Amberdata Data Dictionary

Trades

Every executed transaction on an exchange, including the price, volume, and timestamp at which the transaction occurred.

Market Data

Tick-by-tick, realtime and historical data including price, order books, and reference rates. Full transparency into the top spot, derivatives and decentralized exchanges.

Tick

Streaming Level I and Level II price data enable real-time decision-making. Retrieve live & full historical prices for any specified crypto asset with a ticker symbol or blockchain address.

Orderbook Snapshots

Limit order book snapshots taken twice per minute, including all bids/asks placed within 10% of the midprice.

Derivatives

Open Interest, funding rates, and liquidations provide critical context so you can act decisively.

OHLCV

Open High Low Close Volume data, representing the aggregation of minutely trades, also known as Candles.

VWAP

Volume Weighted Price (VWAP), Time Weighted Average (TWAP), Average Price on and across exchanges.

Trade Data

TradesMarket DataTick
Preview
Trade DataTrade DataSample
KeyDescription
TimestampWe use the timestamp of the trade from the exchange. The timestamp included in the returned data is when the trade executed on the exchange, not when recorded in our database.
Trade IDTrade ID's come directly from the exchange, they are unique to the exchange. If an exchange does not provide a trade ID, we omit this field, as the timestamp allows for further sorting.
PriceThe price that has been established by this trade, the final executed and agreed value for the asset.
VolumeThe total amount of that asset that was traded. This is the value of the asset denoted in its "quote" amount.
Is BuyDenotes if the trade is a buy or sell based on a boolean flag. When it is a buy trade, it will be "true".
ExchangeExchange Name (Example: Coinbase Pro)

API Docs & Resources

Data Methodology

For every exchange, we poll their market data REST API made publicly available in an exchange’s API documentation. We collect every executed transaction on an exchange. We poll every exchange at regular intervals to ensure that we are collecting every trade data point. Immediately after receiving these trades, we normalize the data into our own schema, to ensure consistency across exchanges.

DEX Methodology

For decentralized exchanges, like Uniswap or Curve, we collect raw blockchain data and normalized into trade schema matching our platform trade data. This method ensures we have every transaction and event from the blockchain represented as a single trade tick for every DEX. The collection method has been generalized, which means every DEX using the same trade standard will be supported in the APIs regardless if we showcase it or not.

Price

Market DataTrades
Preview
PricePriceSample
KeyDescription
TimestampWe use the timestamp of the trade from the exchange. The timestamp included in the returned data is when the trade executed on the exchange, not when recorded in our database.
VolumeThe total amount of that asset that was traded. This is the value of the asset denoted in its "quote" amount.
PriceThe price that has been established by this trade, the final executed and agreed value for the asset. In this case, returned value defaults to USD.
Hourly VolumeThe hourly volume of the asset in native denomination. This is the aggregated sum of all asset trade size for an hourly increment.
Daily VolumeThe daily volume of the asset in native denomination. This is the aggregated sum of all asset trade size for a daily increment.

API Docs & Resources

Order Book Snapshots

Orderbook SnapshotsMarket Data
Preview
Order Book SnapshotsOrder Book SnapshotsSample
KeyDescription
AskThe minimum price a seller is willing to accept for an asset.
BidThe maximum price a buyer is willing to pay for an asset.
PriceThe quote price of the asset pair.
VolumeThe total number of assets traded in a specific asset pair within a given period of time.
OrdersThe total number of unique orders in a given orderbook snapshot.

Tickers

Market DataTickTrades
Preview
TickersSample
KeyDescription
TimestampWe use the timestamp of the trade from the exchange. The timestamp included in the returned data is when the trade executed on the exchange, not when recorded in our database. Formatted as ISO 8601.
ExchangeExchange Name (Example: Coinbase Pro)
BidRepresents the buy price a trader is wanting to pay for the asset.
AskRepresents the sell price the market is wanting to get for the asset.
MidThe average between the bids and asks.
LastThe last price in the market pair trades.
PriceThe price that has been established by this trade, the final executed and agreed value for the asset.
Order IDOrder ID's come directly from the exchange, they are unique to the exchange. If an exchange does not provide a Order ID, we omit this field, as the timestamp allows for further sorting.
QuantityThe original quantity before the trade occurred.

