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Schema Reference
Here you'll find a breakdown of the schemas used throughout the L3 Atom data lake. We'll provide both human-readable tables that outline what each field represents, as well as equivalent Apache Avro schemas.
- A value of
-1indicates that the value is unknown - The exact format of the
event_timestampdepends on the source. In our PostgreSQL database, it's a timestamp (integer for the number of milliseconds since the UNIX epoch), however over the websocket API you will be given an ISO-formatted string- Why? This is to give as many options to you as possible. The
atom_timestampwill always a be an integer value of the number of microseconds since the UNIX epoch, but you might find it more useful to have a timestamp in an ISO format instead. Having a millisecond and microsecond timestamp also means that we can use the data in a variety of different datastores which may have different conventions for what timestmaps should be. For most people, given that the timestamps are very close, they can be used interchangeably, however there may be use cases that want to compare them (e.g. determining latency between exchanges)
- Some exchanges don't provide an explicit
event_timestamp. In those cases, we just convert theatom_timestampinto milliseconds as the next best thing. These cases will be specifically mentioned. - Open interest can differ wildly between exchanges. This is mainly due to inconsistencies in formatting. Some exchanges provide OI in USD, while others provide it in the base/quote token. Because of this, open interest values should most likely not be aggregated across exchanges as you may see unexpected results.
Name | Type | Description |
|---|---|---|
exchange | string | Exchange the event occurred on |
symbol | string | The symbol of the event |
price | double | The price of the trade |
size | double | The size of the trade |
taker_side | string | What side the market taker was on (buy/sell) |
trade_id | string | ID of the trade (if provided) |
maker_order_id | string | ID of the market maker's order |
taker_order_id | string | ID of the market taker's order |
event_timestamp | timestamp (milliseconds) | Timestamp of when the event occurred on the exchange (milliseconds) |
atom_timestamp | long | Timestamp of when the event was received by us (microseconds) |
Name | Type | Description |
|---|---|---|
string | Exchange the event occurred on | exchange |
string | The symbol of the event | symbol |
double | The price of the trade | price |
double | The size of the trade | size |
string | What side the market taker was on (buy/sell) | taker_side |
string | ID of the trade (if provided) | trade_id |
timestamp (milliseconds) | Timestamp of when the event occurred on the exchange (milliseconds) | event_timestamp |
long | Timestamp of when the event was received by us (microseconds) | atom_timestamp |
Name | Type | Description |
|---|---|---|
exchange | string | Exchange the event occurred on |
symbol | string | The symbol of the event |
bid_price | double | Price of the best bid on the order book |
bid_size | double | Size of the best bid on the order book |
ask_price | double | Price of the best ask on the order book |
ask_size | double | Size of the best askon the order book |
event_timestamp | timestamp (milliseconds) | Timestamp of when the event occurred on the exchange (milliseconds) |
atom_timestamp | long | Timestamp of when the event was received by us (microseconds) |
Name | Type | Description |
|---|---|---|
exchange | string | Exchange the event occurred on |
symbol | string | The symbol of the event |
price | double | Price of the order |
size | double | Size of the order |
side | string | Side of the order (buy/sell) |
order_id | string | ID of the order |
event_timestamp | timestamp (milliseconds) | Timestamp of when the event occurred on the exchange (milliseconds) |
atom_timestamp | long | Timestamp of when the event was received by us (microseconds) |
Name | Type | Description |
|---|---|---|
exchange | string | Exchange the event occurred on |
symbol | string | The symbol of the event |
price | double | Price of the order |
size | double | Size of the order |
side | string | Side of the order (buy/sell) |
event_timestamp | timestamp (milliseconds) | Timestamp of when the event occurred on the exchange (milliseconds) |
atom_timestamp | long | Timestamp of when the event was received by us (microseconds) |
Name | Type | Description |
|---|---|---|
exchange | string | Exchange the event occurred on |
symbol | string | The symbol of the event |
mark_price | double | Value of the mark price |
funding_rate | double | The current funding rate |
next_funding_time | timestamp (milliseconds) | The timestamp of the next funding |
predicted_rate | double | The predicted funding rate at the next funding time |
