API Documentation

Returns the full catalog of available datasets with their fields. Use this endpoint to discover which metrics are available, understand their fields, and determine the correct :bucket value to use in /data/:bucket requests.

Returns all available trading pair symbols for a given exchange. Use this endpoint to discover which symbols have data before making data requests.

Directional order flow split by taker buy vs. sell, broken into small/medium/large notional segments, with a flow toxicity score. Access: Tier 1 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - taker_buy_volume — Taker Buy Volume: Total buy-side traded quantity in the interval - taker_sell_volume — Taker Sell Volume: Total sell-side traded quantity in the interval - taker_buy_count — Taker Buy Count: Number of buy-side trades in the interval - taker_sell_count — Taker Sell Count: Number of sell-side trades in the interval - volume_delta — Volume Delta: Buy-side traded quantity minus sell-side traded quantity - volume_delta_notional — Volume Delta Notional: Buy-side traded notional minus sell-side traded notional - flow_entropy — Flow Entropy: Entropy of the buy-versus-sell quantity split in the interval - flow_toxicity_score — Flow Toxicity Score: Past-normalized signed notional flow multiplied by past-normalized short-horizon realized volatility - taker_buy_sell_ratio — Buy/Sell Ratio: Buy-side traded quantity divided by sell-side traded quantity - taker_buy_sell_count_ratio — Buy/Sell Count Ratio: Buy-side trade count divided by sell-side trade count - taker_buy_sell_percentage — Taker Buy %: Share of traded quantity that came from buy-side trades - taker_buy_sell_count_percentage — Taker Buy Count %: Share of trades that were buy-side trades - taker_buy_small_order_volume — Buy Small Order Volume: Total buy-side notional from small trades under $100 - taker_buy_small_order_count — Buy Small Order Count: Number of buy-side trades under $100 - taker_buy_medium_order_volume — Buy Medium Order Volume: Total buy-side notional from medium trades from $100 to under $1,000 - taker_buy_medium_order_count — Buy Medium Order Count: Number of buy-side trades from $100 to under $1,000 - taker_buy_large_order_volume — Buy Large Order Volume: Total buy-side notional from large trades of at least $1,000 - taker_buy_large_order_count — Buy Large Order Count: Number of buy-side trades of at least $1,000 - taker_sell_small_order_volume — Sell Small Order Volume: Total sell-side notional from small trades under $100 - taker_sell_small_order_count — Sell Small Order Count: Number of sell-side trades under $100 - taker_sell_medium_order_volume — Sell Medium Order Volume: Total sell-side notional from medium trades from $100 to under $1,000 - taker_sell_medium_order_count — Sell Medium Order Count: Number of sell-side trades from $100 to under $1,000 - taker_sell_large_order_volume — Sell Large Order Volume: Total sell-side notional from large trades of at least $1,000 - taker_sell_large_order_count — Sell Large Order Count: Number of sell-side trades of at least $1,000 - taker_buy_small_order_percentage — Buy Small Order %: Ratio of small buy-side trade notional to total buy-side traded quantity - taker_buy_medium_order_percentage — Buy Medium Order %: Ratio of medium buy-side trade notional to total buy-side traded quantity - taker_buy_large_order_percentage — Buy Large Order %: Ratio of large buy-side trade notional to total buy-side traded quantity - taker_buy_small_order_count_percentage — Buy Small Count %: Share of buy-side trades that were small trades - taker_buy_medium_order_count_percentage — Buy Medium Count %: Share of buy-side trades that were medium trades - taker_buy_large_order_count_percentage — Buy Large Count %: Share of buy-side trades that were large trades - taker_sell_small_order_percentage — Sell Small Order %: Ratio of small sell-side trade notional to total sell-side traded quantity - taker_sell_medium_order_percentage — Sell Medium Order %: Ratio of medium sell-side trade notional to total sell-side traded quantity - taker_sell_large_order_percentage — Sell Large Order %: Ratio of large sell-side trade notional to total sell-side traded quantity - taker_sell_small_order_count_percentage — Sell Small Count %: Share of sell-side trades that were small trades - taker_sell_medium_order_count_percentage — Sell Medium Count %: Share of sell-side trades that were medium trades - taker_sell_large_order_count_percentage — Sell Large Count %: Share of sell-side trades that were large trades

