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High Frequency Crypto Limit Order Book Data

Bitcoin, Ethereum and Cardano

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data

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About this Dataset

High Frequency Crypto Limit Order Book Data

Context

The dataset was created from raw order book messaged acquired by subscribing to the websocket of coinbase.com. The order books where then aggregated to construct snapshots of the limit order book at frequencies of 1 second, 1 minute and 5 minutes.

Content

The dataset contains roughly 12 days of limit order book data for Bitcoin (BTC), Ethereum (ETH) and Cardano (ADA).

The data contains information for the 15 best bid / ask price levels in the order book.

Features

midpoint = the midpoint between the best bid and the best ask
spread = the difference between the best bid and the best ask

bids_distance_x = the distance of bid level x from the midprice in %
asks_distance_x = the distance of ask level x from the midprice in %

bids_market_notional_x = volume of market orders at bid level x
bids_limit_notional_x = volume of limit orders at bid level x
bids_cancel_notional_x = volume of canceled orders at bid level x

asks_market_notional_x = volume of market orders at ask level x
asks_limit_notional_x = volume of limit orders at ask level x
asks_cancel_notional_x = volume of canceled orders at ask level x

Acknowledgements

Credits to Sadighian for creating the awesome tool used to create this dataset.
https://github.com/sadighian/crypto-rl

Tables

Ada 1min

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data.ada_1min
  • 14.99 MB
  • 17,109 rows
  • 156 columns
Loading... 
CREATE TABLE ada_1min (
  "unnamed_0" BIGINT  -- Unnamed: 0,
  "system_time" VARCHAR,
  "midpoint" DOUBLE,
  "spread" DOUBLE,
  "buys" DOUBLE,
  "sells" DOUBLE,
  "bids_distance_0" DOUBLE,
  "bids_distance_1" DOUBLE,
  "bids_distance_2" DOUBLE,
  "bids_distance_3" DOUBLE,
  "bids_distance_4" DOUBLE,
  "bids_distance_5" DOUBLE,
  "bids_distance_6" DOUBLE,
  "bids_distance_7" DOUBLE,
  "bids_distance_8" DOUBLE,
  "bids_distance_9" DOUBLE,
  "bids_distance_10" DOUBLE,
  "bids_distance_11" DOUBLE,
  "bids_distance_12" DOUBLE,
  "bids_distance_13" DOUBLE,
  "bids_distance_14" DOUBLE,
  "bids_notional_0" DOUBLE,
  "bids_notional_1" DOUBLE,
  "bids_notional_2" DOUBLE,
  "bids_notional_3" DOUBLE,
  "bids_notional_4" DOUBLE,
  "bids_notional_5" DOUBLE,
  "bids_notional_6" DOUBLE,
  "bids_notional_7" DOUBLE,
  "bids_notional_8" DOUBLE,
  "bids_notional_9" DOUBLE,
  "bids_notional_10" DOUBLE,
  "bids_notional_11" DOUBLE,
  "bids_notional_12" DOUBLE,
  "bids_notional_13" DOUBLE,
  "bids_notional_14" DOUBLE,
  "bids_cancel_notional_0" DOUBLE,
  "bids_cancel_notional_1" DOUBLE,
  "bids_cancel_notional_2" DOUBLE,
  "bids_cancel_notional_3" DOUBLE,
  "bids_cancel_notional_4" DOUBLE,
  "bids_cancel_notional_5" DOUBLE,
  "bids_cancel_notional_6" DOUBLE,
  "bids_cancel_notional_7" DOUBLE,
  "bids_cancel_notional_8" DOUBLE,
  "bids_cancel_notional_9" DOUBLE,
  "bids_cancel_notional_10" DOUBLE,
  "bids_cancel_notional_11" DOUBLE,
  "bids_cancel_notional_12" DOUBLE,
  "bids_cancel_notional_13" DOUBLE,
  "bids_cancel_notional_14" DOUBLE,
  "bids_limit_notional_0" DOUBLE,
  "bids_limit_notional_1" DOUBLE,
  "bids_limit_notional_2" DOUBLE,
  "bids_limit_notional_3" DOUBLE,
  "bids_limit_notional_4" DOUBLE,
  "bids_limit_notional_5" DOUBLE,
  "bids_limit_notional_6" DOUBLE,
  "bids_limit_notional_7" DOUBLE,
  "bids_limit_notional_8" DOUBLE,
  "bids_limit_notional_9" DOUBLE,
  "bids_limit_notional_10" DOUBLE,
  "bids_limit_notional_11" DOUBLE,
  "bids_limit_notional_12" DOUBLE,
  "bids_limit_notional_13" DOUBLE,
  "bids_limit_notional_14" DOUBLE,
  "bids_market_notional_0" DOUBLE,
  "bids_market_notional_1" DOUBLE,
  "bids_market_notional_2" DOUBLE,
  "bids_market_notional_3" DOUBLE,
  "bids_market_notional_4" DOUBLE,
  "bids_market_notional_5" DOUBLE,
  "bids_market_notional_6" DOUBLE,
  "bids_market_notional_7" DOUBLE,
  "bids_market_notional_8" DOUBLE,
  "bids_market_notional_9" DOUBLE,
  "bids_market_notional_10" DOUBLE,
  "bids_market_notional_11" DOUBLE,
  "bids_market_notional_12" DOUBLE,
  "bids_market_notional_13" DOUBLE,
  "bids_market_notional_14" DOUBLE,
  "asks_distance_0" DOUBLE,
  "asks_distance_1" DOUBLE,
  "asks_distance_2" DOUBLE,
  "asks_distance_3" DOUBLE,
  "asks_distance_4" DOUBLE,
  "asks_distance_5" DOUBLE,
  "asks_distance_6" DOUBLE,
  "asks_distance_7" DOUBLE,
  "asks_distance_8" DOUBLE,
  "asks_distance_9" DOUBLE,
  "asks_distance_10" DOUBLE,
  "asks_distance_11" DOUBLE,
  "asks_distance_12" DOUBLE,
  "asks_distance_13" DOUBLE,
  "asks_distance_14" DOUBLE,
  "asks_notional_0" DOUBLE,
  "asks_notional_1" DOUBLE,
  "asks_notional_2" DOUBLE,
  "asks_notional_3" DOUBLE
);

