CM Market Data Feed v2.8 Release Notes

May 13, 2023

Coin Metrics is pleased to announce the version 2.8 release of our CM Market Data Feed. This release contains a significant new releases relating to our streaming order book data, exchange coverage, new metadata, new metrics, and many more upgrades and bug fixes.

What’s New

Expansion of our streaming real-time order book data: We now offer full order book data served through our /timeseries-stream/market-orderbooks endpoint for more exchanges. This endpoint now has a depth_limit parameter that allows users to choose either the top 100 levels or the full order book. When a user subscribes to this endpoint, our API will first send a snapshot of the order book and all subsequent messages are updates to the order book. Using this method, users can maintain the full state of the order book locally. The exchanges we support for full order book are:
- For spot markets: Binance, Binance.US, bitFlyer, Bitstamp, Bittrex, Bybit, Bullish, Bitbank, Coinbase, Crypto.com, Gate.io, Gemini, Kraken, itBit, LMAX, MEXC, OKEx, KuCoin
- For futures markets: Binance, bitFlyer, Bybit, CME, Crypto.com, Deribit, Gate.io, Kraken, MEXC, OKEx, KuCoin
New exchanges: Coin Metrics is constantly expanding our exchange coverage or adding additional data types for exchanges we already cover. This release contains the following new exchanges and their supported data types:
- Bullish spot metadata, trades, candles, hourly full order book snapshots, and real-time streaming order book with full depth
- KuCoin futures trades, candles, hourly full order book snapshots, and real-time streaming order book with full depth
- Gate.io futures trades, candles, hourly full order book snapshots, and real-time streaming order book with full depth
- Crypto.com futures trades, candles, and real-time streaming order book with full depth
Added precision, status, and fee fields to market metadata: Coin Metrics has enhanced the metadata we publish for our markets to include several new precision, status, and fee fields! These fields are supplement several existing fields that we publish regarding the contract metadata for our derivatives markets. Now we publish up to 28 fields that allow users to fully understand the characteristics of our spot, futures, and options markets. Users can use these fields to filter or screen to the markets they are interested in, understand their contract specifications, understand the rules that exchanges impose for legitimate orders, and more.These additional fields are currently available for several exchanges in our coverage universe, and they are served through our /catalog/markets and /catalog-all/markets endpoints. For more information, please see our separate announcement Enhancing Our Market Metadata With Precision, Status, and Fee Fields.
Expanded CM Prices coverage universe to 642 assets: Our CM Reference Rates and CM Principal Market Prices are now collectively referred to as the CM Prices. This release expands our coverage universe to include 87 additional assets to bring our total coverage universe to 642 assets. For more information, please see our separate announcement CM Prices v1.0 Release.
Liquidity metrics: We have launched a suite of new liquidity metrics that provide a more comprehensive view of liquidity dynamics in crypto markets. The new metrics cover a range of liquidity dimensions, including bid-ask spread, depth, slippage. We offer the metrics at different combinations of time intervals, depth, order amounts, bid or ask side, and in U.S. dollars or in base currency units. For more information, please see our separate announcement Coin Metrics Enhances Crypto Market Transparency with New Liquidity Metrics. The following new metrics served through our /timeseries/market-metrics endpoint:
- liquidity_bid_ask_spread_percent_{1m|1h|1d}
- liquidity_depth_{0_1|1|2|5|10}_percent_{bid|ask}_volume_{usd|units}
- liquidity_slippage_{1K|5K|10K|50K|100K|1M}_{bid|ask}_percent
Real-time aggregated quotes for assets and pairs: 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. We offer our aggregated quotes through our /timeseries-stream/asset-quotes and /timeseries-stream/pair-quotes websocket API endpoints. For more information, please see our separate announcement Coin Metrics Unveils Real-Time Aggregated Quotes for Crypto Assets and Pairs.
Realized volatility metrics: CM continues to expand our market metrics with the introduction of realized volatility. Our realized volatility metrics are available for over 650 cryptoassets (matching our CM Reference Rate coverage) and is measured as the standard deviation of the natural log of returns calculated every 10 minutes for a rolling 24 hour window, 7 day window and 30 day window. Realized volatility is sometimes referred to as historical volatility as it measures past volatility. For more information, please see our separate announcement Introducing Realized Volatility. The following new metrics are served through our /timeseries/asset-metrics endpoint:
- volatility_realized_usd_rolling_24h
- volatility_realized_usd_rolling_7d
- volatility_realized_usd_rolling_30d
CM Reference Rates available at 200ms frequency: The CM Reference Rates are currently used by many market participants in a wide variety of use cases where timeliness is critical. Defi protocols, through on-chain oracles such as Chainlink and Pyth, and centralized lenders consume our prices to mark-to-market collateral from users, initiate margin calls and liquidations, and adjust risk parameters as market conditions change. These use cases benefit from the most up-to-date prices possible so that market participants can take appropriate action during periods of intense price movements. Coin Metrics previously offered our Real-Time Reference Rates published at a frequency of once per second for these use cases, and now we have increased our publication frequency to once per 200 milliseconds! For more information, please see our separate announcement Reference Rates Now Available at Sub-Second Frequency.
New markets available without delay for our streaming endpoints: Coin Metrics generally collects all listed instruments that are listed on the exchanges that we support. Previously, we would only serve markets from our /timeseries-stream/market-trades and /timeseries-stream/market-orderbooks endpoints if our systems recognized both the base asset and quote asset. Adding new assets to our systems involved a manual process to ensure that exchange-reported symbols are mapped to our symbols appropriately which resulted in a slight delay in supporting a new market involving an unrecognized asset. With our latest upgrade, we have eliminated this delay and trades from all markets are available immediately.
Added quotes data for Binance’s coin-margined futures contracts served through /timeseries-stream/market-quotes and collect all data types for Kraken’s linear multi-collateral futures.

