Data integrity

— Last updated: 21 Sep 2019 12:15 AM (GMT) —

What is this page?

This section presents the most updated quality tests for our cryptocurrency bar generator engine. Additionally, it summarizes the different types of bars and steps offered (each step has a different meaning depending on the bar type. More info in the API docs) .

When data is updated by pulling raw trades from the exchanges (for now only Bitfinex), bars are automatically built and data quality is evaluated based on volume conservation. Essentially, we check that the sum of all trades volume is equal to the sum of all bars volume. If the difference observed is low, then we have a guarantee that the bars have been built correctly and have included all the existing trades provided by the exchange, no more and no less. However, note that small errors can be observed due to floating point operations.

We set our error tolerance to 0.01 — any error higher than this threshold should raise our concern and the affected bars should be revised and possibly regenerated from scratch using the raw trade data.

Time Bars

1m5m15m30m1h4h12h1d
ETHUSD 1.90e-05 1.91e-05 1.90e-05 1.90e-05 1.90e-05 1.90e-05 1.90e-05 1.90e-05
ZECUSD 1.49e-08 1.12e-08 1.30e-08 1.68e-08 1.30e-08 1.12e-08 1.12e-08 1.30e-08
XLMUSD 1.19e-07 2.38e-07 2.38e-07 0.00e+00 3.58e-07 2.38e-07 3.58e-07 2.38e-07
EOSUSD 3.53e-05 3.62e-05 3.53e-05 3.62e-05 3.72e-05 3.43e-05 3.43e-05 3.62e-05
XMRUSD 1.12e-08 1.49e-08 2.24e-08 1.12e-08 1.49e-08 1.49e-08 1.49e-08 1.86e-08
XRPUSD 9.08e-04 9.38e-04 9.08e-04 9.31e-04 9.31e-04 9.31e-04 9.31e-04 9.31e-04
LTCUSD 1.23e-05 1.23e-05 1.23e-05 1.23e-05 1.23e-05 1.23e-05 1.23e-05 1.23e-05
ETHBTC 8.94e-08 1.19e-07 8.94e-08 1.19e-07 1.19e-07 8.94e-08 8.94e-08 8.94e-08
ZRXUSD 1.13e-06 1.19e-06 1.01e-06 1.01e-06 1.07e-06 1.13e-06 1.19e-06 1.13e-06
NEOUSD 4.77e-07 5.66e-07 5.66e-07 5.36e-07 5.66e-07 5.36e-07 5.36e-07 5.36e-07
OMGUSD 6.40e-05 6.40e-05 6.40e-05 6.39e-05 6.39e-05 6.39e-05 6.39e-05 6.39e-05
XRPBTC 1.18e-04 1.26e-04 1.30e-04 1.30e-04 1.30e-04 1.28e-04 1.28e-04 1.28e-04
ZILUSD 1.49e-08 1.49e-08 1.49e-08 0.00e+00 0.00e+00 0.00e+00 0.00e+00 0.00e+00
BTCUSD 2.01e-07 1.94e-07 2.24e-07 2.01e-07 2.16e-07 2.16e-07 2.09e-07 2.09e-07
IOTUSD 4.79e-04 4.75e-04 4.77e-04 4.77e-04 4.75e-04 4.75e-04 4.75e-04 4.75e-04
DSHUSD 8.94e-08 9.13e-08 8.75e-08 8.75e-08 8.75e-08 8.94e-08 8.94e-08 8.94e-08

Tick Bars

501002005001000
ETHUSD 1.89e-05 1.90e-05 1.89e-05 1.89e-05 1.87e-05
ZECUSD 5.59e-09 9.31e-09 2.05e-08 5.59e-09 1.12e-08
XLMUSD 3.58e-07 3.58e-07 4.77e-07 5.96e-07 2.38e-07
EOSUSD 4.48e-05 3.62e-05 3.91e-05 3.81e-05 3.81e-05
XMRUSD 0.00e+00 7.45e-09 1.86e-08 3.73e-09 1.12e-08
XRPUSD 9.23e-04 9.23e-04 9.08e-04 9.00e-04 9.23e-04
LTCUSD 1.22e-05 1.20e-05 1.18e-05 1.22e-05 1.20e-05
ETHBTC 8.94e-08 1.04e-07 1.04e-07 4.47e-08 1.04e-07
ZRXUSD 1.07e-06 1.37e-06 8.94e-07 1.25e-06 1.19e-06
NEOUSD 5.36e-07 5.07e-07 5.66e-07 5.66e-07 5.36e-07
OMGUSD 6.40e-05 6.35e-05 6.35e-05 6.38e-05 6.38e-05
XRPBTC 1.32e-04 1.30e-04 1.32e-04 1.30e-04 1.34e-04
ZILUSD 0.00e+00 1.49e-08 1.49e-08 1.49e-08 1.49e-08
BTCUSD 2.68e-07 2.46e-07 2.46e-07 2.09e-07 2.98e-07
IOTUSD 4.73e-04 4.77e-04 4.79e-04 4.73e-04 4.79e-04
DSHUSD 9.13e-08 9.69e-08 9.31e-08 9.13e-08 9.13e-08

