Market By Order

API snapshots and orderbook deltas to rebuild the Orderbook state at any given historical time

Unified data format for orderbooks across exchanges, symbols and asset classes, defined as follows:

Field Name	Data Type	Example	Description
Exchange	String	BINANCE	Exchange where the data is originated
Symbol_Type	String	Spot	Asset class
Symbol_Name	String	1INCHUSDT	Instrument name (as defined by the exchange)
ID	Integer	1412173728	Exchange ID (when available)
Type	String	Snapshot	Snapshot/Update
Local_Timestamp	Double	1681605032.463	Epoch timestamp defined by our machines (milliseconds)
Exchange_Timestamp	Double		Epoch timestamp from the exchange (milliseconds)
Side	String	Ask	Bid/Ask
Amount	Double	17.2	New order amount resting in the book
Price	Double	4.612	Price level updated or where snapshot ocurred

Some exchanges, in some scenarios, do not include a timestamp when requesting snapshots (as Binance in the example above). In these cases, only the Local_Timestamp field can be used for validation or rebuilding the orderbook.

An Amount of 0 indicates when a specific price level is updated to be empty.