Other Announcements

Trusted Exchange Framework v2.0: Centralized exchanges are a vital part of the crypto ecosystem but vary widely in quality across several use-cases. In order to promote transparency, innovation, and trust for the industry and its users, Coin Metrics is releasing an update to the Trusted Exchange Framework which quantitatively and rigorously assesses exchanges across various dimensions of quality. Building on Coin Metrics’ unique experience of maintaining a market data collection system for over 40 exchanges, this report summarizes extensive research into detecting wash trading, fake volume, and fraud as well as the application of these ideas to real-world data. For more information, please see our full report at Trusted Exchange Framework v2.0.
CM Reference Rates now publishing live on Pyth Network: Coin Metrics is now publishing our CM Reference Rates live on Pyth Network! Pyth Network is an on-chain oracle that publishes financial market data to multiple blockchains. Now decentralized applications or off-chain applications needing a reliable pricing source via an on-chain oracle can consume our CM Reference Rates or the Pyth aggregate price. Coin Metrics and Pyth Network previously posted more information about our involvement with Pyth when we joined as publisher here and here. For more information, please see our separate announcement Coin Metrics Now Publishing Live on Pyth Network.
We discontinued data collection for LocalBitcoins, TheRockTrading, FTX, FTX.US, Liquid because these exchanges have ceased trading.

Upgrades

Significantly enhanced the performance of our proxy servers to improve the stability of our feed handlers.
Several optimizations to our feed handlers to ensure that they are not limited by proxies, network, compute, or memory resources.
Improved the latency of our calculation time for our CM Reference Rates and CM Principal Market Price.
We improved our systems to remove filled forward candles if the market has stopped trading or been delisted. Our candles are gapless which means that if there are no trades in a candle interval, we fill forward candles through time.
We enhanced our conversion logic for our futures candles so that U.S. dollar volume is now available for all futures markets. For a small number of futures market candles, we were previously unable to calculate the U.S. dollar volume.
Migrated our collection of Huobi’s data from their API v1 to v2 and from Bybit’s data from API v1 and v2 to v5.
In our /timeseries/market-quotes endpoint, we added an additional include_one_sided parameter to include one-sided books or empty books.
Our /catalog/asset-metrics endpoint now includes a product field which indicates whether the metric is included in Market Data Feed or other products that Coin Metrics offers.
Extended the history of our market candles for a small number of newly-added markets where history was incomplete.

Bug Fixes

Recovered missing trades and candles from Poloniex following an outage in Poloniex’s API after their system upgrade from 2022-08-01 to 2022-08-04.
Removed some Huobi order book observations with timestamp of 1970-01-01 due to anomalous behavior by Huobi’s API.
Fixed a bug that was causing us to not collect trades data for gate.io-fil-usdt-spot, binance-BNXUSDT-future, and binance-ICPUSDT-future.
Removed a small number of duplicate Gemini trades from 2023-01-06 to 2023-02-24 due to an unpublished change in timestamp resolution by Gemini which caused a bug in our deduplication logic.
Recalculated Binance future candles from 2023-01-12 to 2023-01-13 due to incomplete data.
Corrected ticker collisions in btt, cro, ust, stx, stx_stox, usd4, and usd_stable_coin.
Fixed a bug that caused our /catalog-all/exchange-asset-metrics to return no data.
Populated a small number of markets with missing metadata.
Fixed a bug where our CM Reference Rate for two assets with abnormally high precision would have a price of zero.
For Deribit options metadata, fixed a mapping error for our order_price_increment and order_size_min fields.
For Deribit options metadata, fixed a mapping error for our quote field for a small number of markets.
For OKEx options metadata, fixed a mapping error for our order_amount_increment and order_price_increment fields.
For Bybit spot trades, fixed a mapping error for our side field.
Removed erroneous Bybit futures trades from 2022-01-12 to 2022-01-14 that were incorrectly sent by Bybit’s API.
Fixed some data anomalies in our candles for defi exchanges.
Fixed a bug causing our liquidations_reported_future_{buy|sell}_units_* metrics to be incorrect.
Fixed a bug causing some of our pair candles served through /timeseries/pair-candles to have a price_low of zero.

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 [email protected] for more information on the CM Market Feed.