From our tick by tick data collection, we rebuild candlesticks from every exchange to offer the maximum accuracy and real price data points from actual trades that ocurred, bypassing missing data, erroneus data fills by exchanges and other issues. From data validated trade by trade we abstract the most solid OHCLV historicals.

Our data collection encompasses all trades ocurring at a given exchange, no exceptions. We store every trade in both spot and derivatives and normalize the data across asset classes and exchanges with the following fields: {Exchange, Symbol_Type, Symbol_Name, ID, Type, Local_Timestamp, Exchange_Timestamp, Side, Amount, Price}

Our unique approach to storing market by order events consists of storing every orderbook delta (up to the maximum depth offered by the exchange) along with regular API snapshots. 

We use snapshots to validate our data and to make the rebuilding process more efficient. We then normalize this data and store it using the same format as with trades events. This allow for an easy merge and analysis of the full orderbook evolution.

Volatility smiles, funding rates, liquidations, tickers metadata, arbitrage analysis, sentiment and social data... Enquiry to find out more!