Trade notional split into small (< $100), medium ($100–$1,000), and large (≥ $1,000) segments, with summary statistics for individual trade sizes. Access: Tier 1 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - small_order_volume — Small Order Volume: Total traded notional from small trades under $100 - small_order_count — Small Order Count: Number of trades under $100 - medium_order_volume — Medium Order Volume: Total traded notional from medium trades from $100 to under $1,000 - medium_order_count — Medium Order Count: Number of trades from $100 to under $1,000 - large_order_volume — Large Order Volume: Total traded notional from large trades of at least $1,000 - large_order_count — Large Order Count: Number of trades of at least $1,000 - volume — Total Volume: Total traded quantity in the interval - n_trades — Trade Count: Number of trades in the interval - small_order_percentage — Small Order %: Ratio of small-trade notional to total traded quantity - medium_order_percentage — Medium Order %: Ratio of medium-trade notional to total traded quantity - large_order_percentage — Large Order %: Ratio of large-trade notional to total traded quantity - small_order_count_percentage — Small Order Count %: Share of trades that were small trades - medium_order_count_percentage — Medium Order Count %: Share of trades that were medium trades - large_order_count_percentage — Large Order Count %: Share of trades that were large trades - trade_amount_mean — Mean Trade Size: Average trade quantity - trade_amount_median — Median Trade Size: Median trade quantity - trade_amount_std — Trade Size Std Dev: Standard deviation of trade quantity - trade_amount_variance — Trade Size Variance: Variance of trade quantity - trade_amount_skewness — Trade Size Skewness: Skewness of the trade-quantity distribution - trade_amount_kurtosis — Trade Size Kurtosis: Kurtosis of the trade-quantity distribution - trade_amount_min — Min Trade Size: Smallest trade quantity in the interval - trade_amount_max — Max Trade Size: Largest trade quantity in the interval - trade_amount_range_ratio — Trade Size Range Ratio: Largest trade quantity divided by smallest trade quantity - trade_amount_cv — Trade Size CV: Coefficient of variation of trade quantity

Intrabar high-low price range and full distribution statistics (mean, median, std, skewness, kurtosis) for trade prices within each interval. Access: Tier 1 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - range — Price Range: Highest trade price minus lowest trade price - range_bps — Range (bps): High-low trade price range in basis points of the closing price - price_mean — Mean Price: Average trade price in the interval - price_median — Median Price: Median trade price in the interval - price_std — Price Std Dev: Standard deviation of trade prices in the interval - price_variance — Price Variance: Variance of trade prices in the interval - price_skewness — Price Skewness: Skewness of the trade-price distribution - price_kurtosis — Price Kurtosis: Kurtosis of the trade-price distribution - price_range_ratio — Price Range Ratio: Highest trade price divided by lowest trade price - price_cv — Price CV: Coefficient of variation of trade price

How much each unit of trading volume moves the price, measured via Amihud illiquidity, Kyle lambda, impact per notional, and large-trade reversal. Access: Tier 2 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - amihud_like — Amihud Illiquidity: Absolute interval return divided by total traded notional - kyle_like_lambda — Kyle Lambda: Covariance of trade returns and signed trade size divided by signed-size variance - impact_per_notional — Impact per Notional: Absolute interval return divided by absolute signed notional flow - large_trade_reversal — Large Trade Reversal: Average five-trade-ahead return after trades in the top 10% by notional - directional_impact_asymmetry — Directional Impact Asymmetry: Average buy-trade price impact minus average sell-trade price impact

