Coin Metrics is pleased to announce the version 2.4 release of our CM Market Data Feed. This release contains several new features, upgrades, and bug fixes.
- New fields for candles data. Our candles data has been expanded to include two new fields: volume in units of U.S. dollars (candle_usd_volume) and the number of trades in the interval (candle_trades_count). These two new fields were added to our existing fields of open, high, low, close, volume-weighted average price (VWAP), and volume in units of the base asset. In our previous release, we added spot and futures market candles at the 1 minute frequency and added gapless candles. When there is no trading activity in an interval, we fill forward candles through time by setting the open, high, low, and close to the close of the previous candle, setting the VWAP to the VWAP of the previous candle, and setting the volume to zero.
- Bybit futures open interest, liquidations, and funding rates. Our coverage of Bybit’s open interest and liquidations data begins in May 2021, and our coverage of Bybit’s funding rates begins at the inception of the exchange in 2018.
- Deribit options open interest. Our coverage of all of Deribit’s option contracts open interest begins in May 2021.
- Grayscale investment product data. We are redistributing data for all of Grayscale’s investment products, including the Grayscale Bitcoin Trust (GBTC) and others. Metrics for these investment products include shares outstanding, market price, net asset value, coins per share, and total assets. These metrics are served through our new /timeseries/institution-metrics endpoint for users who are permissioned to the data. If you are interested in accessing this data, please contact us. The Grayscale institution metrics available in this release are below, where the asterisk indicates the ticker of a specific Grayscale investment product. Please note that the five metrics below do not exist for every ticker.
- CME Ethereum futures trades, candles, and open interest history. We have expanded our coverage to include the entire history for CME Ethereum futures starting in February 2021.
- API market wildcard support. For all of our endpoints in API v4 that accept the market parameter now will accept wildcards like exchange-* or exchange-*-spot or *USDT-future. The wildcards will match any market which fits this pattern so users do not need to specify every individual market when querying data for multiple markets.
- New contract tick size field added to option metadata. This field is now available for options markets through our /catalog/markets and /catalog-all/markets endpoints.
- Expanded order book snapshot coverage. We have expanded both the depth of our order book snapshot coverage and our coverage universe. For important markets, we maintain a snapshot of the top 100 levels at 10 second intervals. We have also begun storing full order book snapshots at hourly intervals. We have also expanded our coverage universe to additional markets on Coinbase, Binance, FTX, Bitfinex, itBit. Please reference our order book documentation on our Knowledge Base for the latest coverage universe.
- Reported spot volume metrics. This release contains new metrics which represent the reported spot volume in units of U.S. dollars at hourly intervals and daily intervals. They are available for assets, pairs, exchanges, and exchange-assets through our /timeseries/asset-metrics, /timeseries/pair-metrics, /timeseries/exchange-metrics, /timeseries/exchange-asset-metrics endpoints, respectively. These metrics are available for common groupings. This means users can now query the spot volume in U.S. dollars for a specific asset like Bitcoin, a specific pair like all Bitcoin-U.S. dollars, a specific exchange like Coinbase, or a specific combination of exchange and asset like Coinbase’s Bitcoin. The spot volume metrics available in this release are: volume_reported_spot_usd_1d and volume_reported_spot_usd_1h
- Reported future volume metrics. This release contains a number of reported future volume metrics in units of U.S. dollars and are also available for assets, pairs, exchanges, and exchange-assets. In addition to total futures volume, we created several additional futures metrics which only include futures that are coin-margined, tether-margined, non-perpetual, or perpetual which represent the primary attributes that characterize the different futures contracts. The future volume metrics available in this release are:
- Future open interest metrics. Similar to the reported futures volume metrics above, we have created futures open interest metrics available at hourly or daily frequency and are also available for assets, pairs, exchanges, and exchange-assets. The futures open interest metrics available in this release are:
- Open interest deduplication. Our open interest data has been upgraded to reduce the number of duplicate observations present in our data. Coin Metrics’ market data collection system is designed to run multiple instances of each application that collects data for redundancy purposes. We have improved our deduplication logic so that only one instance of the application writes to the database. For most exchanges, this results in an open interest observation once a minute. Certain exchanges only update their open interest at a defined interval greater than one minute, so for those exchanges our open interest observations match the update frequency of the exchange.
- Order book snapshot deduplication. Similar to the open interest deduplication above, our deduplication logic for order book snapshots has been improved so that snapshots of the top 100 levels regularly occur once every 10 seconds.
- Reference rates infrastructure upgrades to reduce the latency in calculating our reference rates and improving query performance for users.
- Coinbase, Binance, and OKEx spot trade scraper upgrades to reduce the latency in collecting trades from these exchanges. Added dedicated trades scrapers for Coinbase btc-usd and eth-usd markets.
- FTX liquidations, trades, and funding rate scraper upgrades and Bitfinex futures liquidation scraper upgrades to collect historical data faster.
- Improved instrument discovery for Gemini and Gate.io scrapers. Enabled scraping of additional Gemini markets where one asset has a ticker of length 4 or greater.
- Improved handling of Bybit’s open interest and funding rate scrapers when encountering no data.
- Load balancing support for historical candles and trades to improve query performance.
- Corrected the margin currency in the contract specification for Huobi tether-margined futures.
- Corrected the contract size in the contract specifications for a small number of BitMEX futures markets.
- Corrected the open_interest_usd values for a small number of Bitfinex, BitMEX, and Huobi futures markets.
- Fixed negative trade amount and price for some LocalBitcoins and Liquid markets.
- Set the timestamp to CME futures open interest observations to be at 16:00 America/Chicago time.
- Fixed a bug that prevented all markets from showing up in /catalog/assets endpoint.
- Fixed a bug that prevented ReferenceRateUSD and ReferenceRateEUR to be served through /timeseries-stream/asset-metrics endpoint.
- Reenabled Binance liquidation scrapers after a brief interruption caused by Binance deprecating the API endpoint that previously served liquidations data.
- Fixed invalid VWAP for a small number of candles on 2021-01-01 and 2021-01-08.
About CM Market Data Feed
The CM Market Data Feed provides access to historical and real-time data from the world’s leading spot and derivatives crypto exchanges. Our coverage universe currently consists of 2,171 assets, 34 exchanges, 12,553 spot markets, 6,353 futures markets, 14,883 options markets, 2,698 pairs, and one institution . We offer a wide range of harmonized datasets such as trades, candles, order book snapshots, several futures-specific data types, several options-specific data types, several market data metrics, and more. More detailed and up-to-date information can be found at the Coin Metrics Knowledge Base.
Please contact Coin Metrics through our website or at [email protected].io for more information on the CM Market Feed.