Lake is a service providing historical cryptocurrency market data in high detail, including L2 depth snapshots, tick trades and 1m trade candles. We cover 10 exchanges, all top 10 tokens and many altcoins. Our Python API is tuned for convenient quant and machine-learning purposes and so offers high performance, caching and parallelization.
Crypto order book data: example
Having a convenient API for loading historical data is essential for successful quant analysis. This is an example of loading one day of Bitcoin order book data from Binance exchange via our Python API:
On PCs, you can drag to zoom in the chart and double-click to zoom out. We offer a hands-on example in Google Collab notebook: Check out the data 🕵️
While practically all free crypto datasets don’t contain market depth data, we provide depth snapshots with 20 levels of order book data on each order book side. This is essential for precise backtests, execution simulation, (statistical) arbitrage strategies or market making. While most quants look at widely available trade candle data, we believe there is a lot more alpha left in more detailed data, depth data and tick data in general.
- Subscribe now,
start your research in 3 minutes.
- Upgrade, pause or cancel
your subscription any time.
People said about us
Great API performance, I can load data from 10 AWS machines in parallel.
Love the order book snapshots, they allow me to do very precise backtests.
I finally became profitable based on optimization on Lake data.
Keep in touch
Interested in new features or our tips for Python quantitative analysis and machine learning? Follow us on twitter 🐦, where we publish news and quant analysis tips.