Ada 1sec

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data.ada_1sec
  • 384.58 MB
  • 1,030,533 rows
  • 156 columns
Loading... 
CREATE TABLE ada_1sec (
  "unnamed_0" BIGINT  -- Unnamed: 0,
  "system_time" VARCHAR,
  "midpoint" DOUBLE,
  "spread" DOUBLE,
  "buys" DOUBLE,
  "sells" DOUBLE,
  "bids_distance_0" DOUBLE,
  "bids_distance_1" DOUBLE,
  "bids_distance_2" DOUBLE,
  "bids_distance_3" DOUBLE,
  "bids_distance_4" DOUBLE,
  "bids_distance_5" DOUBLE,
  "bids_distance_6" DOUBLE,
  "bids_distance_7" DOUBLE,
  "bids_distance_8" DOUBLE,
  "bids_distance_9" DOUBLE,
  "bids_distance_10" DOUBLE,
  "bids_distance_11" DOUBLE,
  "bids_distance_12" DOUBLE,
  "bids_distance_13" DOUBLE,
  "bids_distance_14" DOUBLE,
  "bids_notional_0" DOUBLE,
  "bids_notional_1" DOUBLE,
  "bids_notional_2" DOUBLE,
  "bids_notional_3" DOUBLE,
  "bids_notional_4" DOUBLE,
  "bids_notional_5" DOUBLE,
  "bids_notional_6" DOUBLE,
  "bids_notional_7" DOUBLE,
  "bids_notional_8" DOUBLE,
  "bids_notional_9" DOUBLE,
  "bids_notional_10" DOUBLE,
  "bids_notional_11" DOUBLE,
  "bids_notional_12" DOUBLE,
  "bids_notional_13" DOUBLE,
  "bids_notional_14" DOUBLE,
  "bids_cancel_notional_0" DOUBLE,
  "bids_cancel_notional_1" DOUBLE,
  "bids_cancel_notional_2" DOUBLE,
  "bids_cancel_notional_3" DOUBLE,
  "bids_cancel_notional_4" DOUBLE,
  "bids_cancel_notional_5" DOUBLE,
  "bids_cancel_notional_6" DOUBLE,
  "bids_cancel_notional_7" DOUBLE,
  "bids_cancel_notional_8" DOUBLE,
  "bids_cancel_notional_9" DOUBLE,
  "bids_cancel_notional_10" DOUBLE,
  "bids_cancel_notional_11" DOUBLE,
  "bids_cancel_notional_12" DOUBLE,
  "bids_cancel_notional_13" DOUBLE,
  "bids_cancel_notional_14" DOUBLE,
  "bids_limit_notional_0" DOUBLE,
  "bids_limit_notional_1" DOUBLE,
  "bids_limit_notional_2" DOUBLE,
  "bids_limit_notional_3" DOUBLE,
  "bids_limit_notional_4" DOUBLE,
  "bids_limit_notional_5" DOUBLE,
  "bids_limit_notional_6" DOUBLE,
  "bids_limit_notional_7" DOUBLE,
  "bids_limit_notional_8" DOUBLE,
  "bids_limit_notional_9" DOUBLE,
  "bids_limit_notional_10" DOUBLE,
  "bids_limit_notional_11" DOUBLE,
  "bids_limit_notional_12" DOUBLE,
  "bids_limit_notional_13" DOUBLE,
  "bids_limit_notional_14" DOUBLE,
  "bids_market_notional_0" DOUBLE,
  "bids_market_notional_1" DOUBLE,
  "bids_market_notional_2" DOUBLE,
  "bids_market_notional_3" DOUBLE,
  "bids_market_notional_4" DOUBLE,
  "bids_market_notional_5" DOUBLE,
  "bids_market_notional_6" DOUBLE,
  "bids_market_notional_7" DOUBLE,
  "bids_market_notional_8" DOUBLE,
  "bids_market_notional_9" DOUBLE,
  "bids_market_notional_10" DOUBLE,
  "bids_market_notional_11" DOUBLE,
  "bids_market_notional_12" DOUBLE,
  "bids_market_notional_13" DOUBLE,
  "bids_market_notional_14" DOUBLE,
  "asks_distance_0" DOUBLE,
  "asks_distance_1" DOUBLE,
  "asks_distance_2" DOUBLE,
  "asks_distance_3" DOUBLE,
  "asks_distance_4" DOUBLE,
  "asks_distance_5" DOUBLE,
  "asks_distance_6" DOUBLE,
  "asks_distance_7" DOUBLE,
  "asks_distance_8" DOUBLE,
  "asks_distance_9" DOUBLE,
  "asks_distance_10" DOUBLE,
  "asks_distance_11" DOUBLE,
  "asks_distance_12" DOUBLE,
  "asks_distance_13" DOUBLE,
  "asks_distance_14" DOUBLE,
  "asks_notional_0" DOUBLE,
  "asks_notional_1" DOUBLE,
  "asks_notional_2" DOUBLE,
  "asks_notional_3" DOUBLE
);

