CM Market Data Feed v2.9 Release Notes

September 21, 2023

Coin Metrics is pleased to announce the version 2.9 release of our CM Market Data Feed. This release contains support for data types from many more exchanges, new funding rate metrics, easier ways to query our data, and many more upgrades and bug fixes.

What’s New

Added support for CME’s micro futures for Bitcoin and Ethereum. The supported data types include metadata, trades, order book, and open interest.
Added support for CME’s options for Bitcoin and Ethereum. The supported data types include metadata, trades, and order book.
Extended history of Deribit options trades and metadata data.
New funding rate metrics for perpetual futures markets. Coin Metrics now calculates two sets of funding rates metrics for assets and exchange-assets which represent the aggregation of multiple futures markets across several exchanges.
The two sets of metrics are: (1) futures_aggregate_funding_rate_*, an aggregated funding rate which represent the average funding rate weighted by open interest from perpetual futures markets grouped by different margin assets and converted to a specified time period, and (2) futures_cumulative_funding_rate_*, the cumulative average funding rate that would be accumulated by contract holders over a specified time period. These metrics are served through /timeseries/asset-metrics and /timeseries/exchange-asset-metrics. For more information, please refer to our release announcement New Funding Rate Metrics for Perpetual Futures Markets.
Expansion of our asset coverage for our prices. We released our version 1.1 of CM Prices which brings our coverage universe for the CM Reference Rates and CM Principal Market Prices to 729 assets. More details can be found in the CM Prices v1.1 Release Notes.
Expanded the universe of assets and pairs that we serve for our aggregated quotes. Our aggregated quotes are served through our /timeseries-stream/asset-quotes and /timeseries-stream/pair-quotes endpoints. The additional assets include arb, dydx, flow, ftm, near, op, axs, aave, ape. All major pairs that include these assets are supported.
Expanded the depth of the order book snapshots we take for Binance markets. The order book data is served through /timeseries/market-orderbooks. Previous snapshots were limited to the top 1,000 levels and now our snapshots include the full order book.
Expanded the markets that we take 10s order book snapshots to include Gate.io and Crypto.com. This data is served through our /timeseries/market-orderbooks endpoint.
Streaming real-time orderbook data is now available for Crypto.com and MEXC. This data is served through our /timeseries-stream/market-orderbooks endpoint.
Extended the history of our liquidity metrics. These metrics include our liquidity_depth_* and liquidity_slippage_* metrics served through our /timeseries/market-metrics endpoint.
Liquidation metrics are now available at asset, pair, and exchange level. We previously only published our liquidations_reported_future_* metrics for individual markets.
Expanded support for all of our volume metrics to new exchanges Crypto.com, MEXC, and Bullish.
New granularity parameter that supports resampling of our data to a lower frequency. Many of our data types have a raw publication frequency of once per 10 seconds, or once per minute, or once per hour which may be too frequent for some users. We have added a new granularity parameter that will resample the raw data for these data types to a lower frequency like one minute, one hour, or one day to allow for more convenient querying of the data. The granularity parameter is supported for the following endpoints: /timeseries/market-openinterest, /timeseries/market-orderbooks, /timeseries/market-quotes, /timeseries/market-contract-prices, /timeseries/market-implied-volatility.
Added more frequencies for our realized volatility metrics. Our realized volatility metrics volatility_realized_usd_rolling_* served through our /timeseries/asset-metrics endpoint now support a one hour and one day frequency.
Added a new daily frequency aligned with the New York close for our principal market price metrics. Our metrics principal_market_price_usd and principal_market_usd served through our /timeseries/asset-metrics endpoint now support a one day frequency that ends at 16:00 New York time.
Principal market price metrics are now served through our websocket API. Our metrics principal_market_price_usd and principal_market_usd are served through our /timeseries-stream/asset-metrics endpoint.

Other Announcements

New catalog and reference data endpoints. We launched a set of new catalog v2 and reference data endpoints with a consistent schema and pagination support, along with other enhancements. For more information, please see Important Changes to Coin Metrics API Catalog Endpoints.

Improvements

Significantly enhanced the performance of our market data collection system so that data collection is even more resilient during times of increased market activity.
Implemented improved monitoring across our entire market data collection system so that we are alerted in case of any interruption in our data feeds.
Improved the performance of our Binance spot and futures trades collection.
Migrated our collection of Bybit and Grayscale and CME data to use their newest API version.
Improved the logic by which we fill forward candles when there are no underlying trades in the interval.
Several performance enhancements for our calculation of aggregated quotes.
Improved the accuracy of our open interest metrics by using a more accurate calculation method to convert contract units to U.S. dollars.
Improved the performance of our API when querying options data, especially when using wildcards for specifying options markets.
Improved the performance of our API when querying order book data.
Made the calculation of our liquidity spread metrics gapless.

Bug and Data Quality Fixes

Added missing expiry date for Bybit futures markets.
Fixed a bug that prevented us from collecting order book data from a small number of Bullish markets.
Fixed a bug that prevented collection of Gate.io quanto futures markets.
Fixed a bug where we were assigning incorrect contract size to future contracts that represent 1,000 native units of the underlying. Also improved our calculation of U.S. dollar candle volume for these contracts.
Fixed bug that prevented Deribit options from showing in /catalog/market-quotes.
Fixed a bug that would occasionally cause a crossed order book for KuCoin’s XRTPUSDTM market.
Fixed a bug that would rarely assign a zero value to the candle usd volume when there was non-zero volume in the candle interval.
Fixed a bug that caused incorrect timezone conversion for the listing and expiry times for CME futures.
Fixed a bug that was incorrectly assigning the size asset for some Deribit futures.

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.