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Full Limit Order Book

Overview​

The Full Limit Order Book (LOB) data type provides a comprehensive view of the order book for a specific trading pair on an exchange. It captures all changes to the order book, allowing for a detailed reconstruction of the market state at any given moment.

File Organization​

Full Limit Order Book data is organized in the S3 bucket as follows:

T-LIMITBOOK_FULL/
└── D-YYYYMMDD/
    └── E-[EXCHANGE]/
        └── IDDI-[IDENTIFIER]+SC-[COINAPI_SYMBOL_ID]+S-[EXCHANGE_SYMBOL].csv.gz

Example: T-LIMITBOOK/D-20230701/E-BINANCE/IDDI-1234+SC-BINANCE_SPOT_ETH_USDT+S-ETH-USDT.csv.gz

Where:

  • T-QUOTES: Indicates the data type (Quotes)
  • D-YYYYMMDD: Date of the data
  • E-[EXCHANGE]: Exchange name
  • IDDI-[IDENTIFIER]: CoinAPI's internal identifier
  • SC-[COINAPI_SYMBOL_ID]: CoinAPI's symbol identifier
  • S-[EXCHANGE_SYMBOL]: The symbol as identified by the exchange

File Format​

Files are in CSV format, compressed with gzip. Each row represents a single update to the order book.

Data Fields​

Column NameTypeDescription
time_exchangedatetimeUTC timestamp of the update provided by the exchange or estimated using the exchange API delay.
time_coinapidatetimeUTC timestamp when CoinAPI first received the update.
is_buybooleanIndicates if the update is related to the bid side of the book. 0 for ask (sell), 1 for bid (buy).
update_typestringType of the update. Possible values: ADD, SUB, MATCH, SET, DELETE, SNAPSHOT.
entry_pxdecimalPrice identifying the book level.
entry_sxdecimalVolume associated with the specific update item.
order_idstringID of the order if the format is Level 3 (order-by-order), empty if the format is Level 2.

Example Data​

time_exchange,time_coinapi,is_buy,update_type,entry_px,entry_sx,order_id
2023-07-01T12:00:00.123456Z,2023-07-01T12:00:00.234567Z,1,ADD,30000.00,1.5,ord123
2023-07-01T12:00:01.123456Z,2023-07-01T12:00:01.234567Z,0,DELETE,30005.00,0.5,ord124
2023-07-01T12:00:02.123456Z,2023-07-01T12:00:02.234567Z,1,SUB,30000.00,0.5,ord123

Data Collection Process​

  1. We maintain a real-time connection to each supported exchange.
  2. Every change to the order book is captured and recorded.
  3. The data is processed, normalized, and stored in our system.
  4. At the end of each day (UTC), the data is aggregated into daily files and uploaded to the S3 bucket.

Update Types Explained​

  • ADD: Adds a new order to the book.
  • SUB: Subtracts volume from an existing order.
  • MATCH: Similar to SUB, but indicates the subtraction was due to a trade execution.
  • SET: Sets a new volume for an existing order.
  • DELETE: Removes an order from the book.
  • SNAPSHOT: Provides a full snapshot of the order book. All previous data should be discarded before processing a SNAPSHOT.

Corner Cases and Special Considerations​

  1. Order ID Usage: Some exchanges provide order IDs (Level 3 data), while others don't (Level 2 data). When order IDs are not available, the order_id field will be empty.
  2. Snapshots: Snapshots are typically provided at the start of each day or after a disconnection. Always process SNAPSHOT updates by clearing the existing book first.
  3. High Frequency Updates: During periods of high volatility, you may observe a very high frequency of updates.

Usage Tips​

  1. To reconstruct the full order book, process updates sequentially, maintaining the state of the book in memory.
  2. Use the time_exchange field for accurate sequencing of updates.
  3. Pay attention to the update_type field to correctly apply changes to your local order book representation.

For any questions or issues with the Full Limit Order Book data, please contact our support team.