Ada 5min

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data.ada_5min
  • 3.2 MB
  • 3,367 rows
  • 156 columns
Loading... 
CREATE TABLE ada_5min (
  "unnamed_0" BIGINT  -- Unnamed: 0,
  "system_time" VARCHAR,
  "midpoint" DOUBLE,
  "spread" DOUBLE,
  "buys" DOUBLE,
  "sells" DOUBLE,
  "bids_distance_0" DOUBLE,
  "bids_distance_1" DOUBLE,
  "bids_distance_2" DOUBLE,
  "bids_distance_3" DOUBLE,
  "bids_distance_4" DOUBLE,
  "bids_distance_5" DOUBLE,
  "bids_distance_6" DOUBLE,
  "bids_distance_7" DOUBLE,
  "bids_distance_8" DOUBLE,
  "bids_distance_9" DOUBLE,
  "bids_distance_10" DOUBLE,
  "bids_distance_11" DOUBLE,
  "bids_distance_12" DOUBLE,
  "bids_distance_13" DOUBLE,
  "bids_distance_14" DOUBLE,
  "bids_notional_0" DOUBLE,
  "bids_notional_1" DOUBLE,
  "bids_notional_2" DOUBLE,
  "bids_notional_3" DOUBLE,
  "bids_notional_4" DOUBLE,
  "bids_notional_5" DOUBLE,
  "bids_notional_6" DOUBLE,
  "bids_notional_7" DOUBLE,
  "bids_notional_8" DOUBLE,
  "bids_notional_9" DOUBLE,
  "bids_notional_10" DOUBLE,
  "bids_notional_11" DOUBLE,
  "bids_notional_12" DOUBLE,
  "bids_notional_13" DOUBLE,
  "bids_notional_14" DOUBLE,
  "bids_cancel_notional_0" DOUBLE,
  "bids_cancel_notional_1" DOUBLE,
  "bids_cancel_notional_2" DOUBLE,
  "bids_cancel_notional_3" DOUBLE,
  "bids_cancel_notional_4" DOUBLE,
  "bids_cancel_notional_5" DOUBLE,
  "bids_cancel_notional_6" DOUBLE,
  "bids_cancel_notional_7" DOUBLE,
  "bids_cancel_notional_8" DOUBLE,
  "bids_cancel_notional_9" DOUBLE,
  "bids_cancel_notional_10" DOUBLE,
  "bids_cancel_notional_11" DOUBLE,
  "bids_cancel_notional_12" DOUBLE,
  "bids_cancel_notional_13" DOUBLE,
  "bids_cancel_notional_14" DOUBLE,
  "bids_limit_notional_0" DOUBLE,
  "bids_limit_notional_1" DOUBLE,
  "bids_limit_notional_2" DOUBLE,
  "bids_limit_notional_3" DOUBLE,
  "bids_limit_notional_4" DOUBLE,
  "bids_limit_notional_5" DOUBLE,
  "bids_limit_notional_6" DOUBLE,
  "bids_limit_notional_7" DOUBLE,
  "bids_limit_notional_8" DOUBLE,
  "bids_limit_notional_9" DOUBLE,
  "bids_limit_notional_10" DOUBLE,
  "bids_limit_notional_11" DOUBLE,
  "bids_limit_notional_12" DOUBLE,
  "bids_limit_notional_13" DOUBLE,
  "bids_limit_notional_14" DOUBLE,
  "bids_market_notional_0" DOUBLE,
  "bids_market_notional_1" DOUBLE,
  "bids_market_notional_2" DOUBLE,
  "bids_market_notional_3" DOUBLE,
  "bids_market_notional_4" DOUBLE,
  "bids_market_notional_5" DOUBLE,
  "bids_market_notional_6" DOUBLE,
  "bids_market_notional_7" DOUBLE,
  "bids_market_notional_8" DOUBLE,
  "bids_market_notional_9" DOUBLE,
  "bids_market_notional_10" DOUBLE,
  "bids_market_notional_11" DOUBLE,
  "bids_market_notional_12" DOUBLE,
  "bids_market_notional_13" DOUBLE,
  "bids_market_notional_14" DOUBLE,
  "asks_distance_0" DOUBLE,
  "asks_distance_1" DOUBLE,
  "asks_distance_2" DOUBLE,
  "asks_distance_3" DOUBLE,
  "asks_distance_4" DOUBLE,
  "asks_distance_5" DOUBLE,
  "asks_distance_6" DOUBLE,
  "asks_distance_7" DOUBLE,
  "asks_distance_8" DOUBLE,
  "asks_distance_9" DOUBLE,
  "asks_distance_10" DOUBLE,
  "asks_distance_11" DOUBLE,
  "asks_distance_12" DOUBLE,
  "asks_distance_13" DOUBLE,
  "asks_distance_14" DOUBLE,
  "asks_notional_0" DOUBLE,
  "asks_notional_1" DOUBLE,
  "asks_notional_2" DOUBLE,
  "asks_notional_3" DOUBLE
);

