CM Market Data Feed v2.12 Release Notes

Coin Metrics is pleased to announce the version 2.12 release of our CM Market Data Feed. This release contains support for new data types, new metrics, and many performance upgrades and bug fixes.

What’s New

• Exchange-reported base and quote symbols. We now serve the exchange-reported base and quote symbols using fields base_native and quote_native in /reference-data/markets. These fields are useful to determine how Coin Metrics harmonizes exchange-reported symbols to Coin Metrics symbols.

• Binance, CME, Deribit, and OKEx options order book is now available through /timeseries-stream/market-orderbooks.

• Implied volatility metrics for exchange-assets. We released exchange-metrics volatility_implied_atm_*_expiration served through /timeseries/exchange-asset-metrics. These represent a continuous timeseries of implied volatility using at-the-money options at various expirations, ranging from one day to one year.

• Curve trades, candles, and volume metrics are now available. More details are available at Coin Metrics Expands Support for Curve Market Data.

• Liquidation metrics for assets. We expanded support for our liquidations_reported_future_* metrics to assets. We previously were only calculating this metric for markets, exchanges, exchange-assets, and pairs.

• Deribit spot market candles and volume metrics. Data was backfilled to 2023-04-24, the inception of Deribit’s spot markets.

• Began collection of CME’s Bitcoin Friday futures (BFF).

• Added support for asset metric ReferenceRateETH for asset btc served from /timeseries-stream/asset-metrics.

• Expanded our asset support for our aggregated quotes served from /timeseries-stream/asset-quotes from 139 assets to 198 assets.

• Fixed a bug that prevented the collection of data for CME options Bitcoin markets.

Improvements

• Significant performance improvements in all market data collection applications, especially regarding order book data collection and processing, to address rare instances of increased market activity.

• Improved the methodology of our aggregated quotes served from /timeseries-stream/asset-quotes and /timeseries-stream/pair-quotes to use a 60-minute volume window and to use windsorization to address potential quote outliers.

• Order book data from /timeseries/market-orderbooks will return a full order book snapshot if a depth 100 snapshot is not available.

• Reduced the time that it takes to detect and begin collection of new markets listed on all exchanges.

• Reduced the latency of our ReferenceRate* and principal_market_* metrics served through /timeseries-stream/asset-metrics, especially in instances where one data pipeline is delayed.

• Improved the stability of our order book data collection for Bybit, Poloniex, Deribit, MEXC, KuCoin, Gate.io. Improved the stability of our trades data collection for Bullish, MEXC.

• Migrated our data collection for Bitbank to use their API v4 and for Kraken to use their API v2.

Bug and Data Quality Fixes

• Fixed a bug that prevented the metric futures_cumulative_funding_rate_*_margin_rolling_* from being available.

• Fixed a bug that would sometimes inadvertently create small gaps in our candles when backfilling the data for new markets.

• Fixed a bug regarding which market would be selected as the principal market in our Principal Market Prices (asset metric principal_market_*).

• Fixed the Bybit liquidations side and recalculated liquidation metrics (metrics liquidations_reported_future_*) from 2023-04-25 to present.

• Recalculated liquidity_depth_* and liquidity_slippage_* metrics for futures markets to correct the conversion of futures contract amounts to U.S. dollars from 2021-05-01 to present.

• Recalculated metric futures_cumulative_funding_rate_* from 2023-09-14 to 2024-03-22 to fix gaps.

• Fixed the error code returned by the API when a user requests an invalid metric.