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Amberdata Data Dictionary

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Trades

Every executed transaction on an exchange, including the price, volume, and timestamp at which the transaction occurred.

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Market Data

Tick-by-tick, real-time and historical data including price, order books, and reference rates. Full transparency into the top spot, derivatives and decentralized exchanges.

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Tick

Streaming Level I and Level II price data enable real-time decision making. Retrieve live & full historical prices for any specified crypto asset with a ticker symbol or blockchain address.

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Orderbook Snapshots

Limit order book snapshots taken twice per minute, including all bids/asks placed within 10% of the midprice.

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Derivatives

Open Interest, funding rates, and liquidations provide critical context so you can act decisively.

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OHLCV

Open High Low Close Volume data, representing the aggregation of minutely trades, also known as Candles.

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VWAP

Volume Weighted Price (VWAP), Time Weighted Average (TWAP), Average Price on and across exchanges.

Trade Data

Trade Data is a general term for tick-by-tick data, or all executed transactions occurring on an exchange. Our trade datasets consist of all tick-by-tick trade data, normalized and timestamped. We have trade data starting in 2013 and add new exchanges on a continual basis. We now provide historical and real-time trade data for over 15+ exchanges and 8,000+ digital assets. We collect trade data by connecting to each exchange's REST API’s. The schema below is the normalized set of data we provide.

trades_btc

trade_data_csv

 

KEY DESCRIPTION
Timestamp We use the timestamp of the trade from the exchange. The timestamp included in the returned data is when the trade executed on the exchange, not when recorded in our database.
Trade ID Trade ID's come directly from the exchange, they are unique to the exchange. If an exchange does not provide a trade ID, we omit this field, as the timestamp allows for further sorting.
Price The price that has been established by this trade, the final executed and agreed value for the asset.
Volume The total amount of that asset that was traded. This is the value of the asset denoted in its "quote" amount.
Is Buy Denotes if the trade is a buy or sell based on a boolean flag. When it is a buy trade, it will be "true".
Exchange Exchange Name (Example: Coinbase Pro)

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Spot Trades  Futures Trades DEX Trades

CEX Methodology

For every exchange, we poll their market data REST API made publicly available in an exchange’s API documentation. We collect every executed transaction on an exchange. We poll every exchange at regular intervals to ensure that we are collecting every trade data point. Immediately after receiving these trades, we normalize the data into our own schema, to ensure consistency across exchanges.

DEX Methodology

For decentralized exchanges, like Uniswap or Curve, we collect raw blockchain data and normalized into trade schema matching our platform trade data. This method ensures we have every transaction and event from the blockchain represented as a single trade tick for every DEX. The collection method has been generalized, which means every DEX using the same trade standard will be supported in the APIs regardless if we showcase it or not.

Tickers

Tickers represent trade bids/asks from an orderbook. The bid price represents the maximum price that a buyer is willing to pay for an asset. The ask price represents the minimum price that a seller is willing to take for that same asset.

A trade or transaction occurs when a buyer in the market is willing to pay the best offer available—or is willing to sell at the highest bid. The difference between bid and ask prices, or the spread, is a key indicator of the liquidity of the asset. In general, the smaller the spread, the better the liquidity. Bid and ask prices are set by the market.

Incremental tick-level updates/deltas of all bids and asks on an order book. L3 and L2 data available for top exchanges.

tickers_btc_usd
KEY DESCRIPTION
Timestamp We use the timestamp of the trade from the exchange. The timestamp included in the returned data is when the trade executed on the exchange, not when recorded in our database. Formatted as ISO 8601.
Exchange Exchange Name (Example: Coinbase Pro)
Bid Represents the buy price a trader is wanting to pay for the asset.
Ask Represents the sell price the market is wanting to get for the asset.
Mid The average between the bids and asks.
Last The last price in the market pair trades.
Price The price that has been established by this trade, the final executed and agreed value for the asset.
Order ID Order ID's come directly from the exchange, they are unique to the exchange. If an exchange does not provide a Order ID, we omit this field, as the timestamp allows for further sorting.
Quantity The original quantity before the trade occurred.