API Docs & Resources

Open Interest

Market DataTradesDerivatives
Preview
Open InterestOpen InterestSample
KeyDescription
ExchangeExchange Name (Example: Bitmex)
TimestampWe use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
AmountThe value of the open interest.

API Docs & Resources

OHLCV

OHLCVMarket Data
Preview
OHLCVOHLCVSample
KeyDescription
OpenOpen represents the first price traded during a specified interval.
HighHigh represents the highest price traded during that interval.
LowLow represents the lowest price traded during that interval.
CloseClose represents the last price traded during a specified interval.
VolumeThe total and aggregated amount of that asset that was traded. This is the value of the asset denoted in its "quote" amount.
ExchangeExchange Name (Example: Coinbase Pro)
AddressThe address of the token (if applicable). This is considered the on-chain pair address. This data exists for DEX.
Base AddressThe address of the underlying base for the on-chain asset pair. This data exists for DEX.
Quote AddressThe address of the underlying quote for the on-chain asset pair. This data exists for DEX.

API Docs & Resources

Data Methodology

OHLCV is sourced from each exchange directly. When an exchange doesnt provide OHLCV, we calculate the values directly from exchange trade data. All data points are sourced at timestamps opening and closing each minute using UTC.

DEX Methodology

OHLCV is calculated from the blockchain trade data we collect. It is then aggregated into 1 minute candles, using UTC.

Liquidations

Market DataTradesDerivatives
Preview
LiquidationsSample
KeyDescription
ExchangeExchange Name (Example: Coinbase Pro)
TimestampWe use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
QuantityThe original quantity before the liquidation occurred.
PriceThe price of the instrument at the time of the liquidation.
SideThe direction of the trade.
ActionThe type of action taken during the liquidation process (for example: delete, insert, update, etc).
Order IdOrder ID's come directly from the exchange, they are unique to the exchange. If an exchange does not provide a order ID, we omit this field, as the timestamp allows for further sorting.

API Docs & Resources

Long/Short Ratio

DerivativesMarket Data
Preview
Long/Short RatioLong/Short RatioSample
KeyDescription
ExchangeExchange Name (Example: Bitmex)
TimestampWe use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
RatioThe long/short account number ratio of top traders
Long AccountThe long position ratio of top traders
Short AccountThe short position ratio of top traders
PeriodThe time duration of when the ratio occurs

API Docs & Resources

Exchanges & Pairs

OHLCVTickTradesDerivatives
Preview
Exchanges & PairsSample
KeyDescription
ExchangeExchange Name (Example: Coinbase Pro)
PairThe asset base/quote supported by the exchange. Each pair contains a list of features supported.
FeaturesEach feature represents a full set of realtime and historical data supported for the specified pair & exchange. Support includes details for start and end date collection, which denotes all assets that have discontinued, continuously traded and upcoming not-yet-traded.

Funding Rates

Market DataTradesDerivatives
Preview
Funding RatesFunding RatesSample
KeyDescription
ExchangeExchange Name (Example: Coinbase Pro)
TimestampWe use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
Insertion TimestampThis timestamp is when recorded in our database, not the time executed on the exchange.
Funding IntervalThe time duration of when rates are quoted. Generally in 8 hour increments.
Funding RateRepresents the actual funding rate calculated over the previous funding interval that is used in determining the funding payment.

API Docs & Resources

Insurance Fund

Market DataDerivatives
Preview
Insurance FundInsurance FundSample
KeyDescription
ExchangeExchange Name (Example: Coinbase Pro)
TimestampWe use the timestamp of the event from the exchange. The timestamp included in the returned data is when the event came from the exchange, not when recorded in our database.
FundThe amount of insurance fund.

API Docs & Resources

Gobal VWAP

VWAPMarket DataTrades
Preview
Gobal VWAPGobal VWAPSample
KeyDescription
TimestampThe timestamp included in the returned data is when the time-interval based Date Time recorded in our database. In many cases, this is the close of a minute at UTC.
AssetA currency on an exchange, example "BTC"
VWAPThe value of an aggregated asset across exchanges using the Volume Weighted Average Price calculation.
VolumeThe total amount of that asset that was traded. This is the value of the asset denoted in its "quote" amount.
PriceThe price that has been established by the volume weighted average across all trades and across all exchanges for a specific time interval.

API Docs & Resources

Data Methodology

Global VWAP is represented across all exchanges which supports this asset, including all cross rates pairs. VWAP is calculated as a volume weighted moving average across all exchanges.

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