Lake is a service providing 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 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:

Interactive output:

Chart is loading...

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!

Subscription

Market data

  • Subscribe now,
    start your research in 3 minutes.

Existing subscribers

  • 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.

We have special offers for content creators – contact us! We will also be happy to receive any feedback at [enable javascript] or using the email icon below.