Market data
Order-book data from decentralized exchanges, and trade and quote history for U.S. stocks and futures, aligned for research and superintelligence (SI) systems.
Historical order book data
Order books from on-chain perpetual futures venues, held in one research warehouse with the U.S. history and read on one clock.
Rebuilt from snapshots and diffs
Order books rebuilt from snapshots and book diffs, so the full book can be read at any point in its recorded history.
Fills, liquidations and funding
Fills, liquidations and funding are stored as their own records alongside the book.
U.S. stock and futures trade and quote history
Trade and quote history from 2018, mapped to one symbol list and aligned in time with the on-chain data.
Request U.S. trade and quote historyTrade data lists each trade with its price and size. Quote data lists the bid and ask prices quoted over time. For U.S. stocks the two are often called TAQ data, short for trades and quotes.
Every trade and quote sits on the same UTC clock as the on-chain order books, with the source's own timestamp kept beside capture time.
Each source sets the terms on which its trade and quote data may be used and shared. The history supports research and custom builds within those terms.
Record schema
Field names and types for the two core records. Every record carries the source's own timestamp beside our capture time.
Order-book update
| Field | Type | Description |
|---|---|---|
| source_venue | string | Venue that published the update |
| instrument_id | string | Instrument in the Rillor symbol map |
| update_type | enum: snapshot, diff | Full book, or a change to it |
| sequence | integer | Source sequence number, checked for gaps |
| side | enum: bid, ask | Side of the book |
| Field | Type | Description |
|---|---|---|
| price | decimal | Price level |
| size | decimal | Size resting at the level after the update. Zero removes the level. |
| source_ts | UTC timestamp | Event time as the source reports it |
| capture_ts | UTC timestamp | Time the update was captured |
Trade
| Field | Type | Description |
|---|---|---|
| source_venue | string | Venue where the trade printed |
| instrument_id | string | Instrument in the Rillor symbol map |
| trade_id | string | Source trade identifier |
| price | decimal | Trade price |
| size | decimal | Trade size |
| Field | Type | Description |
|---|---|---|
| aggressor_side | enum: buy, sell, unknown | Side that initiated the trade, where the source reports it |
| trade_kind | enum: fill, liquidation | Liquidations flagged in on-chain perpetual futures data |
| conditions | list of strings | Sale conditions as reported, for equities and futures |
| source_ts | UTC timestamp | Event time as the source reports it |
| capture_ts | UTC timestamp | Time the trade was captured |
One clock, one symbol map
Data from on-chain venues and from U.S. stocks and futures only becomes useful together when every record sits on the same timeline and every instrument has one name.
- ClockEvery record is placed on one UTC clock. The source's own timestamp is kept beside the capture time.
- Symbol mapOne identifier per instrument across sources, so a stock, a futures contract and a perpetual on the same underlying can be joined.
- Latency assumptionsDocumented per source: which time each timestamp represents, and the expected delay between the event and its record.
- Sequence checksBook sequence numbers are checked on every rebuild, and gaps are written into the coverage notes for that instrument.
What it is used for
Forecasting research, backtests and simulated markets for SI systems, on real order flow recorded as it happened.
Forecasting research
Forecasting models tested out of sample on recorded history and scored against baselines.
Forecasting and market intelligenceCalibrating simulated markets
Spreads, depth and order flow from real books set the conditions SI agents face in simulated markets.
Market simulationPrice-discovery studies
How price moves travel between regulated futures and decentralized perpetual futures, measured on one clock.
Cross-venue price discoveryBacktesting
Recorded books and trades replayed to test models on history they were not built on.
- DEX order-book dataProvided under a written data agreement.
- U.S. equities and futuresSupports research and custom builds within the rights of each source.
- DeliveryAn authenticated API, a scheduled export or an agreed file format.
- Custom buildsInstruments, history windows and derived tables built to your specification. Custom datasets
Common questions
What is historical order book data?
A record of a market's order book over time: every price level on both sides, bid and ask, as it changed. Here it comes from on-chain perpetual futures venues. A full book snapshot is followed by book diffs, and applying every diff up to a time gives the book at that time. Fills, liquidations and funding are kept as their own records on the same UTC clock.
What are trade and quote data for U.S. stocks?
Trade data lists each trade with its price and size, and quote data the bid and ask prices quoted over time. Rillor holds both for U.S. stocks and futures from 2018, mapped to one symbol list and aligned in time with the on-chain order books.
How is the data delivered?
By authenticated API, scheduled export or an agreed file format. The on-chain order book data is provided under a written data agreement, and the U.S. history supports research and custom builds within the rights of each source. Instruments, history windows and derived tables can be built to your specification.
Research
The newest articles from our Insights library, each with a full research report and its sources.
- Level 1, 2 and 3 market data explainedLevel 2 vs level 3 market data: the size at each price, or every order. Venue specifications show what each level carries and which studies need it.Market data7 min readPDF report
- Deep learning on limit order books: what benchmarks showBenchmark studies of deep learning on limit order books find lower scores on new stocks and periods than on FI-2010, and predictability that depends on a stock's tick size.Market data7 min readPDF report
- Rebuilding an order book from snapshots and diffsOrder book reconstruction applies sequenced diffs to a full snapshot under each venue's own numbering and checks, and one missed update leaves the book wrong until it is resynchronized.Market data7 min readPDF report
Notices
Data rights. Source data is provided within the rights of each source.
Investment. Rillor is not a registered investment adviser or commodity trading advisor and does not provide investment or trading advice. Research, forecasts, data and software described on this site are for research and engineering use. Nothing here is an offer or recommendation to buy or sell any security, commodity interest or digital asset. Past or simulated results do not indicate future results.