event_timestamp | timestamp (milliseconds) | Timestamp of when the event occurred on the exchange (milliseconds) |
atom_timestamp | long | Timestamp of when the event was received by us (microseconds) |
Name | Type | Description |
|---|---|---|
exchange | string | Exchange the event occurred on |
symbol | string | The symbol of the event |
open_interest | double | The current open interest |
event_timestamp | timestamp (milliseconds) | Timestamp of when the event occurred on the exchange (milliseconds) |
atom_timestamp | long | Timestamp of when the event was received by us (microseconds) |
Name | Type | Description |
|---|---|---|
exchange | string | Exchange the event occurred on |
symbol | string | The symbol of the event |
start | timestamp (milliseconds) | The timestamp of when the candle started |
end | timestamp (milliseconds) | The timestamp of when the candle ended |
interval | string | The interval of the candle (e.g. "1m") |
trades | int | How many trades occurred during the candle period (if provided) |
closed | boolean | If the candle is closed or not |
o | double | The open price of the candle |
h | double | The high price of the candle |
l | double | The low price of the candle |
c | double | The close price of the candle |
v | double | The volume of trades during the candle's period |
event_timestamp | timestamp (milliseconds) | Timestamp of when the event occurred on the exchange (milliseconds) |
atom_timestamp | long | Timestamp of when the event was received by us (microseconds) |
Name | Type | Description |
|---|---|---|
number | long | Block number |
hash | string | Hash of the block |
parentHash | string | Hash of the parent block |
nonce | string | Hash of the generated proof-of-work |
sha3Uncles | string | SHA3 of the uncles data in the block |
logsBloom | string | The bloom filter for the logs of the block |
transactionsRoot | string | The root of the transaction trie of the block |
stateRoot | string | The root of the final state trie of the block |
receiptsRoot | string | The root of the receipts trie of the block |
miner | string | Address of the block's miner |
difficulty | long | The difficulty of the block |
totalDifficulty | decimal (38 precision, 0 scale) | Total difficulty of the chain until the block |
extraData | string | The "extra data" field of the block |
size | long | Size of the block in bytes |
gasLimit | decimal (38 precision, 0 scale) | Maximum gas allowed in this block |
gasUsed | decimal (38 precision, 0 scale) | Total used gas by all transactions in this block |
timestamp | timestamp (milliseconds) | Timestamp of when the block was collated |
atomTimestamp | long | Timestamp of when we received the block |
Name | Type | Description |
|---|---|---|
blockNumber | long | Number of the associated block |
hash | string | Hash of the transaction |
blockHash | string | Hash of the associated block |
nonce | string | The number of transactions made by the sender prior to this one |
transactionIndex | long | The transaction's index position in the block |
fromAddr | string | Address of the sender |
toAddr | string | The root of the transaction trie of the block |
value | decimal (38 precision, 0 scale) | Value transferred in Wei |
gas | long | Gas provided by the sender |
gasPrice | long | Gas price provided by the sender in Wei |
input | string | The data sent along with the transaction |
maxFeePerGas | long | maximum total fee (base fee + priority fee), in Wei, the sender is willing to pay per gas. Only for EIP-1559 transactions |
maxPriorityFeePerGas | long | Maximum fee, in Wei, the sender is willing to pay per gas above the base fee. Only for EIP-1559 transactions |
type | string | The transaction type |
blockTimestamp | timestamp (milliseconds) | Timestamp of when the associated block was collated |
atomTimestamp | long | Timestamp of when we received the transaction |
Name | Type | Description |
|---|---|---|
blockNumber | long | Number of the associated block |
transactionHash | string | Hash of the associated transaction |
blockHash | string | Hash of the associated block |
address | string | Address of the log's contract |
transactionIndex | long | The associated transaction's index position in the block |
logIndex | long | Log index position in the block |
data | string | One or more 32 Bytes non-indexed arguments of the log |
topic0 | string | Indexed argument 0. In Solidity, the hash of the event signature. |
topic1 | string | Indexed argument 1 |
topic2 | string | Indexed argument 2 |
topic3 | string | Indexed argument 3 |
blockTimestamp | timestamp (milliseconds) | Timestamp of when the associated block was collated |
atomTimestamp | long | Timestamp of when we received the log |
Name | Type | Description |
|---|---|---|
blockNumber | long | Number of the associated block |
