OKX

Once a data agreement with OKX is in place, we capture OKX independently from two regions and merge the two streams by venue sequence number, as we do for every venue. Production capture starts at least 90 days before early access, so depth history covers three months or more on day one.

Venue type

Centralized exchange

Funding interval

8 hours

Integrity

Venue sequence numbers, and book checksums where the feed includes them, verified at capture

Snapshots

A full-depth book snapshot at the top of every UTC hour (the 00:00 snapshot opens each daily file), plus the venue's own snapshots on reconnect, flagged with is_snapshot and snapshot_reason

Timestamps

Milliseconds in ts_exchange. ts_capture is int64 nanoseconds from a PTP-disciplined clock.

Regions

Two independent regions, assigned once the data agreement is in place

OKX symbols already carry base, quote, expiry, strike and type, so the mapping is a reformat of the expiry date. The full rules are in symbology.

• funding keeps both the predicted rate stream and the settled rate.
• Contract sizes differ by instrument. size is in base-asset units; divide by contract_size from instruments to get contracts.
• Book checksum results are stored in checksum_ok on book_l2 rows.

Extended fields are computed on ts_capture and published on a 100 ms grid. A field is available on a venue when its source data is.

The same calls work on every venue; only venue and symbol change. Endpoints go live with Phase 1, and the v1 spec is a draft until then.

from fdc import Client

fdc = Client(api_key="fdc_live_...")

# L3 order events
book = fdc.book(
    venue="okx",
    symbol="BTC-PERP",
    depth="L3",
    start="2027-11-08",
    end="2027-11-08T01:00:00",
)
df = book.to_polars()

# funding at every settlement, then live
funding = fdc.funding(venue="okx", symbol="BTC-PERP",
                      start="2027-11-08", live=True)

curl -H "Authorization: Bearer fdc_live_..." \
  "https://api.financedatacloud.com/v1/book/l3?venue=okx&symbol=BTC-PERP&start=2027-11-08T00:00:00Z&end=2027-11-08T00:05:00Z"

{"op":"subscribe","channel":"book_l3","venue":"okx","symbol":"BTC-PERP"}

aws s3 cp \
  s3://fdc-archive/book_l3/venue=okx/date=2027-11-08/BTC-PERP.parquet .