Availability of historical order books

Hi
we are working with your historical order book data. It seems that for more recent times, order book snapshots are available in one minute intervals, but for less recent times, the time intervals between snapshots seems larger. So here are my two questions:

  1. Is there a uniform date across all markets before which the frequency of order book snapshots was different to one minute?

  2. Is there an API call with which I could get a list of all time instances for which order book snapshots are available for a particular market on a particular exchange? (I know how to get the get the first time instance for which such a snapshot exist, but that is not what we need here.)

Thanks for your help!
Daniel

Hello,

If you have a paid plan you can get email support by emailing support@nomics.com.

Regarding snapshots, for the most part we are capturing books at 1 minute intervals, and this is true historically. There are some exchanges that have reduced frequency, which is usually because they have a very low rate limit or a poorly performing API or an incredibly high number of markets.

If you share which exchanges and time ranges you’re having these issues for I can investigate further.

There is no API call that will describe timestamps for order books. Instead we recommend folks who are capturing books historically to use the order book batches endpoint:

https://nomics.com/docs/#operation/getOrderBookBatches

This endpoint will get you call the batches for an entire day, and automatically counts each book as one request against your plan, which means it is optimized for efficiency.