transactionHash | string | Hash of the associated transaction |
blockHash | string | Hash of the associated block |
tokenAddr | string | Address of the token transferred |
fromAddr | string | Address of the sender |
toAddr | string | Address of the receiver |
value | decimal (38 precision, 0 scale) | Raw value of the transfer |
blockTimestamp | timestamp (milliseconds) | Timestamp of when the associated block was collated |
atomTimestamp | long | Timestamp of when we received the log |
Name | Type | Description |
|---|---|---|
blockNumber | long | Number of the associated block |
transactionHash | string | Hash of the associated transaction |
blockHash | string | Hash of the associated block |
logIndex | long | Index of the associated log in the block |
exchange | string | Exchange the trade occurred on |
maker | string | Address of the market maker (if the DEX has market makers for specific trades) |
taker | string | Address of the market taker |
tokenBought | string | Symbol of the bought token |
tokenSold | string | Symbol of the sold token |
tokenBoughtAddr | string | Contract address of the bought token |
tokenSoldAddr | string | Contract address of the sold token |
amountBought | decimal (38 precision, 24 scale) | Amount bought in the trade (the true value, accounting for the decimals of the token) |
amountSold | decimal (38 precision, 24 scale) | Amount sold in the trade (the true value, accounting for the decimals of the token) |
pairAddr | string | Address of the pair for the specific protocol |
blockTimestamp | timestamp (milliseconds) | Timestamp of when the associated block was collated |
atomTimestamp | long | Timestamp of when we received the trade event |
Name | Type | Description |
|---|---|---|
blockNumber | long | Number of the associated block |
transactionHash | string | Hash of the associated transaction |
blockHash | string | Hash of the associated block |
logIndex | long | Index of the associated log in the block |
exchange | string | Exchange the trade occurred on |
eventType | string ('add', 'remove') | Whether the liquidity event added liquidity ('add') or removed liquidity ('remove') |
token0 | string | Symbol of the first token in the pool |
token1 | string | Symbol of the second token in the pool |
token0Addr | string | Contract address of the first token |
token1Addr | string | Contract address of the second token |
amount0 | decimal (38 precision, 24 scale) | Amount of the first token added / removed (the true value, accounting for the decimals of the token) |
amount1 | decimal (38 precision, 24 scale) | Amount of the second token added / removed (the true value, accounting for the decimals of the token) |
owner | string | Owner of the liquidity pool |
pairAddr | string | Address of the pair for the specific protocol |
blockTimestamp | timestamp (milliseconds) | Timestamp of when the associated block was collated |
atomTimestamp | long | Timestamp of when we received the trade event |
{
"type": "record",
"name": "L3_Trades",
"namespace": "com.acme.avro",
"fields": [
{
"name": "exchange",
"type": "string"
},
{
"name": "symbol",
"type": "string"
},
{
"name": "price",
"type": "double"
},
{
"name": "size",
"type": "double"
},
{
"name": "taker_side",
"type": "string"
},
{
"name": "trade_id",
"type": "string"
},
{
"name": "maker_order_id",
"type": "string"
},
{
"name": "taker_order_id",
"type": "string"
},
{
"name": "event_timestamp",
"type": {
"type": "long",
"logicalType": "timestamp-millis"
}
},
{
"name": "atom_timestamp",
"type": "long"
}
]
}
{
"type": "record",
"name": "Trade",
"namespace": "com.acme.avro",
"fields": [
{
"name": "exchange",
"type": "string"
},
{
"name": "symbol",
"type": "string"
},
{
"name": "price",
"type": "double"
},
{
"name": "size",
"type": "double"
},
{
"name": "taker_side",
"type": "string"
},
{
"name": "trade_id",
"type": "string"
},
{
"name": "event_timestamp",
"type": {
"type": "long",
"logicalType": "timestamp-millis"
}
},
{
"name": "atom_timestamp",
"type": "long"
}
]
}
{
"type": "record",
"name": "Ticker",
"namespace": "com.acme.avro",
"fields": [
{
"name": "exchange",
"type": "string"
},
{
"name": "symbol",
"type": "string"
},
{
"name": "bid_price",
"type": "double"
},
{
"name": "bid_size",
"type": "double"
},
{
"name": "ask_price",
"type": "double"
},
{
"name": "ask_size",
"type": "double"
},
{
"name": "event_timestamp",
"type": {
"type": "long",
"logicalType": "timestamp-millis"
}
},
{
"name": "atom_timestamp",
"type": "long"
}
]
}
{
"type": "record",
"name": "L3_LOB",
"namespace": "com.acme.avro",
"fields": [
{
"name": "exchange",
"type": "string"
},
{
"name": "symbol",
"type": "string"
},
{
"name": "price",
"type": "double"
},
{
"name": "size",
"type": "double"
},
{
"name": "side",
"type": "string"
},
{
"name": "order_id",
"type": "string"
},
{
"name": "event_timestamp",
"type": {
"type": "long",
"logicalType": "timestamp-millis"