Uptick and downtick count, volume, ratios and percentages based on price movement direction. Access: Tier 2 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - uptick_count — Uptick Count: Number of trades priced above the previous trade - downtick_count — Downtick Count: Number of trades priced below the previous trade - unchanged_count — Unchanged Count: Number of trades priced the same as the previous trade - uptick_volume — Uptick Volume: Total traded quantity on upticks - downtick_volume — Downtick Volume: Total traded quantity on downticks - unchanged_volume — Unchanged Volume: Total traded quantity on unchanged ticks - uptick_downtick_volume_ratio — Uptick/Downtick Volume Ratio: Uptick traded quantity divided by downtick traded quantity - uptick_downtick_count_ratio — Uptick/Downtick Count Ratio: Uptick trade count divided by downtick trade count - uptick_count_percentage — Uptick Count %: Share of trades that were upticks - downtick_count_percentage — Downtick Count %: Share of trades that were downticks - unchanged_count_percentage — Unchanged Count %: Share of trades that were unchanged ticks - uptick_volume_percentage — Uptick Volume %: Share of traded quantity that occurred on upticks - downtick_volume_percentage — Downtick Volume %: Share of traded quantity that occurred on downticks - unchanged_volume_percentage — Unchanged Volume %: Share of traded quantity that occurred on unchanged ticks

Consecutive same-direction trade run lengths, imbalance, flip rate, and price change on direction flip. Access: Tier 2 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - buy_run_max_len — Max Buy Run Length: Longest consecutive run of buy-side trades - sell_run_max_len — Max Sell Run Length: Longest consecutive run of sell-side trades - buy_run_mean_len — Mean Buy Run Length: Average length of consecutive buy-side runs - sell_run_mean_len — Mean Sell Run Length: Average length of consecutive sell-side runs - run_imbalance — Run Imbalance: Normalized difference between the longest buy run and longest sell run - flip_rate — Flip Rate: Share of trades whose side flipped versus the previous trade - price_change_on_flip — Price Change on Flip: Average absolute price change when trade direction flips

Log-return based metrics: variance, realized volatility, bipower variation, jump ratio, autocorrelation, and trendiness. Access: Tier 2 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - logret_var — Log-Return Variance: Variance of log returns within the interval - realized_vol — Realized Volatility: Square root of the sum of squared log returns in the interval - bipower_variation — Bipower Variation: Jump-robust volatility estimate built from adjacent absolute log returns - jump_ratio — Jump Ratio: Share of realized variance not explained by bipower variation - ret_autocorr_lag1 — Return Autocorr (Lag 1): Lag-one autocorrelation of log returns within the interval - trendiness — Trendiness: Absolute net log return divided by total absolute log return

How much each trade pays above the best ask (buys) or receives below the best bid (sells) relative to the prevailing quote, aggregated per interval. Access: Tier 2 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - slippage_mean — Mean Slippage: Average slippage in price units versus the prevailing quote - slippage_bps_mean — Mean Slippage (bps): Average slippage in basis points versus the prevailing quote - slippage_bps_std — Slippage Std Dev (bps): Standard deviation of slippage in basis points - slippage_bps_median — Median Slippage (bps): Median slippage in basis points - slippage_bps_p95 — Slippage P95 (bps): 95th percentile slippage in basis points - slippage_bps_vwap — VWAP Slippage (bps): Trade-size-weighted average slippage in basis points - slippage_bps_buy_mean — Buy Slippage Mean (bps): Average slippage in basis points for buy-side trades - slippage_bps_sell_mean — Sell Slippage Mean (bps): Average slippage in basis points for sell-side trades - slippage_bps_buy_sell_ratio — Buy/Sell Slippage Ratio: Buy-side average slippage divided by sell-side average slippage - slippage_bps_sell_buy_ratio — Sell/Buy Slippage Ratio: Sell-side average slippage divided by buy-side average slippage

