Our team has been hard at work to improving our order book data, and we have a major new update to share about our order book coverage.
Coin Metrics previously offered two types of order book snapshots: (1) once every 10 seconds that contains the top 100 bids and asks, and (2) once every hour that contains the full order book. Our 10-second snapshots cover major markets on major exchanges and our hourly snapshots cover every market on major exchanges.
We have now expanded the 10-second snapshots to cover roughly the top 1,000 spot markets on major exchanges, and we have expanded the depth to include the maximum of 100 levels and all levels where the price is within 10 percent of the midprice. This means that for markets like coinbase-btc-usd-spot which have deep order books, we are now taking snapshots every 10 seconds of the top several thousand levels. Expanding our order book coverage is a high priority for us, and we plan on continuing to expand our coverage in the future.
This data is available in CM Market Data Feed and served through our /timeseries/market-orderbooks endpoint. The depth_limit parameter, which controls how many order book levels to return, can now accept 10pct_mid_price which will return the maximum of 100 levels and every level where the price is within 10 percent of the midprice.
Current Coverage Universe
Here is our current coverage universe by exchange and market type for spot markets:
|Exchange||Spot Market Count (10s)||Spot Market Count (1h)|
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 over 3,240 assets, 40 exchanges, 25,341 spot markets, 11,521 futures markets, 76,786 options markets, 4492 pairs, 5,497 exchange assets, and one institution. We offer a wide range of harmonized datasets such as trades, candles, order book snapshots, futures-specific data types, options-specific data types, 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] for more information on the CM Market Feed.