Coin Metrics collects quotes representing the best bid order and best ask order residing at the top of the order book for individual markets like coinbase-btc-usd-spot. In addition to this, Coin Metrics now calculates quotes for assets like btc and pairs like btc-usd by aggregating quotes across a selection of high-quality constituent markets!
Now our users can get access to the best bid and best ask for assets and pairs in real-time. Our aggregated quotes are conceptually similar to the National Best Bid Offer (NBBO), a regulation issued by the United States Securities and Exchange Commission that requires brokers to execute customer trades at the best available price.
How Can I Use Aggregated Quotes?
We constructed our aggregated quotes to target several potential use cases:
- OTC trading desks can use our aggregated quotes as an input to inform the quotes they offer to their clients or as a benchmark to compare against.
- Brokers can use our aggregated quotes as benchmark representing the National Best Bid Offer (NBBO) if regulations requiring brokers to adhere to best execution for their clients are enacted.
- Defi protocols can use our aggregated quotes to monitor liquidity and trading conditions in real-time and adjust risk parameters or enact risk control measures if appropriate.
- Our aggregated quotes are suitable for redisplay on a website or application to let users know the best bid and best ask in real-time.
How is the Data Served?
We offer our aggregated quotes through our /timeseries-stream/asset-quotes and /timeseries-stream/pair-quotes websocket API endpoints.
How are the Aggregated Quotes Calculated?
Coin Metrics selects a set of high-quality constituent markets by leveraging our Trusted Exchange Framework v2.0. We then calculate a trade volume-weighted average midpoint price and trade volume-weighted average bid-ask spread using the best bid and best ask of our constituent markets. Using these values, we can derive the aggregated best bid and best ask price. Finally, we sum the best bid amount and best ask amount across our constituent markets to derive the aggregated best bid amount and aggregated best ask amount.
For a more complete description of our methodology, please consult our Asset Quotes and Pair Quotes pages in our Knowledge Base.
About CM Market Data Feed
CM Market Data Feed is a comprehensive data solution for institutional investors, traders, and researchers seeking to gain insights into the cryptocurrency markets. Our data is harmonized to a standardized format, making it easy to compare and analyze across multiple cryptocurrencies and exchanges. Additionally, we offer historical datasets that are hard to find elsewhere, providing users with a deep understanding of the evolution of the crypto markets.
Our market data collection systems are engineered to be resilient and robust, ensuring that users have access to accurate and reliable data at all times. We utilize a multifaceted approach to ensure high levels of data quality and data integrity to deliver the most accurate and complete data available.
The CM Market Data Feed includes a range of datasets such as price data, volume, and other key trading metrics, that enable users to utilize our resilient infrastructure to save on development costs, make informed investment decisions, and conduct research on the cryptocurrency markets. Customizable data feeds and flexible pricing options make the CM Market Data Feed a versatile and cost-effective solution for users of all sizes, from large financial institutions to crypto-native investment funds.
Coin Metrics is committed to providing the most accurate and reliable data in the industry. Please contact Coin Metrics through our website or at info@coinmetrics.io for more information on the CM Market Feed.