Best exchange for crypto order book data

So we developed Multibook, a pioneering new crypto trading tool that provides you with a consolidated order book. Consolidated Order Book In Real-Time Multibook allows you to connect to 5 crypto exchanges and view an aggregated order book in real-time. See every single transaction take place in a combined DOM and watch how the entire order book changes over time using our innovative heatmap. Remove the guesswork and start making trading decisions you can trust.

Watch orders get filled in real-time as the 3D volume visualization increases in size, even before the bar has printed. Get a more in-depth and trusted data feed by combining several exchanges. We support all major brokers including Binance, Coinbase, Bitstamp, and Huobi. Crypto Connectivity Connect to over 20 crypto exchanges, data vendors, and brokers.

Access their data at no additional cost. Check our crypto connectivity guide for further details. Supported Exchanges The following crypto exchanges are fully supported by Bookmap: Trusted By Clients And Trading Experts Our crypto trading platform and pioneering crypto day trading tools are used by thousands of passionate traders across Europe, USA, Asia, and the rest of the world.

Stop trading thin, diluted markets and get access to accurate data you can trust. Still not sure or have questions? Our crypto day trading software lets you choose from over 20 of the biggest crypto exchanges in the world and combine up to 5 instruments into a single Multibook chart. What Exchanges Are Supported by Multibook? Click here for the full list of exchanges supported by Multibook. Create your own consolidated snapshots and study price dynamics, market demand, arbitrage opportunities, historical market movements and more.

Liquidity Analysis Our smart snapshots and L2 updates empower traders with the tools they need to perform precise liquidity analysis. Through this, one can assess how easily an asset can be bought or sold at a stable price in a given market. Order Book Replay Simulate order activity and playback historical market movements to back-test your trading strategies. Get a comprehensive view of exchange order books to enhance data insight and more effectively oversee trading operations, detect market abuse, and benchmark performance.

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Exchange trading fee is applied at the moment of actual trade. When the user places the order on the exchange it is matched against exchange order book. One more definition that we will need in the example. Market order after Investopedia : An investor makes a market order through a broker or brokerage service to buy or sell an investment immediately at the best available current price. Market order has only one parameter — the size — what amount of given currency do we want to buy.

Exchange will fill our order with the lowest available ASK offers, starting from the lowest. Order book matching example Lets assume that the user chooses to place buy market order. The bottom of ASK side of exchange order book looks like that: The exchange will fill our order with the lowest available ask order 4. After filling your 5 BTC order with 4. Exchange will fill it with part of second lowest sell order for For 0.

The lowest ask order in the order book has been filled completely, therefore it will be removed from the order book, second lowest was filled partially, from now on it will be on the bottom of the ask offers in the order book, with the size 1. This example shows that in order to properly perform the arbitrage you need to look deep into the order books of both exchanges on which you want to perform the arbitrage. The size matters! The bigger the size of your order, the deeper you go in the exchange order book, the worse price you are getting.

The Ticker data section shows you that the buy price on Binance is 0. The Cross-exchange order book matching analysis section goes deeper — it shows you how the Binance ask orders can be filled with the Poloniex bid orders. In this section, user can already see the commissions applied to the prices.

Maximum amount available for arbitrage is calculated based on matching the bid and ask orders on both exchanges with the use of default commissions. MultiTrader matches bid orders from one exchange with ask orders from another going from the top of the list as long as the outcome of arbitrage is positive.

Total amount available for arbitrage is the sum of the orders that were matched these orders are highlighted with yellow on the list. You can test the validity of an order book by executing an order against it. Only an exchange completely out of their wits would try to tamper with its order book.

So this article is going to feature a deep dive on this topic. Note that this piece is actually the first of a three-piece series. The second and third pieces will cover bid-ask spreads, and slippage, respectively. What is an Order Book? An order book is just an electronic list of buy and sell orders for an asset, organized by price level.

These buy and sells orders are respectively referred to as bids and asks. A bid refers to the highest amount of price you are willing to pay for an asset. An ask refers to the lowest amount of money you are willing to sell your asset for. Taker trades do not go on the order book since they do not need to.

Maker trades end up going on the order book. You can visualize the order book via the market depth chart on Binance. Bids in green on the left side and asks in red on the right side, forming what looks like a valley around the market price.

The only downside is that there is no way to get historical order book data. You have to get it live. Order book depth can be highly volatile, especially with pairs that have inconsistent trading volumes. Measuring Order Book Depth There are a few ways to measure order book depth. The simplest method to calculate order book depth is by taking the total sum of every and bid multiplied by their respective price.

We can visualize these distributions by using a density plot. The area under the curve of a density function represents the probability of getting a value between a range of x values. If the width for a particular section is tiny, the height can be much higher than 1 without violating any the rules of probability.

Typically, the distribution of order book depth looks like a bell curve, with long tails that can include multiple, smaller humps. Here are the summary statistics on order depth for these the two pairs. But including every pair here takes up too much space.