Market Data Feed and Market Data Pro v2.14 Release Notes

We’re pleased to announce the release of Market Data Feed and Market Data Pro v2.14, which includes significant API enhancements, expanded data coverage, and important bug fixes. This release introduces new open interest metrics, improved API performance with JSON streaming, and expanded coverage for reference rates, asset quotes, and order book snapshots. We’ve also made substantial improvements to data quality, including critical fixes to open interest data and comprehensive recalculations across multiple market types.

What’s New

Data Coverage & Metrics

• Expanded market coverage for order book snapshots. We previously were collecting snapshots of the order book for depth limits of 100 or below and 10pct_mid_price for the markets that contain approximately the top 100 assets across all exchanges. Now, we have expanded our coverage to every market on all major exchanges.
• New open interest metrics for markets. We published new metrics available via the /timeseries/market-metrics endpoint. These metrics should be used as a replacement for the value_usd field via /timeseries/market-openinterest going forward:
  • open_interest_reported_future_usd – represents the notional value of open interest in U.S. dollars for futures markets
  • open_interest_reported_option_notional_usd – represents the notional value of open interest in U.S. dollars for options markets
• New option market value metric. We also added the open_interest_reported_option_market_value_usd metric, available through /timeseries/market-metrics, which represents the market value of open interest in U.S. dollars for option markets.
• Expanded realized volatility metrics coverage. We expanded our realized volatility metrics to include the following rolling periods: 24h, 7d, 30d, 60d, 90d, 120d, 180d, 270d, 1y.
• Increased reference rates and principal market price coverage. Our coverage has increased from 1,418 assets to 1,618 assets.
• Expanded asset quotes and pair quotes coverage. Our asset coverage previously consisted of approximately the top 300 assets. We have expanded the coverage to any asset listed on the Coin Metrics set of trusted exchanges where the quote currency can be converted to U.S. dollars. The current coverage consists of over 2,000 assets and 4,000 pairs and can be accessed through /timeseries-stream/asset-quotes and /timeseries-stream/pair-quotes.

Exchange & Market Support

• New DeFi exchange support on Layer 2 networks. We now support reference data, trades, candles, and volume metrics for the following exchanges: aerodrome_slipstream_base, velodrome_v3_op, uniswap_v3_base, uniswap_v2_base, uniswap_v4_base, uniswap_v4_op.
• GFO-X websocket data support. Added support for GFO-X to /timeseries-stream/market-trades and /timeseries-stream/market-orderbooks.
• Began collection of CME XRP futures. Coin Metrics generally automatically collects all newly-listed instruments; however, these contracts required special handling in order to begin collection.
• Support for LMAX spot micro contracts. LMAX launched a series of new instruments where the contract size is 0.01 units of the base asset. We updated our systems to accurately represent these contracts and enabled the contract_size field from /reference-data/markets for spot markets so that users can understand the full specifications of these new contracts.
• Expanded Bybit spot market order book depth from 50 levels to 1,000 levels.
• Began historical collection of CME option trades from CME DataMine. This allows us to supplement our real-time collection of CME option trades to ensure completeness in data collection.

API Enhancements

• Added format=json_stream to most API endpoints. This new format allows users to request data without using pagination. For certain endpoints, especially for catalog-v2 endpoints, both response latency and data transfer speed are greatly increased.
• API catalog endpoints now support filtering by start time and end time. Our catalog endpoints describe our coverage for over 500,000 markets. Many of the markets are futures and option markets that are expired or spot markets that have been delisted. Users can now filter our catalog endpoints using new start time and end time parameters to identify markets that were active during a specific time range, such as markets that are currently active. The new parameters are available for our /catalog-v2/market-* endpoints.
• Added ignore_unsupported_errors and ignore_forbidden_errors parameters to /timeseries/market-metrics. These parameters ensure a successful request even if the user requests data that is unsupported or data that the user is not permissioned to access.
• Improved API documentation with enhanced rate limit information. We improved our API documentation to explain in greater detail the rate limits in our API. Users can always use X-RateLimit-* response headers to find additional information about the rate limits.
• Our API documentation now shows examples using our Python API Client for each endpoint.
• Added the margin_asset field for option markets in /reference-data/markets.

Improvements

Performance & Latency

• Significantly improved the latency and resiliency in collecting and storing trades data.
• Significant improvement in the response latency for /timeseries/market-orderbooks and /timeseries/market-quotes endpoints when using wildcards and the granularity parameter.

Data Quality & Accuracy

• Improved our handling of outlier prices in our asset quotes and pair quotes. Previously, if we encountered an outlier that exceeds 3% from the median price, we would winsorize prices to 3%. Now, we will winsorize prices to 1% for markets where the quote currency is not a stablecoin.

Infrastructure & Reliability

• Improved the resiliency of our reference rates application to handle volatile spikes in trading activity.
• Improved error handling in our API when a user requests DeFi markets for /timeseries/market-quotes.
• Improved error handling in our API when a user uses wildcards.
• Migrated data collection to use the latest version of the exchange’s API for collecting Gemini spot trades and CME spot, futures, and option trades, and MEXC spot.
• Routine improvements to enhance the resiliency, stability, and latency in the collection for Binance, BitMEX, Bullish, Bybit, Coinbase, Coinbase International, dYdX, Gate.io, Gemini, Kraken, KuCoin, MEXC, and OKEx.

Bug Fixes

Critical Fixes

• Fixed a bug where the price and size were reversed for Deribit option order books and quotes from 2021-09-01 to 2024-09-02.

Important Fixes

• Improved handling of duplicate trade IDs for Gate.io spot markets. Gate.io in rare circumstances will reuse a trade ID which caused us to miss collecting a small number of observations. We have improved our collection so that we collect all trades even if trades reuse an existing trade ID.
• Fixed a bug that resulted in incorrect listing and expiry dates for CME futures markets.
• Fixed a bug that would result in a small number of missing observations when using the granularity parameter in /timeseries/market-orderbooks.
• Fixed a bug that resulted in out-of-order observations when using format=json_stream in /timeseries/index-levels.
• Fixed a bug that prevented OKEx and LBank spot market metadata and Gate.io futures market metadata from being collected.
• Fixed a bug that could cause gaps in our candles in rare circumstances.
• Added support for assets where the ticker is numerical.

Data Quality Fixes

Critical Fixes

• Improvements to open interest data. We corrected several issues to the accuracy and consistency of our open interest data across futures and options markets. Please see our complete announcement for more details.
• Recalculated all history of option market candles from 2016-11-29 to 2024-12-13 to correct a small number of observations where the candle timestamp was not aligned to the expected timestamp. All option volume metrics were also recalculated for the same time period.

Data Corrections

• Backfilled a small number of missing observations in order book data across spot, futures, and options from January 2019 to May 2025.
• Backfilled Deribit option implied volatility, greeks, and contract prices on 2025-07-07.
• Backfilled Gemini spot candles from 2025-08-18 to 2025-08-19.
• Backfilled gaps in candles for bybit-ltc-mnt-spot on 2025-09-09 15:00:00.
• Recalculated depth and slippage metrics from 2025-05-09 08:00:00 to 2025-05-12 06:00:00.
• Recalculated Bybit futures candles and volume metrics from 2025-08-10 to 2025-08-24.
• Recalculated reference rates and principal market price for virtual from 2025-09-11 to 2025-09-26.
• Recalculated candles, reference rates, principal market price, and volume metrics from 2025-10-10 22:00 to 2025-10-11 03:00.