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Spot Tickers  Futures Tickers

Price

Price is the value of any asset quoted in a fiat currency. The USD price is calculated based on the path of the highest liquidity. This means that, even though an asset might trade directly against all exchange currencies we support, the price may be established by using cross rates.

We also support aggregated price for an asset pair across all exchanges with spot markets for the pair. Only asset combinations which are actively being traded on one of our covered exchanges are being taken into account for the calculation of the price.

Cross rates can introduce price differences that can reflect price values far from the actual trade price. Price established from cross rates is always reflected in the data, so you will know when this is the case.

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KEY DESCRIPTION
Timestamp We use the timestamp of the trade from the exchange. The timestamp included in the returned data is when the trade executed on the exchange, not when recorded in our database.
Volume The total amount of that asset that was traded. This is the value of the asset denoted in its "quote" amount.
Price The price that has been established by this trade, the final executed and agreed value for the asset. In this case, returned value defaults to USD.
Hourly Volume The hourly volume of the asset in native denomination. This is the aggregated sum of all asset trade size for an hourly increment.
Daily Volume The daily volume of the asset in native denomination. This is the aggregated sum of all asset trade sizes for a daily increment.

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DeFi Price  Spot Price

Order Book Snapshots

An order book is a list of buy or sell orders for a given asset, organized by price level. A buy order is called a ‘bid’ and a sell order is called an ‘ask’. An order is removed from the order book when a trade is executed by the exchange’s matching engine.

Amberdata provides minutely snapshots for all exchanges and assets we cover, including historical order book data.

This data allows traders to make informed trading decisions. An order book shows order imbalances, as well as indicating an asset’s potential support and resistance levels. A trader is also able to observe the amount that other traders are willing to buy or sell at given price levels.

orderbooksnapshot_btc_usd

orderbook_snapshots_btc_usd_csv

 

KEY DESCRIPTION
Ask The minimum price a seller is willing to accept for an asset.
Bid The maximum price a buyer is willing to pay for an asset.
Price The quote price of the asset pair.
Volume The total number of assets traded in a specific asset pair within a given period of time.
Orders The total number of unique orders in a given orderbook snapshot.

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Futures Snapshots  Spots Snapshots

OHLCV

OHLCV is an aggregated form of market data standing for Open, High, Low, Close and Volume. OHLCV data includes 5 data points: the Open and Close represent the first and the last price level during a specified interval. High and Low represent the highest and lowest reached price during that interval. Volume is the total amount traded during that period. This data is most frequently represented in a candlestick chart, which allows traders to perform technical analysis on intraday values. We provide OHLCV data in granularity ranging from 1 minute to 1 day.

Markets can be categorized in spots or derivatives markets. Currently the market types available are ‘spot’ and ‘future’.

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KEY DESCRIPTION
Open Open represents the first price traded during a specified interval.
High High represents the highest price traded during that interval.
Low Low represents the lowest price traded during that interval.
Close Close represents the last price traded during a specified interval.
Volume The total and aggregated amount of that asset that was traded. This is the value of the asset denoted in its "quote" amount.
Exchange Exchange Name (Example: Coinbase Pro)
Address The address of the token (if applicable). This is considered the on-chain pair address. This data exists for DEX.
Base Address The address of the underlying base for the on-chain asset pair. This data exists for DEX.
Quote Address The address of the underlying quote for the on-chain asset pair. This data exists for DEX.

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Spot OHLCV  Futures OHCLV  Defi/DEX OHLCV

CEX Methodology

OHLCV is sourced from each exchange directly. When an exchange doesnt provide OHLCV, we calculate the values directly from exchange trade data. All data points are sourced at timestamps opening and closing each minute using UTC.

DEX Methodology

OHLCV is calculated from the blockchain trade data we collect. It is then aggregated into 1 minute candles, using UTC.

 

Open Interest

Open interest represents the number of futures or derivatives contracts that are currently outstanding and not settled. Each contract has a specified value that can be described by the asset size and contract size.