Btc 1min

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data.btc_1min
  • 14.21 MB
  • 17,113 rows
  • 156 columns
Loading... 
CREATE TABLE btc_1min (
  "unnamed_0" BIGINT  -- Unnamed: 0,
  "system_time" VARCHAR,
  "midpoint" DOUBLE,
  "spread" DOUBLE,
  "buys" DOUBLE,
  "sells" DOUBLE,
  "bids_distance_0" DOUBLE,
  "bids_distance_1" DOUBLE,
  "bids_distance_2" DOUBLE,
  "bids_distance_3" DOUBLE,
  "bids_distance_4" DOUBLE,
  "bids_distance_5" DOUBLE,
  "bids_distance_6" DOUBLE,
  "bids_distance_7" DOUBLE,
  "bids_distance_8" DOUBLE,
  "bids_distance_9" DOUBLE,
  "bids_distance_10" DOUBLE,
  "bids_distance_11" DOUBLE,
  "bids_distance_12" DOUBLE,
  "bids_distance_13" DOUBLE,
  "bids_distance_14" DOUBLE,
  "bids_notional_0" DOUBLE,
  "bids_notional_1" DOUBLE,
  "bids_notional_2" DOUBLE,
  "bids_notional_3" DOUBLE,
  "bids_notional_4" DOUBLE,
  "bids_notional_5" DOUBLE,
  "bids_notional_6" DOUBLE,
  "bids_notional_7" DOUBLE,
  "bids_notional_8" DOUBLE,
  "bids_notional_9" DOUBLE,
  "bids_notional_10" DOUBLE,
  "bids_notional_11" DOUBLE,
  "bids_notional_12" DOUBLE,
  "bids_notional_13" DOUBLE,
  "bids_notional_14" DOUBLE,
  "bids_cancel_notional_0" DOUBLE,
  "bids_cancel_notional_1" DOUBLE,
  "bids_cancel_notional_2" DOUBLE,
  "bids_cancel_notional_3" DOUBLE,
  "bids_cancel_notional_4" DOUBLE,
  "bids_cancel_notional_5" DOUBLE,
  "bids_cancel_notional_6" DOUBLE,
  "bids_cancel_notional_7" DOUBLE,
  "bids_cancel_notional_8" DOUBLE,
  "bids_cancel_notional_9" DOUBLE,
  "bids_cancel_notional_10" DOUBLE,
  "bids_cancel_notional_11" DOUBLE,
  "bids_cancel_notional_12" DOUBLE,
  "bids_cancel_notional_13" DOUBLE,
  "bids_cancel_notional_14" DOUBLE,
  "bids_limit_notional_0" DOUBLE,
  "bids_limit_notional_1" DOUBLE,
  "bids_limit_notional_2" DOUBLE,
  "bids_limit_notional_3" DOUBLE,
  "bids_limit_notional_4" DOUBLE,
  "bids_limit_notional_5" DOUBLE,
  "bids_limit_notional_6" DOUBLE,
  "bids_limit_notional_7" DOUBLE,
  "bids_limit_notional_8" DOUBLE,
  "bids_limit_notional_9" DOUBLE,
  "bids_limit_notional_10" DOUBLE,
  "bids_limit_notional_11" DOUBLE,
  "bids_limit_notional_12" DOUBLE,
  "bids_limit_notional_13" DOUBLE,
  "bids_limit_notional_14" DOUBLE,
  "bids_market_notional_0" DOUBLE,
  "bids_market_notional_1" DOUBLE,
  "bids_market_notional_2" DOUBLE,
  "bids_market_notional_3" DOUBLE,
  "bids_market_notional_4" DOUBLE,
  "bids_market_notional_5" DOUBLE,
  "bids_market_notional_6" DOUBLE,
  "bids_market_notional_7" DOUBLE,
  "bids_market_notional_8" DOUBLE,
  "bids_market_notional_9" DOUBLE,
  "bids_market_notional_10" DOUBLE,
  "bids_market_notional_11" DOUBLE,
  "bids_market_notional_12" DOUBLE,
  "bids_market_notional_13" DOUBLE,
  "bids_market_notional_14" DOUBLE,
  "asks_distance_0" DOUBLE,
  "asks_distance_1" DOUBLE,
  "asks_distance_2" DOUBLE,
  "asks_distance_3" DOUBLE,
  "asks_distance_4" DOUBLE,
  "asks_distance_5" DOUBLE,
  "asks_distance_6" DOUBLE,
  "asks_distance_7" DOUBLE,
  "asks_distance_8" DOUBLE,
  "asks_distance_9" DOUBLE,
  "asks_distance_10" DOUBLE,
  "asks_distance_11" DOUBLE,
  "asks_distance_12" DOUBLE,
  "asks_distance_13" DOUBLE,
  "asks_distance_14" DOUBLE,
  "asks_notional_0" DOUBLE,
  "asks_notional_1" DOUBLE,
  "asks_notional_2" DOUBLE,
  "asks_notional_3" DOUBLE
);

