Market Data Introduction

DeepTick aggregates and normalizes high-frequency cryptocurrency market events. This guide explains the core structural principles of exchange matching engines, WebSocket broadcasts, and normalized message logic.

Exchange Feed Architecture

Trading venues broadcast real-time messages over low-latency TCP/WebSocket connections. Rather than managing dozens of custom JSON or binary schemas directly, DeepTick integrates them into uniform stream interfaces and parquet partitions.

Order Matching & Ingestion

Modern matching engines organize orders using a double-auction system based on price-time priority. Incoming aggressive orders execute against resting passive limit orders, producing trade events. Unfilled liquidity rests on the book or gets cancelled, generating delta updates.

Market Depth Structures (L1, L2, L3)

Liquidity is tracked at different levels of granularity:

• Level 1 (BBO): The highest bid and lowest ask (best bid/offer).
• Level 2 (Aggregate Depth): Price levels containing aggregated resting size. DeepTick streams incremental L2 deltas.
• Level 3 (Order-by-Order): Raw order lifetimes, showing individual entries, modifications, and fills with unique identifiers.

Delta-Based Order Book Syncing

To minimize bandwidth consumption, exchange books stream real-time delta updates rather than full snapshots. DeepTick pairs periodic, full-depth snapshots (every 60 seconds) with subsequent delta changes. A price level size update of 0 indicates that level is depleted.

Trade Event Taker Attribution

Trades occur when aggressive orders cross the spread to execute against resting passive orders. DeepTick's normalized schemas assign the taker side to the trade direction: buy indicates an aggressive market buy matching resting asks, while sell indicates an aggressive market sell matching bids.

Dual-Timestamp Precision

Every normalized market message features high-precision dual timestamps:

• timestamp: The microsecond epoch timestamp assigned directly by the exchange's matching gateway.
• local_timestamp: The microsecond timestamp logged by DeepTick's low-latency parser upon network packet arrival.

Instrument Variations

We ingest across multiple market categories: Spot tokens, perpetual swaps, dated futures, and options chains where supported. Options fields may include mark prices, strike steps, expirations, implied volatilities, and Greeks when the exchange or collector provides them.