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