Btc 1sec

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data.btc_1sec
  • 528.88 MB
  • 1,030,728 rows
  • 156 columns
Loading... 
CREATE TABLE btc_1sec (
  "unnamed_0" BIGINT  -- Unnamed: 0,
  "system_time" VARCHAR,
  "midpoint" DOUBLE,
  "spread" DOUBLE,
  "buys" DOUBLE,
  "sells" DOUBLE,
  "bids_distance_0" DOUBLE,
  "bids_distance_1" DOUBLE,
  "bids_distance_2" DOUBLE,
  "bids_distance_3" DOUBLE,
  "bids_distance_4" DOUBLE,
  "bids_distance_5" DOUBLE,
  "bids_distance_6" DOUBLE,
  "bids_distance_7" DOUBLE,
  "bids_distance_8" DOUBLE,
  "bids_distance_9" DOUBLE,
  "bids_distance_10" DOUBLE,
  "bids_distance_11" DOUBLE,
  "bids_distance_12" DOUBLE,
  "bids_distance_13" DOUBLE,
  "bids_distance_14" DOUBLE,
  "bids_notional_0" DOUBLE,
  "bids_notional_1" DOUBLE,
  "bids_notional_2" DOUBLE,
  "bids_notional_3" DOUBLE,
  "bids_notional_4" DOUBLE,
  "bids_notional_5" DOUBLE,
  "bids_notional_6" DOUBLE,
  "bids_notional_7" DOUBLE,
  "bids_notional_8" DOUBLE,
  "bids_notional_9" DOUBLE,
  "bids_notional_10" DOUBLE,
  "bids_notional_11" DOUBLE,
  "bids_notional_12" DOUBLE,
  "bids_notional_13" DOUBLE,
  "bids_notional_14" DOUBLE,
  "bids_cancel_notional_0" DOUBLE,
  "bids_cancel_notional_1" DOUBLE,
  "bids_cancel_notional_2" DOUBLE,
  "bids_cancel_notional_3" DOUBLE,
  "bids_cancel_notional_4" DOUBLE,
  "bids_cancel_notional_5" DOUBLE,
  "bids_cancel_notional_6" DOUBLE,
  "bids_cancel_notional_7" DOUBLE,
  "bids_cancel_notional_8" DOUBLE,
  "bids_cancel_notional_9" DOUBLE,
  "bids_cancel_notional_10" DOUBLE,
  "bids_cancel_notional_11" DOUBLE,
  "bids_cancel_notional_12" DOUBLE,
  "bids_cancel_notional_13" DOUBLE,
  "bids_cancel_notional_14" DOUBLE,
  "bids_limit_notional_0" DOUBLE,
  "bids_limit_notional_1" DOUBLE,
  "bids_limit_notional_2" DOUBLE,
  "bids_limit_notional_3" DOUBLE,
  "bids_limit_notional_4" DOUBLE,
  "bids_limit_notional_5" DOUBLE,
  "bids_limit_notional_6" DOUBLE,
  "bids_limit_notional_7" DOUBLE,
  "bids_limit_notional_8" DOUBLE,
  "bids_limit_notional_9" DOUBLE,
  "bids_limit_notional_10" DOUBLE,
  "bids_limit_notional_11" DOUBLE,
  "bids_limit_notional_12" DOUBLE,
  "bids_limit_notional_13" DOUBLE,
  "bids_limit_notional_14" DOUBLE,
  "bids_market_notional_0" DOUBLE,
  "bids_market_notional_1" DOUBLE,
  "bids_market_notional_2" DOUBLE,
  "bids_market_notional_3" DOUBLE,
  "bids_market_notional_4" DOUBLE,
  "bids_market_notional_5" DOUBLE,
  "bids_market_notional_6" DOUBLE,
  "bids_market_notional_7" DOUBLE,
  "bids_market_notional_8" DOUBLE,
  "bids_market_notional_9" DOUBLE,
  "bids_market_notional_10" DOUBLE,
  "bids_market_notional_11" DOUBLE,
  "bids_market_notional_12" DOUBLE,
  "bids_market_notional_13" DOUBLE,
  "bids_market_notional_14" DOUBLE,
  "asks_distance_0" DOUBLE,
  "asks_distance_1" DOUBLE,
  "asks_distance_2" DOUBLE,
  "asks_distance_3" DOUBLE,
  "asks_distance_4" DOUBLE,
  "asks_distance_5" DOUBLE,
  "asks_distance_6" DOUBLE,
  "asks_distance_7" DOUBLE,
  "asks_distance_8" DOUBLE,
  "asks_distance_9" DOUBLE,
  "asks_distance_10" DOUBLE,
  "asks_distance_11" DOUBLE,
  "asks_distance_12" DOUBLE,
  "asks_distance_13" DOUBLE,
  "asks_distance_14" DOUBLE,
  "asks_notional_0" DOUBLE,
  "asks_notional_1" DOUBLE,
  "asks_notional_2" DOUBLE,
  "asks_notional_3" DOUBLE
);

Btc 5min

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data.btc_5min
  • 2.92 MB
  • 3,367 rows
  • 156 columns
Loading... 
CREATE TABLE btc_5min (
  "unnamed_0" BIGINT  -- Unnamed: 0,
  "system_time" VARCHAR,
  "midpoint" DOUBLE,
  "spread" DOUBLE,
  "buys" DOUBLE,
  "sells" DOUBLE,
  "bids_distance_0" DOUBLE,
  "bids_distance_1" DOUBLE,
  "bids_distance_2" DOUBLE,
  "bids_distance_3" DOUBLE,
  "bids_distance_4" DOUBLE,
  "bids_distance_5" DOUBLE,
  "bids_distance_6" DOUBLE,
  "bids_distance_7" DOUBLE,
  "bids_distance_8" DOUBLE,
  "bids_distance_9" DOUBLE,
  "bids_distance_10" DOUBLE,
  "bids_distance_11" DOUBLE,
  "bids_distance_12" DOUBLE,
  "bids_distance_13" DOUBLE,
  "bids_distance_14" DOUBLE,
  "bids_notional_0" DOUBLE,
  "bids_notional_1" DOUBLE,
  "bids_notional_2" DOUBLE,
  "bids_notional_3" DOUBLE,
  "bids_notional_4" DOUBLE,
  "bids_notional_5" DOUBLE,
  "bids_notional_6" DOUBLE,
  "bids_notional_7" DOUBLE,
  "bids_notional_8" DOUBLE,
  "bids_notional_9" DOUBLE,
  "bids_notional_10" DOUBLE,
  "bids_notional_11" DOUBLE,
  "bids_notional_12" DOUBLE,
  "bids_notional_13" DOUBLE,
  "bids_notional_14" DOUBLE,
  "bids_cancel_notional_0" DOUBLE,
  "bids_cancel_notional_1" DOUBLE,
  "bids_cancel_notional_2" DOUBLE,
  "bids_cancel_notional_3" DOUBLE,
  "bids_cancel_notional_4" DOUBLE,
  "bids_cancel_notional_5" DOUBLE,
  "bids_cancel_notional_6" DOUBLE,
  "bids_cancel_notional_7" DOUBLE,
  "bids_cancel_notional_8" DOUBLE,
  "bids_cancel_notional_9" DOUBLE,
  "bids_cancel_notional_10" DOUBLE,
  "bids_cancel_notional_11" DOUBLE,
  "bids_cancel_notional_12" DOUBLE,
  "bids_cancel_notional_13" DOUBLE,
  "bids_cancel_notional_14" DOUBLE,
  "bids_limit_notional_0" DOUBLE,
  "bids_limit_notional_1" DOUBLE,
  "bids_limit_notional_2" DOUBLE,
  "bids_limit_notional_3" DOUBLE,
  "bids_limit_notional_4" DOUBLE,
  "bids_limit_notional_5" DOUBLE,
  "bids_limit_notional_6" DOUBLE,
  "bids_limit_notional_7" DOUBLE,
  "bids_limit_notional_8" DOUBLE,
  "bids_limit_notional_9" DOUBLE,
  "bids_limit_notional_10" DOUBLE,
  "bids_limit_notional_11" DOUBLE,
  "bids_limit_notional_12" DOUBLE,
  "bids_limit_notional_13" DOUBLE,
  "bids_limit_notional_14" DOUBLE,
  "bids_market_notional_0" DOUBLE,
  "bids_market_notional_1" DOUBLE,
  "bids_market_notional_2" DOUBLE,
  "bids_market_notional_3" DOUBLE,
  "bids_market_notional_4" DOUBLE,
  "bids_market_notional_5" DOUBLE,
  "bids_market_notional_6" DOUBLE,
  "bids_market_notional_7" DOUBLE,
  "bids_market_notional_8" DOUBLE,
  "bids_market_notional_9" DOUBLE,
  "bids_market_notional_10" DOUBLE,
  "bids_market_notional_11" DOUBLE,
  "bids_market_notional_12" DOUBLE,
  "bids_market_notional_13" DOUBLE,
  "bids_market_notional_14" DOUBLE,
  "asks_distance_0" DOUBLE,
  "asks_distance_1" DOUBLE,
  "asks_distance_2" DOUBLE,
  "asks_distance_3" DOUBLE,
  "asks_distance_4" DOUBLE,
  "asks_distance_5" DOUBLE,
  "asks_distance_6" DOUBLE,
  "asks_distance_7" DOUBLE,
  "asks_distance_8" DOUBLE,
  "asks_distance_9" DOUBLE,
  "asks_distance_10" DOUBLE,
  "asks_distance_11" DOUBLE,
  "asks_distance_12" DOUBLE,
  "asks_distance_13" DOUBLE,
  "asks_distance_14" DOUBLE,
  "asks_notional_0" DOUBLE,
  "asks_notional_1" DOUBLE,
  "asks_notional_2" DOUBLE,
  "asks_notional_3" DOUBLE
);

