Binance Futures Order Book Historical Data

Binance provides historical order book data on USDⓈ-M and COIN-M Futures to assist you with the backtesting and optimization of strategies, research and analysis, and integration into the Binance ecosystem. Stay tuned for a wider range of historical data in the future.

Access

You can access Binance Futures historical data here. If you are looking for historical order book data on Futures, you need to have a valid Futures account and this data can only be accessed via API by Binance VIP 1 or above users. Please note that you can only download order book data with API.

For further assistance, please contact data@binance.com.

Product specifications

Binance Futures enhanced its products on May 27, 2023, which led to variations in product specifications.

2020-06-01 to 2023-05-27

Three data types were provided:

T_DEPTH (Tick-Level Orderbook): Tick-by-tick order book (level 2), directly fetched from our API and WSS different depth streams, with data gaps.
S_DEPTH (Order book snapshot): Data starts from 2020-01, order book snapshot (level 2). This is a temp data solution only for BTCUSDT at the moment, providing a 2-level order book snapshot for the BTCUSDT symbol only.
T_DEPTH_BACKFILL (Tick-Level Orderbook backfill): Tick-by-tick order book (level 2). T_DEPTH backfilled with internal logs had stopped producing since mid-July 2021.

T_DEPTH

Data Schema

Field	Description
symbol	Both COIN-M and USDⓈ-M Futures symbols are supported (queried through different symbols, for example: 'BTCUSDT', 'BTCUSD_200925')
time	Transaction time in timestamp. From 2020/07/01 to the current date. For newly launched symbols , start from the launch date.
first_update_id	-
last_update_id	-
pu	Last_update_id of the previous row, which helps examine completeness. Only applicable to COIN-M Futures depth update (not orderbook snapshot).
side	a = ask (Sell order) b = bid (Buy order)
update_type	snap = for order book snapshot only set = set price level to the current qty (not delta) delta = qty change of the price level (delta)
price	-
qty	-

Sample Data

symbol	timestamp	first_update_id	last_update_id	pu	side	update_type	price	qty
BTCUSDT	1593647999921	39538108420	39538108420	39538108419	a	set	9235.09	0
BTCUSDT	1593647999933	39538108444	39538108444	39538108420	a	set	9236.04	0.852
BTCUSDT	1593647999954	39538108472	39538108472	39538108444	b	set	9219.67	0
BTCUSDT	1593647999983	39538108497	39538108497	39538108472	a	set	9236.04	0.912
BTCUSDT	1593647999983	39538108498	39538108498	39538108497	a	set	9235.11	0

S_DEPTH

Data Schema

Field	Description
symbol	Both COIN-M and USDⓈ-M Futures symbols are supported (queried through different symbols, for example: 'BTCUSDT', 'BTCUSD_200925')
time	Transaction time in timestamp. From 2020/07/01 to the current date. For newly launched symbols , start from the launch date.
first_update_id	-
last_update_id	-
pu	Last_update_id of the previous row which helps examine completeness. Only applicable to COIN-M Futures depth update (not order book snapshot).
side	a = ask (Sell order) b = bid (Buy order)
update_type	snap = for order book snapshot only set = set price level to the current qty (not delta) delta = qty change of the price level (delta)
price	-
qty	-

Sample Data

symbol	timestamp	first_update_id	last_update_id	side	update_type	price	qty
SOLUSDT	1685663989004	2903022136846	2903022136846	a	snap	20.487	551
SOLUSDT	1685663989004	2903022136846	2903022136846	a	snap	20.488	404
SOLUSDT	1685663989004	2903022136846	2903022136846	a	snap	20.489	229
SOLUSDT	1685663989004	2903022136846	2903022136846	b	snap	20.485	866
SOLUSDT	1685663989004	2903022136846	2903022136846	b	snap	20.485	298

2023-05-27 to present

Two data types can be provided:

T_DEPTH (Tick-level order book): Tick-by-tick order book (level 2), generated from matching engine internal logs, no data gaps.
S_DEPTH (Order book snapshot): order book snapshot (level 2); snapshot update for each minute on all depth for every symbol.

