Lake provides historical crypto order book data in high detail: tick trades, 1m trade candles, open interest and funding rates. We cover 10 exchanges, all top 10 tokens and many altcoins. Our Python API is tuned for convenient quant and ML purposes and so offers high performance, caching and parallelization.

Crypto order book data: example

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 via our Python API:

Interactive output:

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 🕵️

Our offer

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 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.

Boost your research with our 7 high-frequency data types covering 50+ tokens over several years. Join us!


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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

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