Imbalance bars

Tick imbalance bars (TIB)Volume imbalance bars (VIB)Dollar imbalance bars (DIB)
100200400100200400100200400
ETHUSD 1.90e-05 1.90e-05 1.89e-05 1.90e-05 1.90e-05 1.89e-05 1.89e-05 1.88e-05 1.89e-05
ZECUSD 1.12e-08 1.49e-08 1.86e-08 1.12e-08 7.45e-09 7.45e-09 9.31e-09 7.45e-09 7.45e-09
XLMUSD 0.00e+00 2.38e-07 1.19e-07 2.38e-07 2.38e-07 2.38e-07 1.19e-07 2.38e-07 1.19e-07
EOSUSD 4.20e-05 3.91e-05 3.72e-05 3.81e-05 4.20e-05 4.10e-05 4.01e-05 3.91e-05 4.10e-05
XMRUSD 7.45e-09 1.49e-08 1.86e-08 1.49e-08 2.61e-08 1.86e-08 2.61e-08 1.86e-08 1.86e-08
XRPUSD 9.31e-04 9.23e-04 9.23e-04 9.16e-04 9.38e-04 9.16e-04 9.16e-04 9.23e-04 9.46e-04
LTCUSD 1.21e-05 1.20e-05 1.17e-05 1.23e-05 1.22e-05 1.22e-05 1.20e-05 1.22e-05 1.21e-05
ETHBTC 1.49e-07 1.49e-07 1.19e-07 1.49e-07 1.19e-07 1.34e-07 1.19e-07 1.19e-07 1.19e-07
ZRXUSD 1.07e-06 8.34e-07 1.25e-06 1.13e-06 1.13e-06 1.01e-06 1.01e-06 1.31e-06 2.98e-07
NEOUSD 5.07e-07 4.77e-07 4.77e-07 4.17e-07 4.47e-07 4.17e-07 4.47e-07 3.87e-07 4.47e-07
OMGUSD 6.38e-05 6.37e-05 6.40e-05 6.40e-05 6.37e-05 6.40e-05 6.37e-05 6.39e-05 6.38e-05
XRPBTC 1.32e-04 1.30e-04 1.26e-04 1.30e-04 1.32e-04 1.28e-04 1.30e-04 1.32e-04 1.32e-04
ZILUSD 1.49e-08 0.00e+00 0.00e+00 0.00e+00 0.00e+00 0.00e+00 1.49e-08 2.98e-08 1.49e-08
BTCUSD 2.91e-07 2.31e-07 2.01e-07 2.61e-07 2.31e-07 2.09e-07 2.53e-07 1.94e-07 2.16e-07
IOTUSD 4.75e-04 4.77e-04 4.75e-04 4.81e-04 4.69e-04 4.69e-04 4.79e-04 4.79e-04 4.77e-04
DSHUSD 9.31e-08 9.13e-08 9.31e-08 8.38e-08 9.13e-08 9.13e-08 8.75e-08 8.57e-08 9.87e-08