Perpetual futures mark price premium over index price (basis) and last trade price, in absolute and basis-point terms. Access: Tier 1 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - basis — Basis: Last mark price minus index price in the interval - basis_bps — Basis (bps): Last mark-versus-index spread in basis points of the index price - mark_price_spread — Mark-Price Spread: Last mark price minus last traded price in the interval - mark_price_spread_bps — Mark-Price Spread (bps): Last mark-versus-last-price spread in basis points of the last price - basis_mean — Mean Basis: Average mark price minus index price in the interval - basis_bps_std — Basis Std Dev (bps): Standard deviation of the mark-versus-index spread in basis points - mark_price_spread_mean — Mean Mark-Price Spread: Average mark price minus last traded price in the interval - mark_price_spread_bps_std — Mark-Price Spread Std Dev (bps): Standard deviation of the mark-versus-last-price spread in basis points

Funding rate and update frequencies for perpetual futures contracts. Access: Tier 1 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - funding_rate — Funding Rate: Last funding rate observed in the interval - funding_rate_update_frequency — Funding Rate Update Frequency: Average number of funding-rate updates per second in the interval - funding_rate_avg_update_interval — Avg Funding Rate Update Interval: Average seconds between funding-rate updates in the interval

Open interest values with percentage change, volatility, and OI/price change ratio. Access: Tier 1 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - open_interest — Open Interest: Last open interest value in the interval - open_interest_pct_change — Open Interest % Change: Percentage change in open interest from the first value to the last value in the interval - open_interest_volatility — Open Interest Volatility: Standard deviation of tick-to-tick open-interest percentage changes in the interval - oi_price_change_ratio — OI/Price Change Ratio: Open-interest return divided by mark-price return over the interval

Snapshot of mark, index, and last trade prices with interval percentage changes and pairwise divergence ratios. Access: Tier 1 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - last_price — Last Price: Last traded price observed in the interval - index_price — Index Price: Last index price observed in the interval - mark_price — Mark Price: Last mark price observed in the interval - last_price_pct_change — Last Price % Change: Percentage change from the first last price to the final last price in the interval - index_price_pct_change — Index Price % Change: Percentage change from the first index price to the final index price in the interval - mark_price_pct_change — Mark Price % Change: Percentage change from the first mark price to the final mark price in the interval - mark_index_pct_change_ratio — Mark/Index % Change Ratio: Mark-price return divided by index-price return over the interval - mark_last_pct_change_ratio — Mark/Last % Change Ratio: Mark-price return divided by last-price return over the interval - index_last_pct_change_ratio — Index/Last % Change Ratio: Index-price return divided by last-price return over the interval

Open, High, Low, Close, Volume candlestick data with notional volume. Access: Tier 0 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - open — Open: First trade price in the interval - high — High: Highest trade price in the interval - low — Low: Lowest trade price in the interval - close — Close: Last trade price in the interval - volume — Volume: Total traded quantity in the interval - volume_notional — Notional Volume: Total traded notional in the interval

Volume-weighted and time-weighted average prices for precise execution benchmarks. Access: Tier 0 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - vwap — VWAP: Trade-size-weighted average price in the interval - twap — TWAP: Arithmetic average trade price in the interval

Best bid and ask prices with quantities, midprice, quantity-weighted midprice, time/volume-weighted averages, and quote update frequency. Access: Tier 2 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - ask_price — Ask Price: Last best ask price in the interval - bid_price — Bid Price: Last best bid price in the interval - ask_amount — Ask Amount: Last best ask quantity in the interval - bid_amount — Bid Amount: Last best bid quantity in the interval - quote_update_frequency — Quote Update Frequency: Number of top-of-book quote updates in the interval - avg_update_interval — Avg Update Interval: Average milliseconds between top-of-book quote updates - midprice — Mid Price: Midpoint between the last best bid and ask prices - weighted_midprice — Weighted Mid Price: Midprice weighted by the opposite-side top-of-book quantity - bid_price_twap — Bid Price TWAP: Average best bid price in the interval - ask_price_twap — Ask Price TWAP: Average best ask price in the interval - bid_price_vwap — Bid Price VWAP: Bid-price average weighted by best bid quantity - ask_price_vwap — Ask Price VWAP: Ask-price average weighted by best ask quantity

