Data integrity

— Last updated: 25 Aug 2019 12:14 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 1.91e-05 1.92e-05 1.92e-05 1.91e-05 1.92e-05 1.91e-05 1.91e-05 1.91e-05
ETHBTC 8.94e-08 1.04e-07 8.94e-08 1.19e-07 1.19e-07 8.94e-08 8.94e-08 8.94e-08
EOSUSD 3.62e-05 3.72e-05 3.62e-05 3.81e-05 3.62e-05 3.53e-05 3.53e-05 3.72e-05
DSHUSD 9.87e-08 9.69e-08 9.31e-08 9.31e-08 9.31e-08 9.31e-08 9.31e-08 9.50e-08
OMGUSD 6.41e-05 6.41e-05 6.41e-05 6.40e-05 6.41e-05 6.41e-05 6.41e-05 6.41e-05
XLMUSD 0.00e+00 2.38e-07 1.19e-07 0.00e+00 1.19e-07 1.19e-07 1.19e-07 0.00e+00
ZILUSD 1.49e-08 0.00e+00 1.49e-08 0.00e+00 0.00e+00 0.00e+00 0.00e+00 0.00e+00
XRPBTC 1.20e-04 1.28e-04 1.30e-04 1.32e-04 1.30e-04 1.30e-04 1.32e-04 1.32e-04
IOTUSD 4.79e-04 4.73e-04 4.79e-04 4.79e-04 4.73e-04 4.77e-04 4.77e-04 4.77e-04
XMRUSD 1.12e-08 7.45e-09 1.86e-08 1.12e-08 1.12e-08 1.12e-08 1.12e-08 1.49e-08
BTCUSD 2.61e-07 2.68e-07 2.91e-07 2.76e-07 2.83e-07 2.83e-07 2.83e-07 2.83e-07
LTCUSD 1.25e-05 1.25e-05 1.25e-05 1.25e-05 1.25e-05 1.25e-05 1.25e-05 1.25e-05
XRPUSD 9.16e-04 9.46e-04 9.23e-04 9.38e-04 9.46e-04 9.38e-04 9.38e-04 9.38e-04
ZECUSD 1.49e-08 1.68e-08 1.68e-08 2.05e-08 2.05e-08 1.68e-08 1.49e-08 1.68e-08
ZRXUSD 1.13e-06 1.13e-06 1.01e-06 1.01e-06 9.54e-07 1.01e-06 1.07e-06 1.07e-06
NEOUSD 4.77e-07 5.36e-07 5.36e-07 5.07e-07 5.36e-07 5.36e-07 5.36e-07 5.36e-07

Tick Bars

501002005001000
ETHUSD 1.90e-05 1.90e-05 1.90e-05 1.90e-05 1.88e-05
ETHBTC 7.45e-08 8.94e-08 8.94e-08 4.47e-08 1.04e-07
EOSUSD 4.48e-05 3.62e-05 3.81e-05 3.72e-05 3.91e-05
DSHUSD 9.69e-08 1.01e-07 9.87e-08 9.50e-08 9.31e-08
OMGUSD 6.41e-05 6.38e-05 6.38e-05 6.40e-05 6.39e-05
XLMUSD 4.77e-07 4.77e-07 4.77e-07 8.34e-07 4.77e-07
ZILUSD 1.49e-08 1.49e-08 0.00e+00 1.49e-08 1.49e-08
XRPBTC 1.32e-04 1.30e-04 1.34e-04 1.32e-04 1.34e-04
IOTUSD 4.71e-04 4.75e-04 4.79e-04 4.71e-04 4.77e-04
XMRUSD 0.00e+00 3.73e-09 1.49e-08 0.00e+00 7.45e-09
BTCUSD 3.43e-07 3.20e-07 3.05e-07 2.91e-07 3.58e-07
LTCUSD 1.23e-05 1.22e-05 1.19e-05 1.22e-05 1.22e-05
XRPUSD 9.31e-04 9.31e-04 9.23e-04 9.08e-04 9.31e-04
ZECUSD 9.31e-09 1.30e-08 2.42e-08 9.31e-09 1.68e-08
ZRXUSD 1.01e-06 1.31e-06 8.94e-07 1.19e-06 1.13e-06
NEOUSD 5.36e-07 5.07e-07 5.96e-07 5.36e-07 5.66e-07

