Raw Data

JSON data streamed by the exchange through websockets and APIs

We store (redundantly to avoid data losses) data coming from exchange's websockets in their raw, unaltered form. Also from APIs (mainly for instrument metadata and orderbook snapshots).

We add a local timestamp field to the raw data for analytics, latency calculations, debugging and data validation. This field is available both in the raw data collection and the derived datasets Tick by Tick and Market By Order