Bid/ask imbalance, ratio, percentages — both instantaneous (last) and averaged over the interval. Access: Tier 3 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - imbalance — Imbalance: Last best-bid quantity minus best-ask quantity in the interval - imbalance_ratio — Imbalance Ratio: Last normalized difference between best-bid and best-ask quantity - bid_ask_ratio — Bid/Ask Ratio: Last best-bid quantity divided by best-ask quantity - bid_percentage — Bid %: Last share of top-of-book quantity resting on the bid side - ask_percentage — Ask %: Last share of top-of-book quantity resting on the ask side - imbalance_avg — Avg Imbalance: Average best-bid quantity minus best-ask quantity in the interval - imbalance_ratio_avg — Avg Imbalance Ratio: Average normalized bid-ask quantity imbalance in the interval - bid_ask_ratio_avg — Avg Bid/Ask Ratio: Average best-bid quantity divided by best-ask quantity in the interval - bid_percentage_avg — Avg Bid %: Average share of top-of-book quantity on the bid side - ask_percentage_avg — Avg Ask %: Average share of top-of-book quantity on the ask side

Spread (absolute and bps), depth, dollar depth — instantaneous and interval-averaged. Access: Tier 3 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - spread — Spread: Last best ask price minus best bid price in the interval - spread_bps — Spread (bps): Last bid-ask spread in basis points of the midprice - spread_depth_ratio — Spread/Depth Ratio: Last bid-ask spread divided by total top-of-book quantity - total_depth — Total Depth: Last total top-of-book quantity across bid and ask - dollar_depth_bid — Bid Dollar Depth: Last bid-side top-of-book notional - dollar_depth_ask — Ask Dollar Depth: Last ask-side top-of-book notional - total_dollar_depth — Total Dollar Depth: Last total top-of-book notional across bid and ask - spread_avg — Avg Spread: Average bid-ask spread in the interval - spread_bps_avg — Avg Spread (bps): Average bid-ask spread in basis points over the interval - spread_depth_ratio_avg — Avg Spread/Depth Ratio: Average spread-to-depth ratio over the interval - total_depth_avg — Avg Total Depth: Average total top-of-book quantity across bid and ask in the interval - dollar_depth_bid_avg — Avg Bid Dollar Depth: Average bid-side top-of-book notional in the interval - dollar_depth_ask_avg — Avg Ask Dollar Depth: Average ask-side top-of-book notional in the interval - total_dollar_depth_avg — Avg Total Dollar Depth: Average total top-of-book notional across bid and ask in the interval

