tickvault

Full-depth crypto order book archives, honest about their own gaps.

There is no good free source of full-depth crypto order book history. Everything free is top-of-book, resampled to bars, or carries undocumented gaps that quietly poison a backtest. This reads the archives produced by tickvault, which publish their gap statistics on the front page.

pip install tickvault-ob

tickvault-ob on PyPI, tickvault when you import it. The plain name normalises to tick-vault under PEP 503, and that belongs to an unrelated Dukascopy tick downloader, so the distribution carries a suffix and the import does not.

Not published yet. Until the first release tag, build it from a checkout of the repository with cd bindings && maturin develop --release.

Ten lines to a plot

import tickvault

archive = tickvault.open("./archive")
bars = archive.bars("kraken", "BTC-USD", bar_seconds=60, frame="polars")
print(bars.select("start", "open", "high", "low", "close", "volume"))

start, end = archive.span_ns("kraken", "BTC-USD")
book = archive.book_at("kraken", "BTC-USD", end)
print(book.mid, book.spread, book.imbalance(depth=10))

archive.plot_book("kraken", "BTC-USD", end, show=True)

Nine lines, and no date to look up first. A test runs exactly this block against a real archive on every commit, so it cannot rot into an example that no longer works.

Two things to know

None means the data cannot answer, and never zero.

>>> bars["volume"][0] is None
True

An aggregated feed shows a price level shrinking and never says whether it traded or was cancelled, so the traded volume of a Kraken or Coinbase bar is not something the data contains. Zero would claim nothing traded. Only an order-by-order feed reports executions, and only Bitstamp offers one without an API key, so volume is a real number there and None on the other five.

Same rule elsewhere: a one-sided book has no mid, and an empty one has no imbalance.

Suspect data is labelled, not hidden.

book = archive.book_at("kraken", "BTC-USD", when)
if book.suspect:
    print(book.origin, book.suspect_rows)   # why, and how much

Every Tick carries suspect too, and plot_book writes it on the chart. The recorder knows which stretches of time it could not vouch for; this hands that through rather than quietly averaging over it.

Replaying

for tick in archive.replay("kraken", "BTC-USD"):
    if tick.mid is not None:
        strategy.on_book(tick.at_ns, tick.bid, tick.ask)

speed=0 is as fast as the archive reads, which is what a backtest wants. speed=1 preserves the recorded gaps, so a burst that arrived in one millisecond is delivered as one millisecond of work. That is the difference between testing whether a strategy works and whether it can keep up.

Exact numbers

The float properties above are conveniences. The archive holds prices as exact integers counting 1e-9 units, and that is what you get from Arrow:

batch = book.to_arrow()          # price and qty are int64, nothing rounded
price = batch["price"][0].as_py() / 10**9

Bars are floats: a bar's mid is already a truncated midpoint, so exactness has run out by then.

What the venues can prove

>>> for v in tickvault.capabilities():
...     print(v["venue"], v["detects_loss"], v["validation"])
coinbase True Counter { step: 1, restart_floor: 0 }
kraken True Checksum { depth: 10 }
okx True Chained
bybit True Counter { step: 1, restart_floor: 1 }
binance-us True UpdateIdRange
bitstamp False MonotonicTimestamp

Bitstamp's aggregated feed carries no sequence number, update id or checksum, so a lost message on it is undetectable by any means. It says so rather than reporting itself as clean. Its order-by-order feed chains every event, and recording it that way makes it the best validated of the six.

Each entry also carries blind_spots: the things that venue cannot see, in plain terms.

Licence

MIT or Apache-2.0, at your option.

Project links

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GitHub Statistics

Data verified by PyPI on Aug 29, 2026
The GitHub source repository was provided by the project maintainers and verified by PyPI at the time of upload. Stars, forks, and open issues/PRs are derived from that repository and have not been independently verified.

License expression

MIT OR Apache-2.0
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Requires

Python >=3.9

Provides Extra

pandas plot polars

Tags

orderbook crypto microstructure market-data parquet

Classifiers

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