Aggregating Orderbook Depth to Create Liquidity Metrics

A liquid order book (the collection of outstanding bids and asks for a market) is a necessary component of a mature financial asset. The ability to quickly enter and exit large positions with a small degree of price impact, or slippage, is a desirable feature for institutional market participants. Coin Metrics has been collecting order book snapshots for major crypto assets since 2019, and recently launched new liquidity metrics as part of our Market Data Feed offering to further enhance institutions’ view of the crypto markets. In this demo, we explore how these metrics can be used to quantify and aggregate order book depth across some of the most actively-traded BTC markets.

Resources

This notebook demonstrates basic functionality offered by the Coin Metrics Python API Client and Market Data Feed.

Coin Metrics offers a vast assortment of data for hundreds of cryptoassets. The Python API Client allows for easy access to this data using Python without needing to create your own wrappers using requests and other such libraries.

To understand the data that Coin Metrics offers, feel free to peruse the resources below.

• The Coin Metrics API v4 website contains the full set of endpoints and data offered by Coin Metrics.
• The Coin Metrics Product Documentation gives detailed, conceptual explanations of the data that Coin Metrics offers.
• The API Spec contains a full list of functions.

File Download

Download the entire notebook as either a jupyter notebook to run yourself or as a pdf from the two links below

MDF_orderbook_depth.ipynb

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MDF_orderbook_depth.pdf

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Notebook Setup

	market	exchange	base	quote	pair	symbol	type	size_asset	margin_asset	strike	...	order_amount_min	order_amount_max	order_price_increment	order_price_min	order_price_max	order_size_min	order_taker_fee	order_maker_fee	margin_trading_enabled	experimental
0	bibox-btc-gusd-spot	bibox	btc	gusd	btc-gusd	BTC_GUSD	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
1	bibox-btc-sai-spot	bibox	btc	sai	btc-sai	BTC_SAI	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
2	bibox-btc-usdc-spot	bibox	btc	usdc	btc-usdc	BTC_USDC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
3	bibox-btc-usdt-spot	bibox	btc	usdt	btc-usdt	BTC_USDT	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
4	binance-btc-aeur-spot	binance	btc	aeur	btc-aeur	BTCAEUR	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	5.0	<NA>	<NA>	<NA>	<NA>
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
393	upbit-btc-usdt-spot	upbit	btc	usdt	btc-usdt	USDT-BTC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
394	zb.com-btc-pax-spot	zb.com	btc	pax	btc-pax	btc_pax	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
395	zb.com-btc-qc-spot	zb.com	btc	qc	btc-qc	btc_qc	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
396	zb.com-btc-usdc-spot	zb.com	btc	usdc	btc-usdc	btc_usdc	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
397	zb.com-btc-usdt-spot	zb.com	btc	usdt	btc-usdt	btc_usdt	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>

398 rows × 37 columns

	market	exchange	base	quote	pair	symbol	type	size_asset	margin_asset	strike	...	order_amount_min	order_amount_max	order_price_increment	order_price_min	order_price_max	order_size_min	order_taker_fee	order_maker_fee	margin_trading_enabled	experimental
0	bibox-btc-gusd-spot	bibox	btc	gusd	btc-gusd	BTC_GUSD	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
1	bibox-btc-sai-spot	bibox	btc	sai	btc-sai	BTC_SAI	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
2	bibox-btc-usdc-spot	bibox	btc	usdc	btc-usdc	BTC_USDC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
3	bibox-btc-usdt-spot	bibox	btc	usdt	btc-usdt	BTC_USDT	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
4	binance-btc-aeur-spot	binance	btc	aeur	btc-aeur	BTCAEUR	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	5.0	<NA>	<NA>	<NA>	<NA>
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
393	upbit-btc-usdt-spot	upbit	btc	usdt	btc-usdt	USDT-BTC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
394	zb.com-btc-pax-spot	zb.com	btc	pax	btc-pax	btc_pax	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
395	zb.com-btc-qc-spot	zb.com	btc	qc	btc-qc	btc_qc	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
396	zb.com-btc-usdc-spot	zb.com	btc	usdc	btc-usdc	btc_usdc	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
397	zb.com-btc-usdt-spot	zb.com	btc	usdt	btc-usdt	btc_usdt	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>

398 rows × 37 columns

	market	exchange	base	quote	pair	symbol	type	size_asset	margin_asset	strike	...	order_amount_min	order_amount_max	order_price_increment	order_price_min	order_price_max	order_size_min	order_taker_fee	order_maker_fee	margin_trading_enabled	experimental
2	bibox-btc-usdc-spot	bibox	btc	usdc	btc-usdc	BTC_USDC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
3	bibox-btc-usdt-spot	bibox	btc	usdt	btc-usdt	BTC_USDT	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
10	binance-btc-busd-spot	binance	btc	busd	btc-busd	BTCBUSD	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	10.0	<NA>	<NA>	<NA>	<NA>
27	binance-btc-usdc-spot	binance	btc	usdc	btc-usdc	BTCUSDC	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	5.0	<NA>	<NA>	<NA>	<NA>
30	binance-btc-usdt-spot	binance	btc	usdt	btc-usdt	BTCUSDT	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	5.0	<NA>	<NA>	<NA>	<NA>
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
389	therocktrading-btc-usdc-spot	therocktrading	btc	usdc	btc-usdc	BTCUSDC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>