Candles

Definition

Candles consist of summary statistics derived from individual trades that describe the trading activity of a market or pair over an interval of time.

Details

Coin Metrics engineers several statistics based on trades data that occurred over an interval of time: opening price, high price, low price, close price, volume-weighted average price, total volume in base asset units, total volume in U.S. dollars, and number of trades in the interval.

Candles are generated at regular time intervals and at a time granularity that is suitable for charting and analysis. For instance, several technical analysis indicators can be calculated using data in candles format.

We produce our candles at 1m, 5m, 10m, 15m, 30m, 1h, 4h, 1d intervals. Our candles are calculated directly from our trades data. We construct gapless candles which means that if there are no trades in a candle interval, we fill forward candles through time, setting the open, high, low, and close to the close of the previous candle, setting the vwap to the vwap of the previous candle, and setting the volume to zero. Candles are calculated in real-time and available immediately after the candle interval is complete.

We calculate candles using trades collected from exchanges rather than collecting candles directly reported from the exchange. This approach offers several advantages, such as allowing us to apply a consistent calculation methodology across exchanges to support cross-exchange analysis, and allows us to generate additional fields that are not typically published by exchanges, such as the volume converted to U.S. dollars, trade count, and volume-weighted average price.

Our market data collection system consists of multiple redundant and resilient applications, ensuring that most data is collected with minimal latency (usually a few hundred milliseconds). However, due to the nature of real-time data collection, some trades may not be collected immediately. When certain trades observations are not collected in real-time, our system backfills missing trades with a short delay (usually a few seconds). Internal metrics show that for most exchanges, we collect 99.9 percent of trades observations within roughly 2 seconds of publication by the exchange.

To address the small number of missing trades and to maintain accuracy, we recalculate the most recent candles 20 minutes after initial publication, and every hour for the next three hours after initial publication.

Coin Metrics calculates candles for spot and future and option markets from exchanges that are listed on our exchange coverage universe.

API Endpoints

Candles can be accessed using the timeseries/market-candles or timeseries/pair-candles endpoint.

Market candles

Returns candles for specified markets. Results are ordered by tuple (market, time). To fetch the next page of results use next_page_url JSON response field. Coin Metrics derives candles directly from trades. Candles are only generated if there are trades in the underlying interval. Therefore, gaps in candles data through time are normal and to be expected. To construct gapless candles, the client should fill forward candles through time, setting the open, high, low, and close to the close of the previous candle, setting the vwap to the vwap of the previous candle, and setting the volume to zero.

GEThttps://api.coinmetrics.io/v4/timeseries/market-candles

Authorization

Query parameters

Response

Time series of market candles.

Body

data*array of MarketCandle (object)

next_page_tokenNextPageToken (string)

Token of the next page results for a given request.

next_page_urlNextPageUrl (string)

URL of the next page results for a given request.

Response

{
  "data": [
    {
      "market": "text",
      "time": "text",
      "price_open": "text",
      "price_close": "text",
      "price_high": "text",
      "price_low": "text",
      "vwap": "text",
      "volume": "text",
      "candle_usd_volume": "text",
      "candle_trades_count": "text"
    }
  ],
  "next_page_token": "text",
  "next_page_url": "text"
}

curl --compressed "https://api.coinmetrics.io/v4/timeseries/market-candles?markets=coinbase-btc-usd-spot&limit_per_market=1&api_key=<your_key>"

import requests
response = requests.get('https://api.coinmetrics.io/v4/timeseries/market-candles?markets=coinbase-btc-usd-spot&limit_per_market=1&api_key=<your_key>').json()
print(response)

from coinmetrics.api_client import CoinMetricsClient

api_key = "<API_KEY>"
client = CoinMetricsClient(api_key)

print(
    client.get_market_candles(
        markets=["coinbase-btc-usd-spot"], limit_per_market=5
    ).to_dataframe()
)

Pair candles

Returns candles for specified asset pairs. Results are ordered by tuple (pair, time). To fetch the next page of results use next_page_url JSON response field.

GEThttps://api.coinmetrics.io/v4/timeseries/pair-candles

Authorization

Query parameters

Response

Time series of pair candles.

Body

data*array of PairCandle (object)

next_page_tokenNextPageToken (string)

Token of the next page results for a given request.

next_page_urlNextPageUrl (string)

URL of the next page results for a given request.

Response

{
  "data": [
    {
      "pair": "text",
      "time": "text",
      "price_open": "text",
      "price_close": "text",
      "price_high": "text",
      "price_low": "text"
    }
  ],
  "next_page_token": "text",
  "next_page_url": "text"
}

curl --compressed "https://api.coinmetrics.io/v4/timeseries/pair-candles?pairs=btc-usd&limit_per_pair=1&api_key=<your_key>"

import requests
response = requests.get('https://api.coinmetrics.io/v4/timeseries/pair-candles?pairs=btc-usd&limit_per_pair=1&api_key=<your_key>').json()
print(response)

from coinmetrics.api_client import CoinMetricsClient

api_key = "<API_KEY>"
client = CoinMetricsClient(api_key)

print(
    client.get_pair_candles(
        pairs=["btc-usd"], limit_per_pair=5
    ).to_dataframe()
)

Example

Market Candles

An sample of the candles data from the coinbase-btc-usd-spot market from our /timeseries/market-candles API endpoint is provided below.