Volume bars

ETHUSD
1001.87e-05
6001.90e-05
10001.88e-05
30001.88e-05
70001.90e-05
300001.91e-05
900001.89e-05
1000001.92e-05
ZECUSD
101.86e-09
500.00e+00
1001.30e-08
3001.86e-09
6001.30e-08
20007.45e-09
70001.68e-08
100001.12e-08
XLMUSD
9000.00e+00
40001.19e-07
100003.58e-07
200002.38e-07
500003.58e-07
2000000.00e+00
6000004.77e-07
10000001.19e-07
EOSUSD
40004.10e-05
200004.39e-05
700004.20e-05
1000004.10e-05
2000003.62e-05
10000003.72e-05
30000003.81e-05
70000004.20e-05
XMRUSD
201.49e-08
1003.73e-09
3001.86e-08
6003.35e-08
10001.86e-08
40007.45e-09
100002.61e-08
200001.86e-08
XRPUSD
300009.23e-04
1000009.23e-04
5000008.93e-04
10000009.23e-04
20000009.31e-04
80000009.31e-04
200000009.38e-04
500000009.31e-04
LTCUSD
801.20e-05
4001.24e-05
10001.23e-05
20001.22e-05
40001.19e-05
100001.20e-05
500001.18e-05
1000001.23e-05
ETHBTC
401.79e-07
2001.19e-07
6008.94e-08
10001.34e-07
20001.34e-07
100001.49e-07
300001.04e-07
600001.19e-07
ZRXUSD
4001.07e-06
20001.01e-06
70001.19e-06
100009.54e-07
200001.01e-06
1000001.25e-06
3000009.54e-07
7000001.01e-06
NEOUSD
2005.36e-07
10005.36e-07
30005.07e-07
60005.36e-07
100004.77e-07
500005.07e-07
1000005.07e-07
3000004.77e-07
OMGUSD
5006.38e-05
20006.38e-05
80006.39e-05
100006.41e-05
300006.38e-05
1000006.38e-05
4000006.39e-05
8000006.40e-05
XRPBTC
80001.39e-04
400001.26e-04
1000001.32e-04
2000001.24e-04
4000001.30e-04
10000001.30e-04
50000001.26e-04
100000001.30e-04
ZILUSD
1001.49e-08
5001.49e-08
10000.00e+00
30001.49e-08
60004.47e-08
200000.00e+00
800000.00e+00
1000005.96e-08
BTCUSD
102.61e-07
802.46e-07
2001.94e-07
5002.61e-07
10002.31e-07
40002.46e-07
100002.53e-07
200002.16e-07
IOTUSD
100004.63e-04
600004.83e-04
1000004.69e-04
3000004.73e-04
7000004.75e-04
30000004.73e-04
90000004.73e-04
100000004.77e-04
DSHUSD
108.75e-08
408.75e-08
1008.94e-08
2008.75e-08
5008.57e-08
20009.31e-08
60008.57e-08
100009.50e-08

Dollar bars

ETHUSD
100001.90e-05
300001.88e-05
1000001.90e-05
4000001.90e-05
9000001.90e-05
10000001.90e-05
70000001.90e-05
200000001.88e-05
400000001.90e-05
ZECUSD
10001.86e-09
20009.31e-09
100001.12e-08
300005.59e-09
600001.68e-08
1000001.49e-08
5000005.59e-09
10000001.30e-08
30000001.12e-08
XLMUSD
902.38e-07
1002.38e-07
9002.38e-07
20000.00e+00
50002.38e-07
100001.19e-07
400002.38e-07
1000001.19e-07
2000001.19e-07
EOSUSD
100003.53e-05
200004.01e-05
1000003.81e-05
4000004.01e-05
8000003.72e-05
10000003.81e-05
60000003.91e-05
200000004.01e-05
400000003.91e-05
XMRUSD
10002.24e-08
20002.61e-08
100001.49e-08
300002.98e-08
600002.24e-08
1000001.86e-08
5000002.61e-08
10000003.35e-08
30000001.86e-08
XRPUSD
90008.85e-04
100001.01e-03
900009.08e-04
2000009.31e-04
5000009.23e-04
10000008.85e-04
40000009.08e-04
100000009.16e-04
200000009.08e-04
LTCUSD
10001.19e-05
20001.20e-05
100001.19e-05
300001.21e-05
700001.19e-05
1000001.21e-05
6000001.22e-05
10000001.20e-05
30000001.19e-05
ZRXUSD
1004.77e-07
3002.98e-07
10001.07e-06
50001.25e-06
100001.13e-06
200008.34e-07
900001.01e-06
2000001.07e-06
5000001.13e-06
NEOUSD
40005.07e-07
90004.77e-07
400004.77e-07
1000004.77e-07
2000004.77e-07
5000005.36e-07
20000004.47e-07
60000005.66e-07
100000004.47e-07
OMGUSD
20006.33e-05
40006.40e-05
200006.40e-05
600006.37e-05
1000006.39e-05
2000006.38e-05
10000006.38e-05
30000006.38e-05
60000006.38e-05
BTCUSD
100002.31e-07
300001.94e-07
1000002.61e-07
5000002.24e-07
10000002.46e-07
20000002.01e-07
90000002.38e-07
200000001.71e-07
500000002.31e-07
IOTUSD
60004.35e-04
100004.56e-04
600004.84e-04
1000004.79e-04
3000004.73e-04
7000004.79e-04
30000004.81e-04
90000004.79e-04
100000004.79e-04
DSHUSD
10009.69e-08
20007.82e-08
100009.31e-08
400009.69e-08
800009.31e-08
1000009.31e-08
6000008.75e-08
10000009.50e-08
30000008.94e-08
ZILUSD
101.49e-08
402.98e-08
901.49e-08
1000.00e+00
7000.00e+00
20002.98e-08
40002.98e-08