Fetch Orderbook Data

The depth function returns orderbook depth data in snapshots with the specified resolution over the specified time period.

from velodata import lib as velo
 
day_in_ms = 1000 * 60 * 60 * 24
 
# new velo client
client = velo.client('api_key')
 
# pick a supported future
futures = client.get_futures()
futures_with_orderbook_data = [f for f in futures if f['depth']]
future = futures_with_orderbook_data[0]
 
# last 24 hours in 5 minute resolution
params = {
    'exchange': future['exchange'],
    'product': future['product'],
    'begin': client.timestamp() - day_in_ms,
    'end': client.timestamp(),
    'resolution': '5m'
}
 
# prints orderbook at each timestamp as it finishes
for df in client.depth(params):
    print(df)