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Cryptocurrency Gemini Auction Order Book Data

The Gemini marketplace conducts auctions for certain trading pairs every day (including weekends and holidays), which foster moments of elevated liquidity and price discovery. The Auction file contains the auction-only order book for the 4pm ET BTCUSD, ETHUSD, or ZECUSD auction on the Gemini exchange on weekdays (non-NYSE holidays).

The auction-only order book supports both market and limit orders. These orders rest on the auction-only book until the auction runs. Auction-only orders may be placed up until the auction runs but may not be cancelled after the final indicative price is published at 3:50pm ET

Only auction-only orders that were explicitly accepted to the book show up in this file. Orders that were placed but rejected due to insufficient funds or self-cross do not show up in this file. There is not an explicit close event portrayed in this file. An auction-only order is closed and off the books when that order id is either cancelled or filled with no quantity remaining. Fill events are portrayed as a single rows for each order filled during the auction; both continuous book and auction book orders may be filled. Auction-only orders are distinguished by the Execution Option value auction-only.

Availability dates:
Gemini launched the 4pm ET BTCUSD auction on 21 September 2016.
Gemini launched the 4pm ET ETHUSD auction on 28 July 2017.
Gemini launched the 4pm ET ZECUSD auction on 22 May 2018

Fields include:
  • Auction ID
  • Auction Date
  • Auction Time
  • Event ID
  • Event Date
  • Event Time
  • Event Millis
  • Order ID
  • Execution Options
  • Event Type
  • Symbol
  • Order Type
  • Side
  • Limit Price (USD)
  • Original Quantity (BTC)
  • Gross Notional Value (USD)
  • Fill Price (USD)
  • Fill Quantity (BTC)
  • Total Exec Quantity (BTC)
  • Remaining Quantity (BTC)
  • Avg Price (USD)
  • Auction Event Status
  • Auction Price (USD)
  • Auction Quantity (BTC)
  • Best Bid (USD)
  • Best Ask (USD)
  • Collar Price (USD)
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