File Contents
We make historical data for the last 60 full trading days available in CSV format. Trading days start and end at 8 AM UTC.
Mark Price files contain market data for each tradable instrument with 1 minute resolution. Market data provided:
- Mark Price (open, high, low, close)
- Implied Volatility for Options (open, high, low, close)
- Accumulated funding for Perpetuals in each interval. This is the PNL for a long position of 1 Perpetual since the last interval. Summing up the accumulated funding for each interval in a trading day will result in that day’s funding payout (for a long position of 1 Perpetual). Note that the sign here is the opposite of the funding rate sign, as a positive funding rate means long pays short, resulting in a negative PNL for those with a long position.
- Top of Book price and size at the start of each interval (bid price, bid size, ask price, ask size)
Index Price files contain data for our indices with 1 minute resolution. These files only contain the index price data (open, high, low, close).