Eth 1min

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data.eth_1min
  • 15.18 MB
  • 17,110 rows
  • 156 columns
Loading... 
CREATE TABLE eth_1min (
  "unnamed_0" BIGINT  -- Unnamed: 0,
  "system_time" VARCHAR,
  "midpoint" DOUBLE,
  "spread" DOUBLE,
  "buys" DOUBLE,
  "sells" DOUBLE,
  "bids_distance_0" DOUBLE,
  "bids_distance_1" DOUBLE,
  "bids_distance_2" DOUBLE,
  "bids_distance_3" DOUBLE,
  "bids_distance_4" DOUBLE,
  "bids_distance_5" DOUBLE,
  "bids_distance_6" DOUBLE,
  "bids_distance_7" DOUBLE,
  "bids_distance_8" DOUBLE,
  "bids_distance_9" DOUBLE,
  "bids_distance_10" DOUBLE,
  "bids_distance_11" DOUBLE,
  "bids_distance_12" DOUBLE,
  "bids_distance_13" DOUBLE,
  "bids_distance_14" DOUBLE,
  "bids_notional_0" DOUBLE,
  "bids_notional_1" DOUBLE,
  "bids_notional_2" DOUBLE,
  "bids_notional_3" DOUBLE,
  "bids_notional_4" DOUBLE,
  "bids_notional_5" DOUBLE,
  "bids_notional_6" DOUBLE,
  "bids_notional_7" DOUBLE,
  "bids_notional_8" DOUBLE,
  "bids_notional_9" DOUBLE,
  "bids_notional_10" DOUBLE,
  "bids_notional_11" DOUBLE,
  "bids_notional_12" DOUBLE,
  "bids_notional_13" DOUBLE,
  "bids_notional_14" DOUBLE,
  "bids_cancel_notional_0" DOUBLE,
  "bids_cancel_notional_1" DOUBLE,
  "bids_cancel_notional_2" DOUBLE,
  "bids_cancel_notional_3" DOUBLE,
  "bids_cancel_notional_4" DOUBLE,
  "bids_cancel_notional_5" DOUBLE,
  "bids_cancel_notional_6" DOUBLE,
  "bids_cancel_notional_7" DOUBLE,
  "bids_cancel_notional_8" DOUBLE,
  "bids_cancel_notional_9" DOUBLE,
  "bids_cancel_notional_10" DOUBLE,
  "bids_cancel_notional_11" DOUBLE,
  "bids_cancel_notional_12" DOUBLE,
  "bids_cancel_notional_13" DOUBLE,
  "bids_cancel_notional_14" DOUBLE,
  "bids_limit_notional_0" DOUBLE,
  "bids_limit_notional_1" DOUBLE,
  "bids_limit_notional_2" DOUBLE,
  "bids_limit_notional_3" DOUBLE,
  "bids_limit_notional_4" DOUBLE,
  "bids_limit_notional_5" DOUBLE,
  "bids_limit_notional_6" DOUBLE,
  "bids_limit_notional_7" DOUBLE,
  "bids_limit_notional_8" DOUBLE,
  "bids_limit_notional_9" DOUBLE,
  "bids_limit_notional_10" DOUBLE,
  "bids_limit_notional_11" DOUBLE,
  "bids_limit_notional_12" DOUBLE,
  "bids_limit_notional_13" DOUBLE,
  "bids_limit_notional_14" DOUBLE,
  "bids_market_notional_0" DOUBLE,
  "bids_market_notional_1" DOUBLE,
  "bids_market_notional_2" DOUBLE,
  "bids_market_notional_3" DOUBLE,
  "bids_market_notional_4" DOUBLE,
  "bids_market_notional_5" DOUBLE,
  "bids_market_notional_6" DOUBLE,
  "bids_market_notional_7" DOUBLE,
  "bids_market_notional_8" DOUBLE,
  "bids_market_notional_9" DOUBLE,
  "bids_market_notional_10" DOUBLE,
  "bids_market_notional_11" DOUBLE,
  "bids_market_notional_12" DOUBLE,
  "bids_market_notional_13" DOUBLE,
  "bids_market_notional_14" DOUBLE,
  "asks_distance_0" DOUBLE,
  "asks_distance_1" DOUBLE,
  "asks_distance_2" DOUBLE,
  "asks_distance_3" DOUBLE,
  "asks_distance_4" DOUBLE,
  "asks_distance_5" DOUBLE,
  "asks_distance_6" DOUBLE,
  "asks_distance_7" DOUBLE,
  "asks_distance_8" DOUBLE,
  "asks_distance_9" DOUBLE,
  "asks_distance_10" DOUBLE,
  "asks_distance_11" DOUBLE,
  "asks_distance_12" DOUBLE,
  "asks_distance_13" DOUBLE,
  "asks_distance_14" DOUBLE,
  "asks_notional_0" DOUBLE,
  "asks_notional_1" DOUBLE,
  "asks_notional_2" DOUBLE,
  "asks_notional_3" DOUBLE
);