Imbalance bars

Tick imbalance bars (TIB)Volume imbalance bars (VIB)Dollar imbalance bars (DIB)
100200400100200400100200400
ETHUSD 1.91e-05 1.90e-05 1.90e-05 1.91e-05 1.91e-05 1.90e-05 1.90e-05 1.90e-05 1.90e-05
ETHBTC 1.49e-07 1.34e-07 1.04e-07 1.49e-07 1.19e-07 1.19e-07 1.04e-07 1.04e-07 8.94e-08
EOSUSD 4.10e-05 4.01e-05 3.72e-05 3.91e-05 4.29e-05 4.20e-05 4.01e-05 4.01e-05 4.10e-05
DSHUSD 9.69e-08 9.69e-08 9.69e-08 8.75e-08 9.31e-08 9.13e-08 8.94e-08 8.75e-08 1.02e-07
OMGUSD 6.39e-05 6.40e-05 6.41e-05 6.43e-05 6.39e-05 6.40e-05 6.40e-05 6.40e-05 6.38e-05
XLMUSD 3.58e-07 4.77e-07 2.38e-07 4.77e-07 2.38e-07 2.38e-07 4.77e-07 3.58e-07 2.38e-07
ZILUSD 4.47e-08 2.98e-08 0.00e+00 1.49e-08 0.00e+00 1.49e-08 4.47e-08 2.98e-08 1.49e-08
XRPBTC 1.32e-04 1.30e-04 1.30e-04 1.28e-04 1.32e-04 1.26e-04 1.32e-04 1.30e-04 1.32e-04
IOTUSD 4.75e-04 4.77e-04 4.75e-04 4.79e-04 4.73e-04 4.69e-04 4.77e-04 4.79e-04 4.77e-04
XMRUSD 3.73e-09 1.49e-08 1.86e-08 1.49e-08 2.61e-08 1.49e-08 1.86e-08 1.12e-08 1.49e-08
BTCUSD 3.65e-07 2.98e-07 2.68e-07 3.43e-07 3.13e-07 2.83e-07 3.20e-07 2.53e-07 2.83e-07
LTCUSD 1.22e-05 1.21e-05 1.18e-05 1.25e-05 1.23e-05 1.22e-05 1.22e-05 1.22e-05 1.22e-05
XRPUSD 9.31e-04 9.31e-04 9.31e-04 9.31e-04 9.54e-04 9.31e-04 9.31e-04 9.31e-04 9.54e-04
ZECUSD 1.49e-08 2.05e-08 2.24e-08 1.49e-08 1.12e-08 1.12e-08 1.12e-08 1.30e-08 9.31e-09
ZRXUSD 9.54e-07 8.34e-07 1.19e-06 1.07e-06 1.01e-06 1.01e-06 1.07e-06 1.19e-06 1.79e-07
NEOUSD 4.77e-07 4.77e-07 5.07e-07 3.87e-07 4.47e-07 4.17e-07 3.87e-07 4.17e-07 4.17e-07

