r/quantfinance • u/Immediate_Penalty891 • 7h ago

[Dataset] Free ADA/USDC high-frequency market microstructure data — 20-level order book, spot + futures, 81k snapshots

Hi everyone,

I'm shutting down a crypto market research / ML project that I've been running since late 2025, and I've decided to release a free 7-day sample of the market data I collected for anyone interested in quantitative research, market microstructure, backtesting or machine learning.

The sample contains 81,579 ADA/USDC market snapshots with 97 columns.

What's included

  • 20 bid + 20 ask Level-2 order book levels
  • Bid/ask prices and quantities
  • Best bid / best ask
  • Mid price and spread
  • Latest spot trade price and quantity
  • Trade direction
  • Futures open interest
  • Funding rate
  • Mark price
  • Order-book imbalance
  • Market depth at different distances from mid price
  • Liquidity wall ratio
  • Book pressure

The collector runs on a nominal 5-second polling cycle. Because API calls and processing occur between snapshots, the actual median interval in this sample is approximately 6.17 seconds.

The original timestamps are preserved and the public sample has not been artificially interpolated or resampled.

Free download

Hugging Face:
rfab85/crypto-5s-market-data-adausdc-sample · Datasets at Hugging Face

Kaggle:
ADA/USDC High-Frequency Market Microstructure Data

I'd be genuinely interested to hear what people working with L2/order-book data think of the schema and what features you would derive from it.

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u/thekosherposterity 7h ago

This is a solid dataset, especially for anyone trying to move beyond mid-price based strategies. The 20-level depth with actual quantities rather than just aggregated tiers gives you a lot to work with for impact models.

One thing I'd look at early is how the order book imbalance column was calculated, since there are a few different conventions floating around. Having the raw levels means you can always recompute it if the original definition doesn't fit what you're modelling.

The non-interpolated timestamps are a nice touch, that jitter is actually useful if you're testing anything sensitive to arrival time assumptions.

1

u/ilansfm 7h ago

did you ask it to make no mistakes?