Crypto Market Data: OHLCV, Weighted Prices, Trades, and Order Books
Summary
This overview explains several crypto market data types and their uses. OHLCV bars summarize opening, high, low, and closing prices alongside traded volume; the post connects OHLC data to candlestick chart analysis. It describes VWAP and TWAP as aggregated price measures and notes that traders may use them as reference levels or to schedule execution of large orders in smaller pieces. Tick-by-tick records capture individual trades, while order books show bids, asks, and quantities at price levels. Best bid and ask quotes help assess spreads and available liquidity.
The article also discusses applications for OTC desks, which use market volume and order-book information to assess liquidity and establish price benchmarks for large bilateral transactions. It distinguishes historical access from real-time feeds and outlines REST and WebSocket delivery. Its formulas use OHLC-derived approximations for VWAP and TWAP, so these measures may not match calculations based on individual trades or transaction-level volume. The piece is a broad data primer with provider-specific details; it presents no independent evaluation of data quality or trading results.
Key ideas
- OHLCV bars combine price range information with traded volume for a chosen interval.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.