  • A derivatives market represents a venue where contracts of a financial derivative are bought and sold. Instead of an exchange rate, the price of a derivative represents the price of one contract. Each derivatives contract has unique specifications which describe how the contract is quoted and the amount of notional exposure that a contract represents.

  • A futures contract is a financial derivative traded on an exchange that allows a buyer and seller to enter into a legal agreement to buy or sell an underlying asset. The term futures contract refers to both traditional futures contracts, which specify a defined time when the futures contract expires, and perpetual futures contracts, which simulate a traditional futures contract with the exception that it never expires.

  • Certain exchanges follow an integer contract size convention – buyers and sellers buy or sell a specified integer number of contracts and transacting in fractional contracts are not possible. However, some exchange's perpetual futures contracts do not follow the integer contract size convention. Instead, they allow traders to trade these futures contracts much like how spot markets trade. Instead of buying and selling a specified integer number of contracts, traders can buy or sell a specified exposure in fractional units of the base asset. Therefore, certain exchanges report their open interest in fractional amounts.

  • Each contract has a specified contract value that can be described by the asset size and contract size. For instance, one contract of BitMEX’s XBTUSD contract allows for notional exposure worth 1 USD. Other exchanges have their own contract specifications.

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KEY DESCRIPTION
Exchange Exchange Name (Example: Bitmex)
Timestamp We use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
Amount The value of the open interest.

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Long/Short Ratio

The long-short ratio represents the amount of an asset that is currently available for short sale compared to the amount that is actually sold short.

The long-short ratio can be used as an indicator for a specific asset, but can also be used to show the value of short sales taking place for a basket of securities or for the market as a whole.

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KEY DESCRIPTION
Exchange Exchange Name (Example: Bitmex)
Timestamp We use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
Ratio The long/short account number ratio of top traders
Long Account The long position ratio of top traders
Short Account The short position ratio of top traders
Period The time duration of when the ratio occurs

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Liquidations

Futures contracts enable market participants to trade with leverage – that is, market participants are allowed to have a position with notional value greater than the amount of money they have in their account. This raises the possibility that market participants can lose more money than they have in their account. To address this possibility, exchanges which offer futures products have a liquidation system that will attempt to close a market participant’s position before the point at which the market participant begins to owe more than what is in the account. A simplified example illustrates the process. Suppose a trader deposits $100 into an exchange and buys $10,000 worth of Bitcoin perpetual contracts resulting in a leverage of 100x. Also, suppose the current price of Bitcoin is $10,000. If the price declines to $9,900 (the “bankruptcy price”), the trader would be bankrupt. Therefore, the exchange sets the liquidation price for this trader’s position at $9,925 (the “liquidation price”). If the price declines to this liquidation price, the exchange will forcibly initiate a sell liquidation order to attempt to close the trader’s position.

If an exchange reports both liquidation orders and liquidation trades, we store both types of observations and differentiate the two types with the action column.

liquidations_xbt_usd
KEY DESCRIPTION
Exchange Exchange Name (Example: Coinbase Pro)
Timestamp We use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
Quantity The original quantity before the liquidation occurred.
Price The price of the instrument at the time of the liquidation.
Side The direction of the trade.
Action The type of action taken during the liquidation process (for example: delete, insert, update, etc).
Order Id Order ID's come directly from the exchange, they are unique to the exchange. If an exchange does not provide a order ID, we omit this field, as the timestamp allows for further sorting.

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Global VWAP

VWAP (Volume Weighted Average Price), is the average price of an asset over a time interval, based on both volume and price. VWAP is an aggregated form of price data.

Global VWAP uses volume weighted average price across all exchanges available for the asset.

The formula for calculating VWAP is:

∑Price * Volume / ∑Volume

Amberdata provides VWAP data aggregated minutely, hourly, or daily for all exchanges we cover, with historical data back to 2013 for some exchanges.

VWAP provides traders with insight into both the trend and value of an asset.