Volume bars

ETHUSD
1001.88e-05
6001.91e-05
10001.89e-05
30001.90e-05
70001.91e-05
300001.92e-05
900001.90e-05
1000001.93e-05
ETHBTC
401.64e-07
2001.19e-07
6001.04e-07
10001.19e-07
20001.34e-07
100001.49e-07
300001.04e-07
600001.04e-07
EOSUSD
40004.20e-05
200004.29e-05
700004.20e-05
1000004.10e-05
2000003.62e-05
10000003.62e-05
30000003.81e-05
70000004.29e-05
DSHUSD
109.31e-08
409.13e-08
1009.13e-08
2009.13e-08
5009.13e-08
20009.50e-08
60009.31e-08
100001.01e-07
OMGUSD
5006.39e-05
20006.39e-05
80006.41e-05
100006.44e-05
300006.39e-05
1000006.39e-05
4000006.40e-05
8000006.43e-05
XLMUSD
9001.19e-07
40001.19e-07
100004.77e-07
200002.38e-07
500003.58e-07
2000001.19e-07
6000005.96e-07
10000002.38e-07
ZILUSD
1001.49e-08
5001.49e-08
10000.00e+00
30002.98e-08
60002.98e-08
200000.00e+00
800000.00e+00
1000005.96e-08
XRPBTC
80001.37e-04
400001.28e-04
1000001.30e-04
2000001.28e-04
4000001.28e-04
10000001.28e-04
50000001.26e-04
100000001.30e-04
IOTUSD
100004.63e-04
600004.83e-04
1000004.69e-04
3000004.73e-04
7000004.73e-04
30000004.71e-04
90000004.73e-04
100000004.77e-04
XMRUSD
201.86e-08
1003.73e-09
3002.24e-08
6002.98e-08
10001.49e-08
40000.00e+00
100001.49e-08
200001.49e-08
BTCUSD
103.28e-07
803.13e-07
2002.76e-07
5003.35e-07
10003.05e-07
40003.05e-07
100003.20e-07
200002.91e-07
LTCUSD
801.20e-05
4001.25e-05
10001.24e-05
20001.24e-05
40001.20e-05
100001.21e-05
500001.19e-05
1000001.25e-05
XRPUSD
300009.31e-04
1000009.31e-04
5000009.08e-04
10000009.38e-04
20000009.46e-04
80000009.38e-04
200000009.38e-04
500000009.38e-04
ZECUSD
105.59e-09
505.59e-09
1001.86e-08
3003.73e-09
6001.86e-08
20001.30e-08
70002.24e-08
100001.30e-08
ZRXUSD
4008.94e-07
20001.13e-06
70001.07e-06
100009.54e-07
200001.07e-06
1000001.13e-06
3000009.54e-07
7000009.54e-07
NEOUSD
2005.07e-07
10004.77e-07
30005.36e-07
60005.36e-07
100004.77e-07
500005.07e-07
1000005.36e-07
3000004.77e-07

Dollar bars

ETHUSD
100001.91e-05
300001.89e-05
1000001.92e-05
4000001.92e-05
9000001.91e-05
10000001.91e-05
70000001.91e-05
200000001.90e-05
400000001.90e-05
EOSUSD
100003.53e-05
200004.10e-05
1000003.81e-05
4000004.01e-05
8000003.81e-05
10000003.81e-05
60000003.91e-05
200000003.91e-05
400000003.91e-05
DSHUSD
10009.87e-08
20008.38e-08
100009.50e-08
400001.01e-07
800009.69e-08
1000009.31e-08
6000009.31e-08
10000009.69e-08
30000009.50e-08
OMGUSD
20006.33e-05
40006.41e-05
200006.43e-05
600006.40e-05
1000006.40e-05
2000006.40e-05
10000006.39e-05
30000006.39e-05
60000006.40e-05
XLMUSD
901.19e-07
1002.38e-07
9001.19e-07
20001.19e-07
50002.38e-07
100001.19e-07
400003.58e-07
1000000.00e+00
2000002.38e-07
IOTUSD
60004.35e-04
100004.54e-04
600004.84e-04
1000004.77e-04
3000004.73e-04
7000004.75e-04
30000004.83e-04
90000004.77e-04
100000004.77e-04
XMRUSD
10001.86e-08
20002.24e-08
100001.12e-08
300002.61e-08
600001.86e-08
1000001.86e-08
5000001.49e-08
10000002.61e-08
30000001.86e-08
BTCUSD
100003.05e-07
300002.68e-07
1000003.28e-07
5000002.91e-07
10000003.05e-07
20000002.68e-07
90000003.05e-07
200000002.46e-07
500000002.98e-07
LTCUSD
10001.20e-05
20001.22e-05
100001.20e-05
300001.22e-05
700001.19e-05
1000001.22e-05
6000001.23e-05
10000001.22e-05
30000001.20e-05
XRPUSD
90008.93e-04
100001.01e-03
900009.16e-04
2000009.38e-04
5000009.31e-04
10000009.00e-04
40000009.23e-04
100000009.31e-04
200000009.31e-04
ZECUSD
10003.73e-09
20005.59e-09
100001.68e-08
300001.30e-08
600001.86e-08
1000001.86e-08
5000007.45e-09
10000002.05e-08
30000001.49e-08
ZRXUSD
1003.58e-07
3002.38e-07
10009.54e-07
50001.19e-06
100001.07e-06
200007.75e-07
900001.13e-06
2000001.01e-06
5000001.13e-06
NEOUSD
40004.77e-07
90004.47e-07
400004.77e-07
1000005.07e-07
2000004.47e-07
5000005.66e-07
20000005.07e-07
60000005.66e-07
100000004.77e-07
ZILUSD
101.49e-08
401.49e-08
900.00e+00
1001.49e-08
7001.49e-08
20004.47e-08
40001.49e-08