T_DEPTH

The downloaded T_DEPTH file should consist of two separate files. The first, ending in "_depth_snap", represents the order book depth snapshot at the commencement of the specified date. The second file, ending with "_depth_update", contains updates to the order book following the initial depth snapshot. Depth update data is grouped according to the trans_id level, enabling users to observe associated changes in order book price/quantity at each trans_id level. Please note that the trans_id is auto-incremented at the symbol level.

Data Schema

Field	Description
symbol	Both COIN-M and USDⓈ-M Futures symbols are supported (queried through different symbols, for example: 'BTCUSDT', 'BTCUSD_200925')
time	Transaction time in timestamp. From 2020/07/01 to the current date. For newly launched symbols , start from the launch date.
first_update_id	-
last_update_id	-
trans_id	Transaction id in matching engine, for each trans_id, there might be update on multiples orderbook price level
side	a = ask (Sell order) b = bid (Buy order)
update_type	snap = for order book snapshot only set = set price level to the current qty (not delta)
price	-
qty	-

Depth snapshot sample data

symbol	timestamp	first_update_id	last_update_id	side	update_type	price	qty	trans_id
SOLUSDT	1685663989004	2903022136846	2903022136846	a	snap	20.487	551	232143412
SOLUSDT	1685663989004	2903022136846	2903022136846	a	snap	20.488	404	232143423
SOLUSDT	1685663989004	2903022136846	2903022136846	a	snap	20.489	229	232143415
SOLUSDT	1685663989004	2903022136846	2903022136846	b	snap	20.485	866	232143419
SOLUSDT	1685663989004	2903022136846	2903022136846	b	snap	20.485	298	243215125

Depth update sample data

symbol	timestamp	first_update_id	last_update_id	side	update_type	price	qty	trans_id
SOLUSDT	1685577589191	2899807690957	2899807690957	b	set	20.611	201	232143412
SOLUSDT	1685577589191	2899807690963	2899807690963	b	set	20.542	124	232143423
SOLUSDT	1685577589193	2899807690982	2899807690982	a	set	20.952	116	232143415
SOLUSDT	1685577589193	2899807690990	2899807690990	a	set	21.021	35	232143419
SOLUSDT	2899807690990	2899807690994	2899807690994	b	set	20.678	1476	243215125

S_DEPTH

Data schema

Field	Description
symbol	Both COIN-M and USDⓈ-M Futures symbols are supported (queried through different symbols, for example: 'BTCUSDT', 'BTCUSD_200925')
timestamp	Transaction time in timestamp. From 2020/07/01 to the current date. For newly launched symbols , start from the launch date.
update_id	Last update
side	a = ask (Sell order) b = bid (Buy order)
price	-
qty	-

Sample data

timestamp	update_id	symbol	side	price	qty
1693785660000	3230886649408	BTCUSDT	a	27414.3	0.003
1693785660000	3230886649408	BTCUSDT	a	26318.5	0.001
1693785660000	3230889577102	BTCUSDT	a	26067.7	1.394
1693785660000	3230886649408	BTCUSDT	a	28825	0.007
1693785660000	3230886649408	BTCUSDT	a	37232.1	0.001
1693785660000	3230886649408	BTCUSDT	a	26949.2	0.004
1693785660000	3230886649408	BTCUSDT	b	22357.5	0.005
1693785660000	3230886649408	BTCUSDT	b	10390.5	0.002

When does the data get updated?

T+1, data would normally be ready by 08:00 (UTC).

How to download the historical Futures order book level 2 data via API?

The data download API is part of the Binance API. For more details and examples, especially on SIGNED Endpoint security, please visit here.

In order to access historical order book data for Futures, the API account should also have an active Futures account and maintain a VIP user status.

How to obtain the Futures order book data via API?

https://api.binance.com/sapi/v1/futures/histDataLink(user data)

Specify the following arguments to request the download link:

Symbol	Type	Mandatory	Note
symbol	STRING	YES	support USDⓈ-M and COIN-M Futures symbols
startTime	LONG	YES	If no startTime, default endTime to time - 7 days
endTime	LONG	YES	If no endTime, default to the current time
dataType	ENUM	YES	S_DEPTH / T_DEPTH
rectWindow	LONG	NO	-
timestamp	LONG	YES	-

*The gap between the startTime and the endTime can’t be longer than 7 days.