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I have found out how to get historical price data from the cryptocompare API but the highest resolution is on a minute-base. Is there a (free) way to get historical tick-by-tick data (so on a second-resolution) for cryptocurrencies, ideally with a python API. I would like to train and backtest a model on that data. I can imagine that the high bandwith requirements of pulling so much data may be too much asked for a free API but maybe there is one...

Edit: I repeat, I am looking for free tick-by-tick (with a second-based timeframe) data. The question Cryptocurrency historical prices is not explicitly asking for this kind of data, and the only answer for tick-by-tick data regards to a paid service.

Alexander Bartl
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    This is not a duplicate, as I am explicitly asking for tick-by-tick data, the other question you mentioned, is not referring to this kind of data – Alexander Bartl Jan 27 '18 at 15:48
  • This 615MB file has 1-10 second resolution for bitcoin: http://api.bitcoincharts.com/v1/csv/krakenEUR.csv.gz, starts in 2014. – knb Jan 27 '18 at 18:11
  • Its a good start, would be nice to have also some data on other currencies as well. – Alexander Bartl Jan 28 '18 at 17:23
  • I went through the data, as expected there are more values for the last year (meaning ticks in total), starting from 2017. For the gaps between the ticks, does it mean there was just no trades going on and therefore no price update, or was the price just not captured at all? – Alexander Bartl Jan 29 '18 at 20:23
  • I don't know, sorry. I think every trading platform works a bit differently. Maybe have a look in the directory http://api.bitcoincharts.com/v1/csv - there are many other files from other platforms (and maybe even other cryptocurrencies, but I didn't look closely) Analysing this file was only a weekend project for me; I'm not really into cryptocurrencies. – knb Jan 30 '18 at 12:50
  • The "price" is a derived statistical quantity that is based on executed transactions, which are determined from bid price and ask price, which are themselves dependent on trade volume. When you make your time increment small enough, then "price" stops making sense, since there are not enough transactions to be statistical. At some small time increment, it makes sense to look at the transactions directly, which you can do with the public ledger of any cryptocurrency. – philshem Jan 30 '18 at 21:36
  • Thanks @philshem, for the elaboration, I guess I will do my first tries on a minute-base then, or use an interpolation method. I still think, if properly designed, a model could get some benefit out of having 60 (sec) parameters instead of one (min). (maybe in their composition). – Alexander Bartl Jan 31 '18 at 14:12
  • Im still looking for a source with more cryptocurrencies, api.bitcoincharts.com/v1/csv is strongly focused on bitcoin. – Alexander Bartl Feb 01 '18 at 19:58
  • @AlexanderBartl checkout https://coinograph.io for raw tick data – Nasir May 23 '18 at 13:51

5 Answers5

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Tick data is available at cryptoarchive.com.au, for some pairs it's free.

aleck
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You can use exchange's public APIs to get historical trade data, but look out for API rate limits as you can get IP based ban - been there.

If you're looking for order book tick by tick data or historical liquidations data, check out https://tardis.dev/ it's not free, but pricing is affordable and you can play around with data samples without API key (API access for first day of each month is free).

Thad
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    What use exchange's public APIs are you refering to? Please [edit]. –  Jul 17 '19 at 14:26
  • Depending on exchange you're interested in, but for example for bitmex check out https://www.bitmex.com/api/explorer/ especially /trade endpoint – Thad Jul 17 '19 at 17:22
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    first link is not open data. second one is behind a paywall and not 100% accessible to US users. please provide more information or this will be flagged as not open data. – albert Jul 20 '19 at 05:06
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this seems old but I found this website: https://www.binance.com/en/landing/data#data-futures

Data from binance.

wakandan
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this api provides data since 2013 with 1 minute ticks https://rapidapi.com/lunarlabs/api/btc-ohlcv-history-api/pricing

Luke44
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With exchange's public WebSocket API, you can get tick by tick level data. But I am aware that no data with that much detail are provided free.

edit: You can use exchange's API such as wss://api-pub.bitfinex.com/ws/2 to get data now and record it for sometime to get historical dataset. But this requires time.

In this case, we are providing historical raw WebSocket data. You can get free samples for every dataset at https://www.exchangedataset.cc .

Exchange Dataset
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