Eth 1sec

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data.eth_1sec
  • 598.48 MB
  • 1,030,775 rows
  • 156 columns
Loading... 
CREATE TABLE eth_1sec (
  "unnamed_0" BIGINT  -- Unnamed: 0,
  "system_time" VARCHAR,
  "midpoint" DOUBLE,
  "spread" DOUBLE,
  "buys" DOUBLE,
  "sells" DOUBLE,
  "bids_distance_0" DOUBLE,
  "bids_distance_1" DOUBLE,
  "bids_distance_2" DOUBLE,
  "bids_distance_3" DOUBLE,
  "bids_distance_4" DOUBLE,
  "bids_distance_5" DOUBLE,
  "bids_distance_6" DOUBLE,
  "bids_distance_7" DOUBLE,
  "bids_distance_8" DOUBLE,
  "bids_distance_9" DOUBLE,
  "bids_distance_10" DOUBLE,
  "bids_distance_11" DOUBLE,
  "bids_distance_12" DOUBLE,
  "bids_distance_13" DOUBLE,
  "bids_distance_14" DOUBLE,
  "bids_notional_0" DOUBLE,
  "bids_notional_1" DOUBLE,
  "bids_notional_2" DOUBLE,
  "bids_notional_3" DOUBLE,
  "bids_notional_4" DOUBLE,
  "bids_notional_5" DOUBLE,
  "bids_notional_6" DOUBLE,
  "bids_notional_7" DOUBLE,
  "bids_notional_8" DOUBLE,
  "bids_notional_9" DOUBLE,
  "bids_notional_10" DOUBLE,
  "bids_notional_11" DOUBLE,
  "bids_notional_12" DOUBLE,
  "bids_notional_13" DOUBLE,
  "bids_notional_14" DOUBLE,
  "bids_cancel_notional_0" DOUBLE,
  "bids_cancel_notional_1" DOUBLE,
  "bids_cancel_notional_2" DOUBLE,
  "bids_cancel_notional_3" DOUBLE,
  "bids_cancel_notional_4" DOUBLE,
  "bids_cancel_notional_5" DOUBLE,
  "bids_cancel_notional_6" DOUBLE,
  "bids_cancel_notional_7" DOUBLE,
  "bids_cancel_notional_8" DOUBLE,
  "bids_cancel_notional_9" DOUBLE,
  "bids_cancel_notional_10" DOUBLE,
  "bids_cancel_notional_11" DOUBLE,
  "bids_cancel_notional_12" DOUBLE,
  "bids_cancel_notional_13" DOUBLE,
  "bids_cancel_notional_14" DOUBLE,
  "bids_limit_notional_0" DOUBLE,
  "bids_limit_notional_1" DOUBLE,
  "bids_limit_notional_2" DOUBLE,
  "bids_limit_notional_3" DOUBLE,
  "bids_limit_notional_4" DOUBLE,
  "bids_limit_notional_5" DOUBLE,
  "bids_limit_notional_6" DOUBLE,
  "bids_limit_notional_7" DOUBLE,
  "bids_limit_notional_8" DOUBLE,
  "bids_limit_notional_9" DOUBLE,
  "bids_limit_notional_10" DOUBLE,
  "bids_limit_notional_11" DOUBLE,
  "bids_limit_notional_12" DOUBLE,
  "bids_limit_notional_13" DOUBLE,
  "bids_limit_notional_14" DOUBLE,
  "bids_market_notional_0" DOUBLE,
  "bids_market_notional_1" DOUBLE,
  "bids_market_notional_2" DOUBLE,
  "bids_market_notional_3" DOUBLE,
  "bids_market_notional_4" DOUBLE,
  "bids_market_notional_5" DOUBLE,
  "bids_market_notional_6" DOUBLE,
  "bids_market_notional_7" DOUBLE,
  "bids_market_notional_8" DOUBLE,
  "bids_market_notional_9" DOUBLE,
  "bids_market_notional_10" DOUBLE,
  "bids_market_notional_11" DOUBLE,
  "bids_market_notional_12" DOUBLE,
  "bids_market_notional_13" DOUBLE,
  "bids_market_notional_14" DOUBLE,
  "asks_distance_0" DOUBLE,
  "asks_distance_1" DOUBLE,
  "asks_distance_2" DOUBLE,
  "asks_distance_3" DOUBLE,
  "asks_distance_4" DOUBLE,
  "asks_distance_5" DOUBLE,
  "asks_distance_6" DOUBLE,
  "asks_distance_7" DOUBLE,
  "asks_distance_8" DOUBLE,
  "asks_distance_9" DOUBLE,
  "asks_distance_10" DOUBLE,
  "asks_distance_11" DOUBLE,
  "asks_distance_12" DOUBLE,
  "asks_distance_13" DOUBLE,
  "asks_distance_14" DOUBLE,
  "asks_notional_0" DOUBLE,
  "asks_notional_1" DOUBLE,
  "asks_notional_2" DOUBLE,
  "asks_notional_3" DOUBLE
);

