Historical Crypto Order Book Data

Binance FuturesBinance SpotBybit FuturesBybit SpotOKX FuturesOKX SpotBitget FuturesBitget SpotKraken FuturesKraken SpotHyperliquid FuturesHyperliquid SpotAster FuturesBitMEX (historical)Lighter (Perpetuals & Spot)

Depth updateREST depth snapshot

{
  "stream": "btcusdt@depth@0ms",
  "data": {
    "e": "depthUpdate",
    "E": 1791226898196,
    "T": 1791226898194,
    "s": "BTCUSDT",
    "ps": "BTCUSDT",
    "U": 11742309239582,
    "u": 11742309241602,
    "pu": 11742309239523,
    "b": [
      ["85547.70", "0.020"],
      ["85580.30", "0.355"]
    ],
    "a": [
      ["85601.90", "2.784"],
      ["85605.10", "0.001"],
      ["85723.10", "0.000"]
    ],
    "st": 1
  }
}

Shortened: Binance sent 14 bid levels and 8 ask levels in this message. This example shows the two highest bids and the three lowest asks.

You download

Parquet row · orderbook · 1 of 5 rows from this message

ask 85601.90ask 85605.10ask 85723.10bid 85547.70bid 85580.30

• received_time1791226898340225000INT64
• event_time1791226898196INT64
• transaction_time1791226898194INT64
• symbolBTCUSDTSTRING
• event_typeupdateSTRING
• first_update_id11742309239582INT64
• final_update_id11742309241602INT64
• prev_final_update_id11742309239523INT64
• last_update_idnullINT64
• sideaskSTRING
• price85601.90STRING
• quantity2.784STRING
• order_countnullINT64

Point at a line in the message or a column in the row to trace where each value comes from. Click a column to pin it.

Our tests replay this message through the production pipeline

All Binance Futures mapping rules →

Conventions for every exchange are in the wire formats overview. Column types and units for order book data are in the schema below.

01

Spread, depth, and imbalance

Replay the book to measure bid/ask spread, depth within N basis points, and order book imbalance at any moment in the hour.

02

Execution and market-making backtests

Simulate fills against the liquidity that was actually resting on the book instead of assuming a mid-price fill.

03

Cross-venue liquidity research

Compare depth and spread across exchanges with one schema instead of maintaining a parser per venue.

1. 01

   L2 order book data is aggregated by price level, not individual L3 orders.

2. 02

   Files contain snapshots plus incremental updates. Build state from a complete snapshot, apply later events in stored order, and reset whenever another snapshot appears.

3. 03

   Sequence fields vary by venue. If available continuity IDs show a gap, discard the local book and wait for a newer snapshot rather than replaying a state you cannot verify.

4. 04

   Quantities are in the venue's unit: base asset on most venues, contracts on OKX derivatives (multiply by the instrument's ctVal), and raw per-instrument units on BitMEX.

5. 05

   Hour-start checkpoint snapshots exist for Binance, Aster, OKX, Bybit, Bitget, Lighter, Kraken Futures and Hyperliquid, not for Kraken spot or BitMEX. A checkpoint is written only when the book is proven current, so some hours start without one; continue from the previous hour's book or wait for the next snapshot.

6. 06

   This page starts on 2025-06-28 based on the earliest stored hourly files for its covered exchange IDs and grows as new hourly files are published.

7. 07

   BitMEX (bitmex) is historical only: the exchange has closed and its files end on 2026-09-22.