Historical Data

CryptoStruct records market data for every instrument and trading day across every supported market. The recorded files are compressed with zstd (https://github.com/facebook/zstd). Contact CryptoStruct to obtain access.

---

Decompression

• Tools. Prebuilt zstd decompression utilities are available for every major platform.

• Streaming decompression. Most languages have a zstd library that decompresses on the fly, so large files don't have to be expanded to disk before reading.

---

File format

After decompression, each file is a plain text file:

• One line per market-data event (order-book update, trade, etc.).
• The first line carries master data for the instrument and its related underlyings.

---

Event format

Each event is encoded as documented in Protocol, in JSON.