Multi-depth (5, 10, 20, 25 levels) order book imbalance, ratio, and averages. Access: Tier 3 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - imbalance_5 — Imbalance (5 levels): Last top-5 bid quantity minus top-5 ask quantity - imbalance_10 — Imbalance (10 levels): Last top-10 bid quantity minus top-10 ask quantity - imbalance_20 — Imbalance (20 levels): Last top-20 bid quantity minus top-20 ask quantity - imbalance_25 — Imbalance (25 levels): Last top-25 bid quantity minus top-25 ask quantity - imbalance_ratio_5 — Imbalance Ratio (5 levels): Last normalized difference between top-5 bid and ask quantity - imbalance_ratio_10 — Imbalance Ratio (10 levels): Last normalized difference between top-10 bid and ask quantity - imbalance_ratio_20 — Imbalance Ratio (20 levels): Last normalized difference between top-20 bid and ask quantity - imbalance_ratio_25 — Imbalance Ratio (25 levels): Last normalized difference between top-25 bid and ask quantity - bid_ask_ratio_5 — Bid/Ask Ratio (5 levels): Last top-5 bid quantity divided by top-5 ask quantity - bid_ask_ratio_10 — Bid/Ask Ratio (10 levels): Last top-10 bid quantity divided by top-10 ask quantity - bid_ask_ratio_20 — Bid/Ask Ratio (20 levels): Last top-20 bid quantity divided by top-20 ask quantity - bid_ask_ratio_25 — Bid/Ask Ratio (25 levels): Last top-25 bid quantity divided by top-25 ask quantity - imbalance_5_avg — Avg Imbalance (5 levels): Average top-5 bid quantity minus top-5 ask quantity in the interval - imbalance_10_avg — Avg Imbalance (10 levels): Average top-10 bid quantity minus top-10 ask quantity in the interval - imbalance_20_avg — Avg Imbalance (20 levels): Average top-20 bid quantity minus top-20 ask quantity in the interval - imbalance_25_avg — Avg Imbalance (25 levels): Average top-25 bid quantity minus top-25 ask quantity in the interval - imbalance_ratio_5_avg — Avg Imbalance Ratio (5 levels): Average normalized difference between top-5 bid and ask quantity in the interval - imbalance_ratio_10_avg — Avg Imbalance Ratio (10 levels): Average normalized difference between top-10 bid and ask quantity in the interval - imbalance_ratio_20_avg — Avg Imbalance Ratio (20 levels): Average normalized difference between top-20 bid and ask quantity in the interval - imbalance_ratio_25_avg — Avg Imbalance Ratio (25 levels): Average normalized difference between top-25 bid and ask quantity in the interval - bid_ask_ratio_5_avg — Avg Bid/Ask Ratio (5 levels): Average top-5 bid quantity divided by top-5 ask quantity in the interval - bid_ask_ratio_10_avg — Avg Bid/Ask Ratio (10 levels): Average top-10 bid quantity divided by top-10 ask quantity in the interval - bid_ask_ratio_20_avg — Avg Bid/Ask Ratio (20 levels): Average top-20 bid quantity divided by top-20 ask quantity in the interval - bid_ask_ratio_25_avg — Avg Bid/Ask Ratio (25 levels): Average top-25 bid quantity divided by top-25 ask quantity in the interval

Total bid/ask depth aggregated over 5, 10, 20, 25 order book levels — instantaneous and interval-averaged. Access: Tier 3 and above. Fields: - time — Time: Interval start, in milliseconds since the Unix epoch (UTC) - ask_agg_5 — Ask Aggregate (5 levels): Last total ask quantity across the top 5 levels - ask_agg_10 — Ask Aggregate (10 levels): Last total ask quantity across the top 10 levels - ask_agg_20 — Ask Aggregate (20 levels): Last total ask quantity across the top 20 levels - ask_agg_25 — Ask Aggregate (25 levels): Last total ask quantity across the top 25 levels - bid_agg_5 — Bid Aggregate (5 levels): Last total bid quantity across the top 5 levels - bid_agg_10 — Bid Aggregate (10 levels): Last total bid quantity across the top 10 levels - bid_agg_20 — Bid Aggregate (20 levels): Last total bid quantity across the top 20 levels - bid_agg_25 — Bid Aggregate (25 levels): Last total bid quantity across the top 25 levels - ask_agg_5_avg — Avg Ask Aggregate (5 levels): Average total ask quantity across the top 5 levels in the interval - ask_agg_10_avg — Avg Ask Aggregate (10 levels): Average total ask quantity across the top 10 levels in the interval - ask_agg_20_avg — Avg Ask Aggregate (20 levels): Average total ask quantity across the top 20 levels in the interval - ask_agg_25_avg — Avg Ask Aggregate (25 levels): Average total ask quantity across the top 25 levels in the interval - bid_agg_5_avg — Avg Bid Aggregate (5 levels): Average total bid quantity across the top 5 levels in the interval - bid_agg_10_avg — Avg Bid Aggregate (10 levels): Average total bid quantity across the top 10 levels in the interval - bid_agg_20_avg — Avg Bid Aggregate (20 levels): Average total bid quantity across the top 20 levels in the interval - bid_agg_25_avg — Avg Bid Aggregate (25 levels): Average total bid quantity across the top 25 levels in the interval