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.
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
|Currency Pair||Quantity currency||Price currency|
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.
Our end-of-day option quotes with Calcs file provides all of the fields in the end-of-day Option quotes file plus market implied volatility for each option, as well as, the greeks (Delta, Gamma, Theta, Vega and Rho). Implied volatility and Greeks are calculated off of the 1545 timestamp, since it is considered a more accurate snapshot of market liquidity than the end of day market. 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 With Calcs Layout.To purchase subscription data, please see: End-of-Day Option Quotes with Calcs – Subscription
Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. Underlying bid and ask prices are included at each interval for your reference. Covers U.S Stock, ETF, and Index securities with listed options.
In addition to OHLC, Volume, and NBBO markets at each interval, you may select and include the following:
A separate subscription to nightly ongoing updates of this data-set is also available, please see: Option Quotes Intervals – Subscription