Order Book Data

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Retrieve order book snapshots showing bid and ask levels with prices and quantities.

Order book data is stored using the CommonOrderbookEvent structure, which captures both snapshots and incremental updates from exchanges:

Each orderbook event contains timing information, exchange metadata, and individual price level updates for either bids or asks.

Field	Type	Nullable	Description
received_time	INT64	No	Unix timestamp (nanoseconds) when our system received the event
event_time	INT64	No	Unix timestamp (exchange dependent on timescale) when the exchange generated the event
transaction_time	INT64	Yes	Exchange-specific transaction timestamp (when available)
symbol	STRING	No	Trading pair symbol (e.g., "BTCUSDT")
event_type	STRING	No	Type of orderbook event ("snapshot" or "update")
first_update_id	INT64	Yes	First update ID in the update sequence
final_update_id	INT64	Yes	Final update ID in the update sequence
prev_final_update_id	INT64	Yes	Previous final update ID (for gap detection)
last_update_id	INT64	Yes	Last update ID processed by the exchange
side	STRING	No	Order book side ("bid" or "ask")
price	STRING	No	Price level (stored as string for precision)
quantity	STRING	No	Quantity at price level (stored as string for precision)
order_count	INT64	Yes	Number of orders at this price level (when available from exchange)

Complete orderbook state at a point in time

Incremental changes to orderbook

For a comprehensive tutorial on exploring orderbook data, including exchange comparisons and visualization, check out our blog post: How to Download Historical Crypto Orderbook Data with Python

GET

/download

Retrieve order book snapshots showing bid and ask levels with prices and quantities.

Order book data is stored using the CommonOrderbookEvent structure, which captures both snapshots and incremental updates from exchanges:

Each orderbook event contains timing information, exchange metadata, and individual price level updates for either bids or asks.

Field	Type	Nullable	Description
received_time	INT64	No	Unix timestamp (nanoseconds) when our system received the event
event_time	INT64	No	Unix timestamp (exchange dependent on timescale) when the exchange generated the event
transaction_time	INT64	Yes	Exchange-specific transaction timestamp (when available)
symbol	STRING	No	Trading pair symbol (e.g., "BTCUSDT")
event_type	STRING	No	Type of orderbook event ("snapshot" or "update")
first_update_id	INT64	Yes	First update ID in the update sequence
final_update_id	INT64	Yes	Final update ID in the update sequence
prev_final_update_id	INT64	Yes	Previous final update ID (for gap detection)
last_update_id	INT64	Yes	Last update ID processed by the exchange
side	STRING	No	Order book side ("bid" or "ask")
price	STRING	No	Price level (stored as string for precision)
quantity	STRING	No	Quantity at price level (stored as string for precision)
order_count	INT64	Yes	Number of orders at this price level (when available from exchange)

Complete orderbook state at a point in time

Incremental changes to orderbook

For a comprehensive tutorial on exploring orderbook data, including exchange comparisons and visualization, check out our blog post: How to Download Historical Crypto Orderbook Data with Python