Eth 5min

@kaggle.martinsn_high_frequency_crypto_limit_order_book_data.eth_5min
  • 3.06 MB
  • 3,365 rows
  • 156 columns
Loading... 
CREATE TABLE eth_5min (
  "unnamed_0" BIGINT  -- Unnamed: 0,
  "system_time" VARCHAR,
  "midpoint" DOUBLE,
  "spread" DOUBLE,
  "buys" DOUBLE,
  "sells" DOUBLE,
  "bids_distance_0" DOUBLE,
  "bids_distance_1" DOUBLE,
  "bids_distance_2" DOUBLE,
  "bids_distance_3" DOUBLE,
  "bids_distance_4" DOUBLE,
  "bids_distance_5" DOUBLE,
  "bids_distance_6" DOUBLE,
  "bids_distance_7" DOUBLE,
  "bids_distance_8" DOUBLE,
  "bids_distance_9" DOUBLE,
  "bids_distance_10" DOUBLE,
  "bids_distance_11" DOUBLE,
  "bids_distance_12" DOUBLE,
  "bids_distance_13" DOUBLE,
  "bids_distance_14" DOUBLE,
  "bids_notional_0" DOUBLE,
  "bids_notional_1" DOUBLE,
  "bids_notional_2" DOUBLE,
  "bids_notional_3" DOUBLE,
  "bids_notional_4" DOUBLE,
  "bids_notional_5" DOUBLE,
  "bids_notional_6" DOUBLE,
  "bids_notional_7" DOUBLE,
  "bids_notional_8" DOUBLE,
  "bids_notional_9" DOUBLE,
  "bids_notional_10" DOUBLE,
  "bids_notional_11" DOUBLE,
  "bids_notional_12" DOUBLE,
  "bids_notional_13" DOUBLE,
  "bids_notional_14" DOUBLE,
  "bids_cancel_notional_0" DOUBLE,
  "bids_cancel_notional_1" DOUBLE,
  "bids_cancel_notional_2" DOUBLE,
  "bids_cancel_notional_3" DOUBLE,
  "bids_cancel_notional_4" DOUBLE,
  "bids_cancel_notional_5" DOUBLE,
  "bids_cancel_notional_6" DOUBLE,
  "bids_cancel_notional_7" DOUBLE,
  "bids_cancel_notional_8" DOUBLE,
  "bids_cancel_notional_9" DOUBLE,
  "bids_cancel_notional_10" DOUBLE,
  "bids_cancel_notional_11" DOUBLE,
  "bids_cancel_notional_12" DOUBLE,
  "bids_cancel_notional_13" DOUBLE,
  "bids_cancel_notional_14" DOUBLE,
  "bids_limit_notional_0" DOUBLE,
  "bids_limit_notional_1" DOUBLE,
  "bids_limit_notional_2" DOUBLE,
  "bids_limit_notional_3" DOUBLE,
  "bids_limit_notional_4" DOUBLE,
  "bids_limit_notional_5" DOUBLE,
  "bids_limit_notional_6" DOUBLE,
  "bids_limit_notional_7" DOUBLE,
  "bids_limit_notional_8" DOUBLE,
  "bids_limit_notional_9" DOUBLE,
  "bids_limit_notional_10" DOUBLE,
  "bids_limit_notional_11" DOUBLE,
  "bids_limit_notional_12" DOUBLE,
  "bids_limit_notional_13" DOUBLE,
  "bids_limit_notional_14" DOUBLE,
  "bids_market_notional_0" DOUBLE,
  "bids_market_notional_1" DOUBLE,
  "bids_market_notional_2" DOUBLE,
  "bids_market_notional_3" DOUBLE,
  "bids_market_notional_4" DOUBLE,
  "bids_market_notional_5" DOUBLE,
  "bids_market_notional_6" DOUBLE,
  "bids_market_notional_7" DOUBLE,
  "bids_market_notional_8" DOUBLE,
  "bids_market_notional_9" DOUBLE,
  "bids_market_notional_10" DOUBLE,
  "bids_market_notional_11" DOUBLE,
  "bids_market_notional_12" DOUBLE,
  "bids_market_notional_13" DOUBLE,
  "bids_market_notional_14" DOUBLE,
  "asks_distance_0" DOUBLE,
  "asks_distance_1" DOUBLE,
  "asks_distance_2" DOUBLE,
  "asks_distance_3" DOUBLE,
  "asks_distance_4" DOUBLE,
  "asks_distance_5" DOUBLE,
  "asks_distance_6" DOUBLE,
  "asks_distance_7" DOUBLE,
  "asks_distance_8" DOUBLE,
  "asks_distance_9" DOUBLE,
  "asks_distance_10" DOUBLE,
  "asks_distance_11" DOUBLE,
  "asks_distance_12" DOUBLE,
  "asks_distance_13" DOUBLE,
  "asks_distance_14" DOUBLE,
  "asks_notional_0" DOUBLE,
  "asks_notional_1" DOUBLE,
  "asks_notional_2" DOUBLE,
  "asks_notional_3" DOUBLE
);

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