The CoinRoutes RealPrices are cryptocurrency depth of market Indices. CoinRoutes RealPrice Indices provide a consolidated bid-ask spread (RealBid x RealAsk) at multiple coin depths for top cryptocurrency-pairs. Aggregating order book data from multiple trading venues and factoring in trading fees, CoinRoutes RealPrice Indices provide a robust and previously unavailable view into cryptocurrency markets. Prices are quoted in 1-minute snapshots for the entire 24-hour day.
^BTCUSD1 – provides the RealBid x RealAsk spread at a depth of one Bitcoin
^BTCUSD5 – provides the RealBid x RealAsk spread at a depth of five Bitcoins
Prices are currently quoted in USD. The following coins and sizes are included:
|BCH||Bitcoin Cash||1, 5, 10, 20, 40, 100|
|BTC||Bitcoin||0.2, 1, 5, 10, 20|
|ETH||Ethereum||5, 20, 50, 100, 200, 400|
|LINK||Chainlink||100, 500, 1000|
|LTC||Litecoin||5, 10, 25, 50, 100, 200|
|DOT||Polkadot||250, 1000, 2500, 5000, 10000|
Our end-of-day option quotes file actually provides two snapshots of market quote and size, one at 15:45 and another at the market close (market closing time is product dependent). Summary trading data is also included in the files. The first, last, lowest and highest trade in every series, as well as, the total volume, VWAP and open interest. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.
File Layout: End-of-Day Option Quotes Layout.