Order book

This section describes calls related to order book data, also known as books or passive level 2 data.

JSON structure

Order book related commands return JSON structured like this:

[
  {
    "symbol_id": "BITSTAMP_SPOT_BTC_USD",
    "time_exchange": "2013-09-28T22:40:50.0000000Z",
    "time_coinapi": "2017-03-18T22:42:21.3763342Z",
    "asks": [
      {
        "price": 456.35,
        "size": 123
      },
      {
        "price": 456.36,
        "size": 23
      },
      ... cut ...
    ],
    "bids": [
      {
        "price": 456.10,
        "size": 42
      },
      {
        "price": 456.09,
        "size": 5
      },
      ... cut ...
    ]
  }
]

Output variables

Variable	Description
symbol_id	Our symbol identifier, format documented here.
time_exchange	Exchange time of order book
time_coinapi	CoinAPI time when order book received from exchange
asks	Best 20 ask levels in order from best to worst
bids	Best 20 bid levels in order from best to worst
price	Price of bid/ask
size	Volume resting on bid/ask level in base amount

Get current order book snapshot for all or a specific symbol.

HTTP Request

GET /v1/orderbooks/current?filter_symbol_id={filter_symbol_id}&limit_levels={limit_levels}
GET /v1/orderbooks/{symbol_id}/current?limit_levels={limit_levels}

URL Parameters

Parameter	Type	Description
filter_symbol_id	string[]	Comma or semicolon delimited parts of symbol identifier used to filter response. (required, full list available here)
limit_levels	int	Maximum amount of levels from each side of the book to include in response (optional)

When requesting current order book data limited to a single level, then quotes are actually used. This information is important from the perspective that quotes data could be faster than order book data (behavior is dependent solely one the data source) and they can have the size equal to 0 when the size is unknown. Some data sources publish order books and separately quote data (without the sizes) at a higher frequency. In that case, we will merge the order book feed with quotes feed to make sure that our updates are as fast as possible. The quotes will have the size equal to 0 as the value is unknown and the customer can decide if these higher frequency updates without the sizes are valuable or if not then can discard them or ask for at least 2 order book levels (in case of a REST API call). For the data sources that publish order books only or order books and quotes with the sizes then this will not happen.

Latest data GET

curl https://rest.coinapi.io/v1/orderbooks/BITSTAMP_SPOT_BTC_USD/latest \
  --request GET
  --header "X-CoinAPI-Key: 73034021-THIS-IS-SAMPLE-KEY"

Get latest order book snapshots for a specific symbol, returned in time descending order.

HTTP Request

GET /v1/orderbooks/{symbol_id}/latest?limit={limit}&limit_levels={limit_levels}

URL Parameters

Parameter	Type	Description
symbol_id	string	Symbol identifier of requested timeseries (full list available here)
limit_levels	int	Maximum amount of levels from each side of the book to include in response (optional)
limit	int	Amount of items to return (optional, mininum is 1, maximum is 100000, default value is 100, if the parameter is used then every 100 output items are counted as one request)

Historical data GET

curl https://rest.coinapi.io/v1/orderbooks/BITSTAMP_SPOT_BTC_USD/history?time_start=2016-01-01T00:00:00 \
  --request GET
  --header "X-CoinAPI-Key: 73034021-THIS-IS-SAMPLE-KEY"

Get historical order book snapshots for a specific symbol within time range, returned in time ascending order.

HTTP Request

GET /v1/orderbooks/{symbol_id}/history?time_start={time_start}&time_end={time_end}&limit={limit}&limit_levels={limit_levels}

URL Parameters

Parameter	Type	Description
symbol_id	string	Symbol identifier for requested timeseries (full list available here)
time_start	timestring	Starting time in ISO 8601 (required)
time_end	timestring	Timeseries ending time in ISO 8601 (optional, if not supplied then the data is returned to the end or when result elements count reaches the limit)
limit_levels	int	Maximum amount of levels from each side of the book to include in response (optional)
limit	int	Amount of items to return (optional, mininum is 1, maximum is 100000, default value is 100, if the parameter is used then every 100 output items are counted as one request)

Ohlcv Order Book L3

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