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Bitcoin order book dataset

 

BitMEX exchange XBTUSD full order book.

5 seconds samples.

More than 2Tb in size.

25 Billion orders.

Motivation

We use RAW order book data and extract the order book microstructure features to feed our machine learning models and feed High Frequency Trading algorithms.

 

Exchanges does not provide access to historical order book information, so institutions and researchers that need access to this data have to create an infaestructure to collect the data until there are enough backsamples to perform their analysis.

 

We offer this dataset ready to consume.

Dataset details

Data sample comes formated as JSON structure from the BitMEX REST API.

Each order book sample is saved as a pickle object containing the full order book and timestamp (UTC).

Daily pickle files are ZIP compressed.

BitMEX API overview

Data
XBTUSD ticker
Since April 2019 to date
More than 25 Billion orders
Technical
2 Terabyte
5 seconds sampling frequency
Format
Serialized using python pickle
Daily zip crompressed files

Dataset pricing and services

5000 USD

Paypal payment

Online delivery

Other services

HDD shipping

Updates subscription

Format conversion

Order book microstructure systhesis (feature engineering)

AI quantitative modeling

Contact us

Say hello, we are a friendly algorithm ;)

info@algorithmic.ch