Documentation

Docs

DepthFeed delivers historical order-book depth two ways: whole-day Parquet files for bulk backtests, and a REST API for market discovery and metadata. Here is the shape of both.

Authentication

Every request carries a bearer key: Authorization: Bearer df_live_…. Keys map to a plan (Explorer, Quant, or Desk) that sets your rate limit, history window, and asset access. Start free to get an Explorer key.

REST API

The API is for discovering markets and account metadata. Base path is /v3.

  • GET /v3/health — liveness check, no auth.
  • GET /v3/whoami — your plan, rate limit, and history window.
  • GET /v3/{coin}/markets?type=5m&limit=50 — list markets for a coin (btc, eth, sol, xrp, doge, bnb, hype), optionally filtered by market type.

Responses are JSON with a data array and a meta block carrying the result count and a request id. Every response includes X-RateLimit-Limit and X-RateLimit-Remaining headers.

Parquet schema

The full book ships as whole-day, zstd-compressed Parquet — one file per asset, market type, and day. Timestamps are epoch-millis.

Polymarket book

  • asset_id, condition_id, slug, market_type
  • exch_ts_ms, recv_ts_ms — exchange and receive time
  • bid_prices[], bid_sizes[], ask_prices[], ask_sizes[] — the full ladder, both sides

Kalshi book

  • ticker, series, base_asset, recv_ts_ms
  • yes_prices[], yes_sizes[], no_prices[], no_sizes[] — up to 100 levels per side

Rate limits

  • Explorer — 1 req/sec, 31-day history, BTC only.
  • Quant — 25 req/sec, 1,000 req/min, 60-day history, all assets, both venues.
  • Desk — 100 req/sec, 90-day history, dedicated infrastructure.

Questions? Get in touch— we're expanding the docs through early access.