Shrimpy supports one of the most robust systems for historical tick-by-tick 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.
Trade data is received from each exchange through a live websocket connection. Once a new trade is received from the exchange, Shrimpy's infrastructure will automatically update the latest candlestick for the relevant trading pair and make the data available through the Shrimpy websockets.
Periodically, Shrimpy will run an automated system to archive all of this data in a way that it can be accessed by developers at a later date. 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 by developers through the historical trade endpoint.
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 trading pair are maintained in real-time on Shrimpy using the exchange order book websocket. These order books are critical for executing live trades on an exchange. A local copy of the live order book is kept on Shrimpy to prevent us from needing to send requests to the exchange for the order book data.
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.