- Use Cases
Comprehensive crypto trade data enables you to make informed decisions. Successful trading is nearly impossible without it. There are many, many types and uses of crypto historical data. But what exactly do you need, and, more importantly, how can you get it? Today we discuss several important types of live and historical data.
Accessing Crypto Trade Data
Crypto volume data is, of course, the amount of cryptocurrencies or crypto instruments traded during a given period. OHLCV data gives you the opening, highest, lowest, and closing prices of a given instrument during a given period, as well as the total volume that changed hands. That “V” is the simplest measure of volume.
In addition, Amberdata provides volume metrics for all assets and all pairs on the exchanges we support. Our metrics endpoints can retrieve the total volume traded by the exchanges in USD, the daily volume of assets on each exchange, or the daily volume of pairs on each exchange. The list of exchanges we support can be found using our exchanges endpoint and the list of pairs we support can be found using our Pairs endpoint.
OHLCV data has many uses, but one interesting and valuable use is in the creation of candlestick charts. Candlesticks, thought to be invented by a Japanese rice trader in the 1700s, display OHLC data graphically in a way that’s fast and simple to understand. They're used in particular by technical traders, that is, those traders who make trading decisions based on chart patterns rather than some form of fundamental data.
Candlestick charts create patterns, some bullish, some bearish, that have been given colorful and descriptive names, such as Hanging Man, Evening Star, The Hammer, etc. These patterns help technical traders identify trend reversals, continuations, and areas of support or resistance.
Weighted price data
A common price measure is Volume Weighted Average Price or VWAP.” VWAP shows the average price of an asset, adjusted for its volume (i.e., giving more weight to large volume trades) over a given period. Amberdata derives VWAP from the crypto’s OHLCV data using the calculation (H+L+C) / 3.
Traders moving size, such as institutional traders, consult VWAP to try to ensure that their trades don’t excessively move the price of the crypto they are trying to buy or sell. Amberdata provides VWAP data aggregated by minute, hour, or day for all the exchanges we cover, with historical data back to 2012 for some exchanges. VWAP can also be used similarly to moving averages, with a price above the VWAP being a bullish indicator and a price below bearish. And, as with moving averages, VWAP can help you find entry or exit points.
A measurement similar to VWAP is Time Weighted Average Price or “TWAP.” TWAP is the average price that a crypto trades at during a specific time. It is an aggregated form of price data. We derive TWAP from the crypto’s OHLCV data with the calculation (O+H+L+C) / 4. One advantage of TWAP is that it is easy to calculate and consumes far fewer computing resources than more complex pricing mechanisms, making it easy to implement and efficient to run.
High-volume or high-frequency traders often employ a TWAP execution strategy, which works by dividing a large order into smaller chunks and executing them over time to minimize market impact and keep from driving the price upon themselves.
Amberdata calculates TWAP across a single exchange or all the centralized exchanges we cover, with a one-minute frequency and a user-defined lookback period. Our historical data goes back to 2013 for some of the exchanges. For both VWAP and TWAP, our endpoints are available via REST API for historical (time series) data as well as WebSockets for real-time data.
“Tick-by-tick data,” also called “trade data” or “time and sales data” is a granular, detailed display of a market's trading information. It shows every trade that occurs, along with other information, such as the exact time of the trade, the number of cryptos/contracts that were traded, and more. You can see tick-by-tick data for a particular crypto instrument or trading pair via exchange, or aggregated from multiple exchanges.
Best bid/ask prices
Finding the best bid/ask prices is obviously important. Being able to do so brings down your transaction costs, speeds execution, and increases your trading profitability. From an informational perspective, bid/ask spreads are an indicator of liquidity and volatility. So, in all cases, you want bid/ask data that’s comprehensive and timely.
So where can you get this data?
From crypto order books. An order book is a complete list of buy and sell orders for a specific crypto instrument, organized by price. It lists the number of units being bid or offered per price point, or market depth. You can use order book data to gauge market sentiment, depth and breadth, identify opportunities, and manage risk. It's also useful for research and backtesting.
Our order books endpoints are complete order books which show you every bid and ask for every asset and pair on every exchange we support. We have comprehensive order book data for crypto spot, futures, swaps, and options from the most reputable exchanges. We also offer one-minute order book snapshots for the same four instruments, if you don’t need perfect granularity.
If you do need granularity, our order books include every ‘flick’ of a bid or ask for any pair on any exchange we support, with some exchange data back to 2011. All of our order book data comes directly from the exchanges themselves. Our Order Book endpoints are available via REST API for latest and historical (time series) data as well as WebSockets for real-time data.
Another way to find bid/ask data is from our tickers. Our tickers display the best bids/asks from an orderbook; the bid being the maximum price that a buyer is willing to pay and the ask being the minimum price. We provide incremental tick-level updates/deltas of all bids and asks on an order book. This level 2 data is available within the order book endpoints.
For bid/ask data, we also provide reference quotes. Reference quotes are calculated based on pre-trade data. We're one of the only providers who also provide this kind of pre-trade price data in real time via WebSockets. We enable you to look at reference quotes that are calculated across all exchanges, or you can specify which exchanges you’d like, and the calculation updates every second.
Crypto Data Solutions for OTC Desks
Over-the-counter (OTC) desks facilitate the direct trading of crypto between two parties, bypassing traditional exchanges. Traders with large-volume transactions often turn to OTC desks to get more privacy, higher trade limits, and to move blocks at a stable price.
Trading data for OTC desks is important, and their needs can be somewhat different from those of an individual trader. For instance, OTC desks must find liquidity for their clients; as a result, they need to understand current liquidity in various markets and exchanges. Order books and volume data can help with that, as well as illuminate overall market direction and sentiment.
Also, for OTC desks, the market per se doesn’t determine the pricing of big blocks, the desks do. To do that they need accurate and current market data to provide a benchmark price for their direct transactions.
How to download our historical crypto data
Whether you’re looking for volume, tick-by-tick, OHLCV, or whatever, ease of access is almost as important as the data itself. At Amberdata, we’ve made ease of access a priority. We provide simple access to all the latest and historical data via REST API. By default, requests pulled from the REST API will return in JSON format—to download crypto historical data, you can easily convert the JSON output to CSV files. Our real-time data is available via WebSockets.
Amberdata lets you access the data you need
Amberdata was built to serve institutional traders. We provide solutions and expertise for every digital asset class participant. Whether you’re a financial institution just entering the asset class, an OTC desk, or a Fintech building or enhancing product, Amberdata has digital asset data solutions to meet your needs.
Along with providing comprehensive, granular, and normalized data, we help you stay informed of activity in the crypto markets with our research and commentary each month in our blogs, resource library, guides, and primers, as well as insights into blockchain networks, crypto markets, and decentralized finance.