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Order Books Dataset

Overview​

The "ORDERBOOKS" dataset provides comprehensive information about market depth and liquidity across trading venues. It includes detailed data about bid-ask spreads, order sizes, price levels, and real-time order flow.

This dataset helps users:

  • Track market depth and available liquidity at different price levels
  • Access real-time order book snapshots across multiple venues
  • Monitor bid-ask spread dynamics and market making activity
  • Analyze order flow patterns and market microstructure
  • Evaluate trading costs and market impact across different order sizes

Table Details​

Name: LISTINGS.PUBLIC.ORDERBOOKS

Schema​

CREATE OR REPLACE TABLE LISTINGS.PUBLIC.ORDERBOOK_DEPTH (
    symbol_id             VARCHAR(100),
    time_exchange         TIMESTAMP_NTZ(9),
    time_coinapi          TIMESTAMP_NTZ(9),

    Level 0
    ask_price_0           NUMBER(38,8),
    ask_size_0            NUMBER(38,8),
    bid_price_0           NUMBER(38,8),
    bid_size_0            NUMBER(38,8),

    Level 1
    ask_price_1           NUMBER(38,8),
    ask_size_1            NUMBER(38,8),
    bid_price_1           NUMBER(38,8),
    bid_size_1            NUMBER(38,8),

    Level n
    ask_price_n           NUMBER(38,8),
    ask_size_n            NUMBER(38,8),
    bid_price_n           NUMBER(38,8),
    bid_size_n            NUMBER(38,8),,
);