Shrimpy supports one of the most robust systems for historical trade data and order book snapshots. By maintaining websockets with every exchange we support, Shrimpy is able to access the latest trade data and order book changes in real-time.
This information is then stored and provided to our developers through the historical data endpoints to be accessed at any time.
Note: The historical market data API is priced separately from the live market data APIs. We understand trading requires live market data. That means if you subscribe to the "Active Users" plans, you will have access to the live market data APIs.
A trade websocket sends the latest trades through their channel as the trades are being executed. This allows Shrimpy to maintain a copy of every trade which is executed on an exchange. Each trade is safely stored in our database to be retrieved at a later date.
Trade data supplies the individual trades which are being executed on an exchange. One trade data point is equivalent to exactly one trade on the exchange.
Order books for each asset on every exchange we support are maintained in real-time on Shrimpy using the exchange order book websocket. These order books are leveraged to execute trades at the appropriate prices without requiring us to send requests to each exchange to find the current available orders.
Every 1 minute, Shrimpy takes a snapshot of all order books we are actively maintaining. These snapshots are then stored in our database to be served through our historical data APIs at a later date.