❄ Snowflake
Order Books Dataset
Access CoinAPI order books data through Snowflake data warehouse
Order Books Dataset
Overview
The "ORDERBOOKS" dataset provides comprehensive information about market depth and liquidity across trading venues. It includes detailed data about bid-ask spreads, order sizes, price levels, and real-time order flow.
This dataset helps users:
- Track market depth and available liquidity at different price levels
- Access real-time order book snapshots across multiple venues
- Monitor bid-ask spread dynamics and market making activity
- Analyze order flow patterns and market microstructure
- Evaluate trading costs and market impact across different order sizes
Table Details
Name: LISTINGS.PUBLIC.ORDERBOOKS
Schema
CREATE OR REPLACE TABLE LISTINGS.PUBLIC.ORDERBOOK_DEPTH (
symbol_id VARCHAR(100),
time_exchange TIMESTAMP_NTZ(9),
time_coinapi TIMESTAMP_NTZ(9),
Level 0
ask_price_0 NUMBER(38,8),
ask_size_0 NUMBER(38,8),
bid_price_0 NUMBER(38,8),
bid_size_0 NUMBER(38,8),
Level 1
ask_price_1 NUMBER(38,8),
ask_size_1 NUMBER(38,8),
bid_price_1 NUMBER(38,8),
bid_size_1 NUMBER(38,8),
Level n
ask_price_n NUMBER(38,8),
ask_size_n NUMBER(38,8),
bid_price_n NUMBER(38,8),
bid_size_n NUMBER(38,8),,
);Example Query
SELECT
symbol_id,
time_exchange,
time_coinapi
FROM ORDERBOOKS
LIMIT 5;