depthfeed

Python client for DepthFeed — historical order-book depth for prediction markets.

Prediction-market venues publish a live order book and archive none of it. Once a short-dated market resolves, its depth history is gone and cannot be backfilled by anyone. DepthFeed records it — full bid/ask ladders on both sides, captured event-driven rather than sampled — and serves it over a REST API. This is the client for that API.

Coverage: Polymarket, Kalshi and Limitless, across BTC, ETH, SOL, XRP, DOGE, BNB and HYPE.

pip install depthfeed

Quickstart

Create a free account at depthfeed.com/signup and mint an API key from the dashboard. Keys look like df_… and are shown once.

from depthfeed import DepthFeed

client = DepthFeed()  # reads DEPTHFEED_API_KEY, or pass api_key="df_…"

print(client.whoami())        # your plan, rate limits, history window

markets = client.markets("btc", limit=5)
for market in markets:
    print(market["market_id"])

Order-book depth

The point of the API. Pass include_orderbook=True to get the full ladder rather than summary fields.

snapshots = client.snapshots(
    "btc",
    market_id,
    interval="1m",
    include_orderbook=True,
    start_time="2026-08-01T00:00:00Z",
    end_time="2026-08-02T00:00:00Z",
)

for snap in snapshots:
    best_bid = snap["orderbook"]["bids"][0]
    print(snap["timestamp"], best_bid["price"], best_bid["size"])

For the book in force at one instant, snapshot_at takes a timestamp directly (crypto coins only — for the other venues, use snapshots with a narrow window):

book = client.snapshot_at("btc", market_id, "2026-08-01T12:00:00Z")

Pagination

List endpoints use opaque keyset cursors. The iter_* methods follow them for you and yield items one at a time, so a long window streams instead of accumulating in memory.

for market in client.iter_markets("btc"):
    ...

for snap in client.iter_snapshots("btc", market_id, include_orderbook=True):
    ...

If you want the pages themselves, the single-page methods expose the cursor:

page = client.markets("btc", limit=100)
page.next_cursor   # feed back as cursor=
page.has_more
page.request_id    # from the response meta block, useful in support requests

Venues

Crypto assets are addressed by coin; the other venues have their own roots. The client handles the path difference — pass the venue as the first argument either way.

client.markets("btc")                       # /v3/btc/markets
client.markets("kalshi")                    # /v3/kalshi/markets
client.markets("limitless")                 # /v3/limitless/markets
client.snapshots("kalshi", "TICKER")        # /v3/kalshi/TICKER/snapshots
client.screener("btc", "15m")               # /v3/screener/btc/15m
client.screener()                           # /v3/screener — cross-asset

Binance spot and futures reference data sits on a different path shape and has its own methods, so the two families don't get confused:

client.reference_latest("btc", "spot")              # /v3/btc/spot/latest
client.reference_snapshots("btc", "futures")        # /v3/btc/futures/snapshots
client.reference_trades("btc", "spot", latest=True) # /v3/btc/spot/trades/latest

Any endpoint this client does not wrap yet is reachable directly, with the same auth, retry and envelope handling:

client.get("/v3/sports/markets", league="mlb", limit=10)

Async

AsyncDepthFeed mirrors the sync client method for method.

import asyncio
from depthfeed import AsyncDepthFeed

async def main():
    async with AsyncDepthFeed() as client:
        markets = await client.markets("btc", limit=5)
        async for snap in client.iter_snapshots("btc", markets[0]["market_id"]):
            ...

asyncio.run(main())

Errors

HTTP statuses map to typed exceptions, all deriving from DepthFeedError.

from depthfeed import RateLimitError

try:
    client.markets("btc")
except RateLimitError as exc:
    print(exc.retry_after, exc.request_id)

429, 408 and 5xx responses are retried automatically with exponential backoff, honouring Retry-After. Set max_retries=0 to turn that off.

Configuration

DepthFeed(
    api_key=None,                          # else DEPTHFEED_API_KEY
    base_url="https://api.depthfeed.com",
    timeout=30.0,
    max_retries=3,
)

Links

• Documentation — https://depthfeed.com/docs
• API reference — https://depthfeed.com/data-api
• MCP server — https://depthfeed.com/mcp

Independent project. Not affiliated with Polymarket, Kalshi, Binance, Chainlink or Limitless.

MIT licensed.