An order book represents the list of buy orders and the list of sell orders for a given market organized by price level. In this context, a buy order or sell order indicates the amount of the base asset that a buyer or seller wishes to trade for a spot market or the amount of contracts for a derivatives market.
|Market order book||Market||Order book||Market data||Price: quote asset. Size: Units of base asset||~ every 10 seconds|
Markets can be categorized in spots or derivatives markets. Currently the market types available are ‘spot’ and ‘future’.
A spot market represents a trading pair in which the buyer exchanges units of one asset in return for units of another asset in amounts specified by the market’s price or exchange rate. By convention, the exchange rate consists of a base asset and a quote asset and represents the number of units of the quote asset needed to buy one unit of the base asset. Cryptoassets and fiat currencies can serve as either base or quote assets, depending on the market.
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 financial derivatives contract has unique contract specifications which describe how the contract is quoted and the amount of notional exposure that a contract represents.
By using the order book, a trader is able to observe the amount that other traders are willing to buy or sell at given price levels.
The price and amount that a trader is willing to buy is referred to as the bid. The price and amount that a trader is willing to sell is referred to as the ask. When a trade is executed between a buyer and a seller, an order is removed from the order book. While an order book is constantly updated in real-time as traders post new orders and as orders are matched, this data concept represents a snapshot of the order book at a given moment in time.
A sample of the order book data from Coinbase’s Bitcoin-U.S. Dollar spot market is provided below. The bid side of the order book and the ask side of the order book are displayed in separate tables.
market: The IDs of the market. Market IDs use the following naming convention: exchangeName-baseAsset-quoteAsset-spot for spot markets and exchangeName-futuresSymbol-future for futures markets.
time: The exchange-reported time in ISO 8601 date-time format.
coin_metrics_id: Unique identifier of the order snapshot.
asks_price: The limit price of the ask on the order book.
asks_size: The size of the ask on the order book in units of the base asset for a spot market or number of contracts for a derivatives market.
bids_price: The limit price of the bid on the order book .
bids_size: The size of the bid on the order book in units of the base asset for a spot market or number of contracts for a derivatives market.
Release Version: CM MDF v1.0 (April 2019) - initial version
Release Version: Updates to CM MDF v1.0 websocket (July 30, 2019) - creation of Order Books endpoint
Release Version: CM MDF v2.0 (Dec 9, 2019) - order books for cex.io-btc-usd, bitflyer-btc-spot
Community and pro market availability does not differ. Community is available via HTTP API only, is limited to 1,000 API requests per 10 minutes per IP address and only showcases the last 24 hours of history.
For a full list of assets, exchanges, spot markets, and futures markets, please consult the Coin Metrics Data Coverage file or the ‘/catalog-all/markets’ via the API.
Coin Metrics stores historical order book snapshots approximately every 10-seconds. The snapshots consist of the top 100 bids and top 100 asks.
|Type of market||Number of markets|
|Asset||Number of markets spot||Number of markets futures|
|Exchange||Count spot||Start date spot||Count future||Start date future|