derived
CVD, large-trade share, $50k/$200k slippage estimate, realised volatility · premium · 2026-08-01 — 2026-08-28 (28 days)
Schema
| Column | Type | Meaning |
|---|---|---|
| timestamp_ms | BIGINT | Computation time, ms UTC (every 10 minutes). |
| symbol | VARCHAR | Instrument. |
| cvd | DOUBLE | Cumulative volume delta over the window. |
| large_trades_pct | DOUBLE | Share of volume from trades above the large-trade threshold, %. |
| obi_top1 | DOUBLE | Latest order-book imbalance. |
| obi_top5 | DOUBLE | Recency-weighted imbalance over the last 50 book states. |
| slip_50k_bps | DOUBLE | Estimated slippage to fill $50 000 market order, bps. |
| slip_200k_bps | DOUBLE | Estimated slippage to fill $200 000, bps. |
| tick_rate | DOUBLE | Trades per second over the window. |
| realized_vol_1m | DOUBLE | Realised volatility from 1-minute returns. |
| oi_delta_5m | DOUBLE | Open-interest change over 5 minutes. |
| oi_delta_15m | DOUBLE | Open-interest change over 15 minutes. |
| liq_long_1m | DOUBLE | Long liquidations in the last minute (currently not collected — always 0). |
| liq_short_1m | DOUBLE | Short liquidations in the last minute (currently not collected — always 0). |
Conventions shared by all streams — UTC
milliseconds, integer prices, what side means where, how gaps are
marked and how to rebuild the book — are in the
data dictionary. The same text is
returned by GET /v1/schema/derived and the MCP tool
get_schema.
Sample rows (demo hour)
| timestamp_ms | symbol | cvd | large_trades_pct | obi_top1 | obi_top5 | slip_50k_bps | slip_200k_bps | tick_rate | realized_vol_1m | oi_delta_5m | oi_delta_15m | liq_long_1m | liq_short_1m |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1787011223681 | BTC/USDT | 1095.92 | 0.0029 | -0.0623 | -0.1309 | 2534.3 | 10137.2 | 9.0 | 0.002768 | -134.56 | 0.0 | 0.0 | 0.0 |
| 1787011223681 | ETH/USDT | -123.07 | 0.0 | 0.4359 | 0.0392 | 1915.74 | 7662.94 | 2.6 | 0.002285 | 208.84 | 0.0 | 0.0 | 0.0 |
| 1787011223681 | SOL/USDT | -87558.92 | 0.0 | -0.1028 | -0.0643 | 606.08 | 2424.3 | 1.2 | 0.065569 | -2863.7 | 0.0 | 0.0 | 0.0 |
Work with this stream in the SQL console and the backtest runner — the data stays with us, the results go to you. Get access