的多变量时间序列形式存储；具体而言，每侧订单簿对应一个文件，该文件包含20行数据，首行对应第1个价位档位的价格或交易量序列，末行对应第20个价位档位的序列，该存储规则同时适用于卖单（asks）与买单（bids）。另一版本为未解析版本，包含每侧的20个价位档位，同时搭配对应交易量与时间戳字符串。