Coin Metrics is pleased to announce the version 2.5 release of our CM Market Data Feed. This release contains several new features, upgrades, and bug fixes.

New Features

  • Expanded order book snapshot coverage. Coin Metrics stores two types of order book snapshots. One type consists of a snapshot of the top 100 bids and top 100 asks taken once every 10 seconds for major markets. The second type consists of a full order book snapshot (every bid and every ask) taken once every hour for all markets. Both of these snapshots are served through our /timeseries/market-orderbooks endpoint. We added a new `depth_limit` parameter so users can choose which snapshot to request.

    We now support both types of snapshots for spot markets from the following 16 exchanges: [“Binance”, “Binance.US”, “Bitfinex”, “bitFlyer”, “Bitstamp”, “Bittrex”, “”, “Coinbase”, “FTX”, “Gemini”, “Huobi”, “itBit”, “Kraken”, “Kucoin”, “Liquid”, “LMAX”].

    We also now support both types of snapshots for futures markets from the following 10 exchanges: [“Binance”, “Bitfinex”, “bitFlyer”, “BitMEX”, “Bybit”, “Deribit”, “FTX”, “Huobi”, “Kraken”, “OKEx”].
  • Deribit options implied volatility, contract prices, quotes, and greeks. We expanded our options coverage to include several new data types from Deribit and added several new API endpoints to serve this data.

    Implied volatility consisting of bid, ask, and mark implied volatility are served through our new /timeseries/market-implied-volatility endpoint.

    Contract prices consisting of index price and mark price are served through our new endpoint /timeseries/market-contract-prices endpoint.

    Quotes consisting of the best bid and best ask are served through our existing /timeseries/market-quotes endpoint.

    Greeks consisting of vega, theta, rho, delta, and gamma are served through our new /timeseries/market-greeks endpoint.

    In prior releases, we added options trades and open interest data through our /timeseries/market-trades and /timeseries/market-openinterest endpoints, respectively.
  • Futures and options quotes. We derive our quotes data (the best bid and best ask) from the order book snapshots described above and serve this data through our /timeseries/market-quotes endpoint.
  • Reference rates quoted in Euro, Bitcoin, and Ethereum. We now support these quote currencies for our entire reference rates coverage universe of over 350 assets and for all of our frequencies, including 1s, 1m, 1h, 1d-ny-close and 1d. The new metrics are ReferenceRateEUR, ReferenceRateBTC, and ReferenceRateETH.
  • Annualized basis metrics for major exchange-assets. The annualized basis metrics measure the difference between the spot price and a futures price for a contract with given time to expiration. We offer the following basis metrics at four expiration times and at hourly and daily frequencies. The metrics are: [“basis_annualized_30d_exp”, “basis_annualized_60d_exp”, “basis_annualized_90d_exp”, “basis_annualized_120d_exp”]. And they are available for Bitcoin and Ethereum for the following exchanges: [“Binance”, “BitMEX”, “CME”, “Deribit”, “FTX”, “Huobi”, “Kraken”, “OKEx”].
  • Grayscale investment product data is permissioned to all users. We previously added data for all of Grayscale’s investment products, including the Grayscale Bitcoin Trust (GBTC) and others. These metrics were previously permissioned to select users, but now it is permissioned to all users.
  • Support for discovering availability for funding rates, open interest, and liquidations for markets in our /catalog/markets and /catalog-all/markets endpoints. Previously, our catalog only showed the availability, start time, and end time of trades data. Now we show whether a market has funding rates, open interest, and liquidations data as well as the start time and end time of these data types. We will add support for discovering availability for more data types in future releases.


  • Migrated our collection of itBit and OKEx’s data to use the latest API version.
  • Enhancements in the collection of BitMEX’s liquidation data, Bybit’s trades and liquidation data, and Huobi’s liquidations data to handle edge cases that could result in missing observations.
  • Improved the latency of our collection of Coinbase’s trades data, Huobi’s liquidations data, FTX’s liquidations data, and Bitfinex’s liquidations data.
  • Improved the response latency of our API when using the limit_per_market or limit_per_index parameter.
  • Collected isolated incidents of missing trades history from Binance, FTX, and Coinbase.

Bug Fixes

  • Inverted the liquidation side for Bybit’s liquidation data. Bybit reports the liquidation side for liquidations as the side of the original position that is undergoing liquidation instead of the liquidation trade that closes a trader’s position. We corrected this mapping so that Bybit’s liquidation side is consistent with all other exchanges.
  • Improved the logic for collecting Binance’s liquidation data that caused liquidation data to be underreported due to a breaking change that was made to the Binance API on 2021-04-27. A more complete discussion of this bug and its impact can found in the known data issues section of our market liquidations page in our Knowledge Base.
  • Removed a small number of CME futures trades observations with incorrect timestamps. CME sometimes will serve test trades or replay previous trades during times when markets are not open. CME trades data were removed on 2021-03-27, 2021-08-14, and 2021-09-18. CME candles were also recalculated on the affected dates.
  • Removed a small number of observations with erroneous timestamps for some Binance futures markets. Some observations had previously been incorrectly labeled with a timestamp of 1970-01-01 00:00:00.
  • Removed a small number of duplicate observations from OKEx liquidations data.
  • Removed duplicate trades from OKEx options data.
  • Allowed futures and options market trades and order book data to be served through our websocket API.
  • Fixed a bug that prevented the discovery of reference rates metrics for assets that contain underscore in the asset ticker.
  • Fixed a bug that prevented the discovery of CME futures markets in our catalog endpoints.
  • Fixed a bug that prevented all reference rate observations from being served from our API when requesting multiple assets and using the limit_per_asset parameter.

About CM Market Data Feed

The CM Market Data Feed provides access to historical and real-time data from the world’s leading spot and derivatives crypto exchanges. Our coverage universe currently consists of 2,882 assets, 34 exchanges, 14,280 spot markets, 7,353 futures markets, 28,314 options markets, 2,883 pairs, and one institution . We offer a wide range of harmonized datasets such as trades, candles, order book snapshots, futures-specific data types, options-specific data types, market data metrics, and more. More detailed and up-to-date information can be found at the Coin Metrics Data Encyclopedia.

Please contact Coin Metrics through our website or at for more information on the CM Market Feed.