{
  "data": [
    {
      "time": "2020-06-08T20:45:00.000000000Z",
      "market": "coinbase-btc-usd-spot",
      "price_open": "9705.07999999999993",
      "price_close": "9705.01000000000022",
      "price_high": "9706.19000000000051",
      "price_low": "9705",
      "vwap": "9705.1686505895068",
      "volume": "16.8066639099999975",
      "candle_usd_volume": "16.8066639099999975",
      "candle_trades_count": "212"
    },
    {
      "time": "2020-06-08T20:50:00.000000000Z",
      "market": "coinbase-btc-usd-spot",
      "price_open": "9705",
      "price_close": "9696.27000000000044",
      "price_high": "9705",
      "price_low": "9695.71999999999935",
      "vwap": "9698.38894423754937",
      "volume": "14.7672128699999963",
      "candle_usd_volume": "14.7672128699999963",
      "candle_trades_count": "215"
    }
  ]
}

time: The time of the beginning of the candle interval in ISO 8601 date-time format.\
market: The id of the market. Market ids use the following naming convention: exchangeName-baseAsset-quoteAsset-spot for spot markets, exchangeName-futuresSymbol-future for futures markets, and exchangeName-optionsSymbol-option for options markets.
price_open: The opening price of the candle.\
price_high: The high price of the candle.\
price_low: The low price of the candle.\
price_close: The close price of the candle.\
vwap: The volume-weighted average price of the candle.\
volume: The volume of the candle in units of the base asset.\
candle_usd_volume: The volume of the candle in units of U.S. dollars. \
candle_trades_count: The number of trades in the candle interval.

Pair Candles

An sample of the pair candles data for the btc-usd pair from our /timeseries/pair-candles API endpoint is provided below.

{
  "data" : [ {
    "pair" : "btc-usd",
    "time" : "2023-04-26T00:00:00.000000000Z",
    "price_open" : "28304.42",
    "price_close" : "28426.08",
    "price_high" : "30018.97",
    "price_low" : "27261.85"
  }, {
    "pair" : "btc-usd",
    "time" : "2023-04-27T00:00:00.000000000Z",
    "price_open" : "28426.08",
    "price_close" : "29486.73",
    "price_high" : "29890.83",
    "price_low" : "28390"
  }, {
    "pair" : "btc-usd",
    "time" : "2023-04-28T00:00:00.000000000Z",
    "price_open" : "29486.96",
    "price_close" : "29338.63",
    "price_high" : "29606.45",
    "price_low" : "28917"
  }, {
    "pair" : "btc-usd",
    "time" : "2023-04-29T00:00:00.000000000Z",
    "price_open" : "29338.63",
    "price_close" : "29248.18",
    "price_high" : "29464.59",
    "price_low" : "29059.33"
  }, {
    "pair" : "btc-usd",
    "time" : "2023-04-30T00:00:00.000000000Z",
    "price_open" : "29249.45",
    "price_close" : "29238.87",
    "price_high" : "29969.22",
    "price_low" : "29106.68"
  } ]
}

time: The time of the beginning of the candle interval in ISO 8601 date-time format.\
pair: The id of the pair. \
price_open: The opening price of the candle.\
price_high: The high price of the candle.\
price_low: The low price of the candle.\
price_close: The close price of the candle.

Release History

CM MDF v1.0 on April 2020: Added candles for all spot markets on major exchanges. CM MDF v2.0 on December 9, 2019: Added candles for spot markets on Binance.US. Added candles for futures markets on BitMEX and Huobi.
CM MDF v2.1 on May 5, 2020: Added candles for spot markets on Kucoin and FTX. Added candles for futures markets on Deribit, OKEx, Binance, FTX, and Bitfinex.
CM MDF v2.2 on December 2, 2020: Added candles for futures markets on bitFlyer and Kraken.
CM MDF v2.3 on April 25, 2021: Added candles for spot markets on LMAX. Added candles for futures markets on CME and Bybit.
CM MDF v2.4 on September 1, 2021: Extended candles data for Ethereum futures markets on CME.
CM Market Data Feed v2.6 on July 13, 2022

Availability

The previous 24 hours of trades data is available through our community API. Community data is available via HTTP API only and is limited to 10 API requests per 6 seconds per IP address. All of our trades data is available through our professional API with higher rate limits. The professional API supports trades data through both our HTTP API and websocket API.

Our coverage can be found by querying our /catalog/markets or /catalog-all/markets API endpoints. Alternatively, you can query our /catalog/exchangesor /catalog-all/exchanges API endpoints which contain the same information but organized by exchange. See our coverage pages:

Coin Metrics CoverageCoin Metrics Coverage

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