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KEY DESCRIPTION
Timestamp The timestamp included in the returned data is when the time-interval based Date Time recorded in our database. In many cases, this is the close of a minute at UTC.
Asset A currency on an exchange, example "BTC"
VWAP The value of an aggregated asset across exchanges using the Volume Weighted Average Price calculation.
Volume The total amount of that asset that was traded. This is the value of the asset denoted in its "quote" amount.
Price The price that has been established by the volume weighted average across all trades and across all exchanges for a specific time interval.

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Data Methodology

Global VWAP is represented across all exchanges which support this asset, including all cross rates pairs. VWAP is calculated as a volume weighted moving average across all exchanges.

Insurance Fund

The Insurance Fund represents the total amount of liquidation fees maintained by each exchange. It is designed to cover losses of traders when their wallet balance is less than 0 USD after all liquidations have occurred under forced liquidation.

In these cases, the Insurance Fund will be used to cover these losses. As long as the Insurance Fund is positive, realized profits can be withdrawn after the next session settlement; otherwise, if the Insurance Fund is depleted, any uncovered loss will be socialized among the winning traders at the end of the trading session.

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KEY DESCRIPTION
Exchange Exchange Name (Example: Coinbase Pro)
Timestamp We use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
Fund The amount of insurance fund.

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Exchanges & Pairs

We have coverage for the largest volume exchanges, supporting all pairs available for each exchange we support. Each pair/instrument includes a list of features that indicate the complete data sets we have available via APIs.

Retrieves information about supported exchange pairs for these types of data:

  • funding rates
  • liquidations
  • long short ratio
  • ohlcv (open-high-low-close-volume)
  • open interest
  • order book snapshot
  • order book event
  • ticker
  • trade
exchange_pair_support-1
KEY DESCRIPTION
Exchange Exchange Name (Example: Coinbase Pro)
Pair The asset base/quote supported by the exchange. Each pair contains a list of features supported.
Features Each feature represents a full set of real-time and historical data supported for the specified pair & exchange. Support includes details for start and end date collection, which denotes all assets that have discontinued, continuously traded and upcoming not-yet-traded.

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Futures Exchanges Spot Exchanges

Funding Rates

Funding rates are a mechanism that exchanges use to ensure that perpetual futures trade at a price that is close to the price of the underlying spot markets. For the perpetual futures in our coverage universe, we offer realized funding rates.

While the formula for how the funding rate is calculated varies by exchange, the general principle is that the funding rate is positive if the perpetual futures’s price is higher than the underlying’s spot price and negative if the perpetual futures' price is lower than the underlying’s spot price. If the funding rate is positive, long position holders will pay the funding payment to short position holders. If the funding rate is negative, short position holders will pay the funding payment to long position holders. Therefore, the funding rate mechanism encourages traders to take positions that keep perpetual futures’s prices in line with the underlying’s spot price.

Exchanges differ in their funding rate mechanism design and how they report the data through their API. This section will discuss the key differences between exchanges and our approach to creating a normalized data model.

  • Realized funding rate: Many exchanges report two different funding rates. The realized funding rate represents the actual funding rate calculated over the previous funding interval, and is used in determining the funding payment. The predicted funding rate is the current estimate of what the funding rate will be at the end of the current funding interval. Some exchanges refer to this as the real-time funding rate or the next funding rate. While the predicted funding rate could be important to certain users, in this data concept we are concerned about the realized funding rate. Any references to the term “funding rate” in this document refer to the realized funding rate.

  • Funding interval: The funding interval represents how often the funding rate and funding payments are calculated. For many exchanges, a funding rate is produced every 8 hours and it is calculated based on the difference between the futures’ price and the spot’s price over the previous 8 hours. In this case, the funding interval is 8 hours. For some exchanges, the funding rate and funding payments are calculated on a continuous basis, so the funding interval is set to 1 millisecond by convention.

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KEY DESCRIPTION
Exchange Exchange Name (Example: Coinbase Pro)
Timestamp We use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
Insertion Timestamp This timestamp is when recorded in our database, not the time executed on the exchange.
Funding Interval The time duration of when rates are quoted. Generally in 8 hour increments.
Funding Rate Represents the actual funding rate calculated over the previous funding interval that is used in determining the funding payment.

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Funding Rates