Pair Quotes
/timeseries-stream/pair-quotes
Coin Metrics collects quotes representing the best bid order and best ask order residing at the top of the order book for individual markets like
coinbase-btc-usd-spot
. To calculate our pair quotes, we aggregate the quotes across a selection of high-quality constituent markets to derive quotes for a pair like btc-usd
. Our pair quotes are conceptually similar to the National Best Bid Offer (NBBO), a regulation issued by the United States Securities and Exchange Commission that requires brokers to execute customer trades at the best available price.
Our
/timeseries-stream/pair-quotes
endpoint supports multiple aggregation methods to aggregate the quotes data from individual constituent markets for a given pair. The different aggregation methods can be specified using the aggregation_method
parameter. Currently, only the
aggregated_spread
method is implemented, and alternative methods will be implemented in the future.The
aggregated_spread
method uses the following methodology:For a given pair, select major spot markets where the market contains the given pair. For each market i, calculate the bid ask spread in percentage terms and the midprice:
Calculate the weighted-average bid-ask spread and weighted-average midprice where the weight is determined by Volume_i, the cumulative volume over some time period [t-1, t] on market i. The advantage of using a trailing volume as opposed to other volume measures, such as order size at the top of the book, is that volume indicates the real contribution of a given exchange to the market. Using order sizes from the book would allow for the random behavior of market participants to bias the aggregate in a way that does not represent the actual contribution of an exchange to the broader crypto market. Using these weights will measure the trading activity actually realized on a market at a given spread. In this way, the volume-weighted spread (as opposed to size-weighted spread) will indicate the spread that is realized via real volume for a given asset or asset-pair.
Using weighted-average midprice and weighted-average spread, calculate the aggregated bid and aggregated ask. The aggregated bid amount and aggregated ask amount are the sum of bid amounts and ask amounts from major markets, respectively.
{
"time": "2020-06-08T21:15:45.771742000Z",
"pair": "btc",
"ask_price": "24343.725954328216",
"ask_size": "2.96375165",
"bid_price": "24342.036360171896",
"bid_size": "12.00588437",
"mid_price": "24342.881157250056",
"spread": "0.0000694081421754166",
"cm_sequence_id": "0"
}
time
: The exchange-reported time in ISO 8601 date-time format. Always with nanoseconds precision.pair
: The id of the pair.ask_price
: The price of the ask order in units of the quote currency as determined by the aggregation method.ask_size
: The size of the ask order in units of the base asset as determined by the aggregation method.bid_price
: The price of the bid order in units of the quote currency as determined by the aggregation method.bid_size
: The size of the bid order in units of the base asset as determined by the aggregation method.mid_price
: The average of theask_price
andbid_price
.spread
: The bid-ask spread in raw units.cm_sequence_id
: The sequence id number of the websocket message.
Coin Metrics uses our Trusted Exchange Framework v2.0 to seelct a set of high-quality and trustworthy exchanges in selection of our constituent markets. The set of exchanges includes
Bitstamp
, Coinbase
, Bitfinex
, Binance
, Gemini
, Kraken
, OKEx
, Huobi
, Binance.US
, KuCoin
, LMAX
, and Bybit
. All markets from trusted exchanges that contain the given pair are selected.
Our websocket API will send a new message once every 250 milliseconds.
- CM Market Data Feed v2.8 on May 2023.
The asset quotes are currently available for the following assets:
btc
, eth
, ltc
, xrp
, bnb
, usdt
, trx
link
, doge
, usdc
, ada
, atom
, matic
, dai
, sol
, dot
, avax
, uni
.Last modified 30d ago