Order Books

NTerminal offers full orderbook data on 90+ digital asset exchanges, and partial order book data on an additional 100+ digital asset exchanges. Many digital asset exchanges allow for extreme granularity in order sizes and prices. As a result, price discovery in algorithmic trading involves a large number of minimum size orders that race against each other in small price increments to discover the best buy and sell prices. Such automated orders, unless executed, don’t cost anything in fees and make individual order book updates noisy. To combat this, NTerminal also offers to post periodical snapshots of whole order books, effectively canceling out place-and-cancel order activity. This allows our users to focus on the overall dynamics of the order book and not be overwhelmed by trading bot price discovery activity.

Order-Book-Kraken-JPY-ZEC-Sample-1563123392_104719.csv

{
   _time: 1563121918
   time_exchange: 2019-07-14T16:31:58.1520000Z	
   market_venue: KRAKEN
   symbol: ZEC
   symbol_type: SPOT
   market: JPY
   rawdata: {
     asks: [
       {
         price: 8865.729	
         size: 8.04119885	
       }	
       {
         price: 8865.73	
         size: 1.62302	
       }	
       {
         price: 9353.979	
         size: 0.0303	
       }	
       {
         price: 9443.491	
         size: 0.03029999	
       }	
       {
         price: 9577.758	
         size: 0.03029999	
       }	
       {
         price: 9756.781	
         size: 0.03029999	
       }	
       {
         price: 10072.36	
         size: 1.20027433	
       }	
       {
         price: 10379.674	
         size: 1.16789348	
       }	
       {
         price: 10738.2	
         size: 1.12874831	
       }	
       {
         price: 11056.461	
         size: 1.0963567	
       }	
       {
         price: 11116.455	
         size: 1.09043981	
       }	
       {
         price: 11278.792	
         size: 1.07474498	
       }	
       {
         price: 11518.766	
         size: 1.05235449	
       }	
       {
         price: 11611	
         size: 1.3561011	
       }	
       {
         price: 11700	
         size: 1.9466725	
       }	
       {
         price: 11758.741	
         size: 1.0308778	
       }	
       {
         price: 11998.715	
         size: 1.01026027	
       }	
       {
         price: 12238.689	
         size: 0.99045127	
       }	
       {
         price: 12399	
         size: 1	
       }	
       {
         price: 12478.664	
         size: 0.97140408	
       }	
     ]		
     bids: [
       {
         price: 8441.603	
         size: 4.22263638	
       }	
       {
         price: 8441.602	
         size: 1.70457	
       }	
       {
         price: 8441.481	
         size: 4.2226974	
       }	
       {
         price: 8130	
         size: 0.04	
       }	
       {
         price: 7923.04	
         size: 1.52994622	
       }	
       {
         price: 7830.001	
         size: 0.3297084	
       }	
       {
         price: 7830	
         size: 8.6975	
       }	
       {
         price: 7300	
         size: 1	
       }	
       {
         price: 7220	
         size: 1	
       }	
       {
         price: 6810.001	
         size: 1.78000343	
       }	
       {
         price: 6810	
         size: 5	
       }	
       {
         price: 6795	
         size: 1	
       }	
       {
         price: 6783	
         size: 15	
       }	
       {
         price: 6495	
         size: 0.05	
       }	
       {
         price: 6350	
         size: 2	
       }	
       {
         price: 6111	
         size: 0.625	
       }	
       {
         price: 5999	
         size: 0.242	
       }	
       {
         price: 5777	
         size: 0.132	
       }	
       {
         price: 5750.593	
         size: 2.10792611	
       }	
       {
         price: 5666	
         size: 0.236	
       }	
     ]	
   }
}