| {
|
| "updated_at_utc": "2026-06-29T03:57:38.212483+00:00",
|
| "purpose": "Execution-grade bid/ask/orderbook historical data source feasibility and current ingestion status for EML crypto dataset.",
|
| "current_status": {
|
| "current_microstructure_snapshot_present": true,
|
| "historical_l2_pilot_present": true,
|
| "historical_l2_full_backfill_present": false,
|
| "pilot_scope": {
|
| "exchange": "bybit",
|
| "market_type": "spot",
|
| "symbols": [
|
| "BNBUSDT",
|
| "BTCUSDT",
|
| "ETHUSDT",
|
| "SOLUSDT",
|
| "XRPUSDT"
|
| ],
|
| "date_utc": [
|
| "2026-06-22",
|
| "2026-06-23",
|
| "2026-06-24",
|
| "2026-06-25",
|
| "2026-06-26",
|
| "2026-06-27",
|
| "2026-06-28"
|
| ],
|
| "complete_top5_dates": [
|
| "2026-06-22",
|
| "2026-06-23",
|
| "2026-06-24",
|
| "2026-06-25",
|
| "2026-06-26",
|
| "2026-06-27",
|
| "2026-06-28"
|
| ],
|
| "files": 35,
|
| "rows_total_pilot_limit": 1750000,
|
| "path": "eml/gold/microstructure_history/exchange=bybit/market_type=spot/symbol=*/date=*/orderbook_l2_200_aggregated.parquet"
|
| },
|
| "reason_full_backfill_not_complete": "Bybit top-5 7-day L2 pilot and Binance aggTrades execution proxy are available. Full execution-grade historical L2 still requires scaling across dates/symbols and adding true Binance historical L2 or a licensed equivalent.",
|
| "binance_aggtrades_execution_proxy_present": true,
|
| "binance_aggtrades_execution_proxy_scope": {
|
| "exchange": "binance",
|
| "market_type": "spot",
|
| "symbols": [
|
| "BNBUSDT",
|
| "BTCUSDT",
|
| "ETHUSDT",
|
| "SOLUSDT",
|
| "XRPUSDT"
|
| ],
|
| "dates": [
|
| "2026-06-22",
|
| "2026-06-23",
|
| "2026-06-24",
|
| "2026-06-25",
|
| "2026-06-26",
|
| "2026-06-27",
|
| "2026-06-28"
|
| ],
|
| "files": 35,
|
| "rows_total": 50400,
|
| "raw_agg_trades_total": 17763135,
|
| "unavailable": [],
|
| "path": "eml/gold/execution_proxy/exchange=binance/market_type=spot/symbol=*/date=*/aggtrades_tradeflow_1m.parquet"
|
| }
|
| },
|
| "sources": [
|
| {
|
| "exchange": "binance",
|
| "source_name": "Binance Public Data / data.binance.vision",
|
| "url": "https://github.com/binance/binance-public-data",
|
| "public_no_key": true,
|
| "available_data": [
|
| "spot/futures klines",
|
| "trades",
|
| "aggTrades"
|
| ],
|
| "historical_l2_orderbook": false,
|
| "eml_use": "Used for OHLCV/trades enrichment; not sufficient alone for historical orderbook backfill."
|
| },
|
| {
|
| "exchange": "bybit",
|
| "source_name": "Bybit public historical orderbook archive (quote-saver ob200 files linked from public historical data ecosystem)",
|
| "url_pattern": "https://quote-saver.bycsi.com/orderbook/spot/{symbol}/{YYYY-MM-DD}_{symbol}_ob200.data.zip",
|
| "public_no_key": true,
|
| "available_data": [
|
| "historical spot orderbook ob200 JSONL zip files"
|
| ],
|
| "historical_l2_orderbook": true,
|
| "eml_use": "Used for the current top-5 multi-day historical L2 pilot."
|
| },
|
| {
|
| "exchange": "bybit",
|
| "source_name": "Bybit Historical Data Download",
|
| "url": "https://www.bybit.com/en/derivative-activity/history-data/",
|
| "public_no_key": true,
|
| "available_data": [
|
| "public historical market data downloads where available"
|
| ],
|
| "historical_l2_orderbook": true,
|
| "eml_use": "Official public discovery/reference page; browser access may vary by region/VPN."
|
| },
|
| {
|
| "exchange": "bybit",
|
| "source_name": "Bybit V5 Get Orderbook API",
|
| "url": "https://bybit-exchange.github.io/docs/v5/market/orderbook",
|
| "public_no_key": true,
|
| "available_data": [
|
| "current spot/contract orderbook snapshot up to documented depth"
|
| ],
|
| "historical_l2_orderbook": false,
|
| "eml_use": "Used for current microstructure snapshot; not historical backfill."
|
| },
|
| {
|
| "exchange": "multi",
|
| "source_name": "Tardis.dev historical market data",
|
| "url": "https://docs.tardis.dev/historical-data-details/bybit",
|
| "public_no_key": "samples/metadata may be public; production historical access may require account/plan",
|
| "available_data": [
|
| "historical websocket channels",
|
| "orderbook snapshots/deltas",
|
| "trades",
|
| "tickers"
|
| ],
|
| "historical_l2_orderbook": true,
|
| "eml_use": "Candidate for normalized execution-grade historical L2 if license/cost is acceptable."
|
| },
|
| {
|
| "exchange": "multi",
|
| "source_name": "Amberdata exchange market data",
|
| "url": "https://www.amberdata.io/bybit-market-data",
|
| "public_no_key": false,
|
| "available_data": [
|
| "normalized historical orderbook/trades/market data"
|
| ],
|
| "historical_l2_orderbook": true,
|
| "eml_use": "Enterprise-grade candidate; likely paid/commercial."
|
| }
|
| ],
|
| "recommended_next_ingestion": {
|
| "step_1": "Scale Bybit ob200 pilot from top-5 2 closed UTC days to 7-30 recent closed UTC days.",
|
| "step_2": "Add Binance execution proxy from public trades/aggTrades and/or licensed L2 source if true historical book depth is required.",
|
| "step_3": "Join historical bid/ask/depth to arbitrage labels before marking any signal executable."
|
| },
|
| "quality_policy": [
|
| "Do not mark execution-grade arbitrage ready until historical bid/ask/depth is ingested and aligned to OHLCV/arbitrage labels.",
|
| "Keep current snapshot layer separate from historical microstructure to avoid misleading backtests.",
|
| "Keep arbitrage gold tables research_only=true unless bid/ask, fees, size constraints, and execution feasibility are available for the same timestamp.",
|
| "Any paid/commercial source must be recorded in metadata/license fields before ingestion."
|
| ]
|
| } |
