Exchange Data Feeds are real-time or historical streams of market information provided by cryptocurrency exchanges, including price quotes, order book depth, executed trades, and volume metrics. These feeds are essential for powering algorithmic trading systems, market analytics, and risk management functions within the crypto investing ecosystem.
Mechanism
Data transmission typically occurs via Application Programming Interfaces (APIs), using WebSocket protocols for continuous real-time updates or REST APIs for snapshot data requests, directly from the exchange’s matching engine. These feeds often contain granular details such as individual order modifications, best bid/offer prices, and aggregated trading statistics, necessitating robust, low-latency infrastructure for processing.
Methodology
Effective consumption and analysis of exchange data feeds require specialized data acquisition and processing systems capable of handling high data throughput and diverse data formats across multiple exchanges. Data normalization, precise timestamping, and efficient storage are critical for accurate backtesting, informing live trading decisions, and ensuring the reliability of price discovery across fragmented digital asset markets.
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