dYdX

Once a data agreement with dYdX is in place, we capture dYdX independently from two regions and merge the two streams by venue sequence number, as we do for every venue. Production capture starts at least 90 days before early access, so depth history covers three months or more on day one.

Venue type

On-chain perpetuals exchange

Funding interval

Every hour (interval_s = 3600)

Integrity

Venue sequence numbers, and book checksums where the feed includes them, verified at capture

Snapshots

A full-depth book snapshot at the top of every UTC hour (the 00:00 snapshot opens each daily file), plus the venue's own snapshots on reconnect, flagged with is_snapshot and snapshot_reason

Timestamps

Milliseconds (block time) in ts_exchange. ts_capture is int64 nanoseconds from a PTP-disciplined clock.

Regions

Two independent regions, assigned once the data agreement is in place

Participant id

Subaccount (address plus subaccount number), if the data agreement includes participant-level data

dYdX names markets BTC-USD; they are USDC-margined perpetuals. The single linear contract per asset resolves to BTC-PERP, with BTC-USDC-PERP as an alias. The full rules are in symbology.

• Fills and liquidations are attributed to the subaccount that made them.
• Funding premium samples are kept in funding next to the settled rate.
• Block height plus the event's index inside the block gives each event its seq.

Extended fields are computed on ts_capture and published on a 100 ms grid. A field is available on a venue when its source data is.

The same calls work on every venue; only venue and symbol change. Endpoints go live with Phase 1, and the v1 spec is a draft until then.

from fdc import Client

fdc = Client(api_key="fdc_live_...")

# L4 order events with participant ids
book = fdc.book(
    venue="dydx",
    symbol="BTC-PERP",
    depth="L4",
    start="2029-06-04",
    end="2029-06-04T01:00:00",
)
df = book.to_polars()

# funding at every settlement, then live
funding = fdc.funding(venue="dydx", symbol="BTC-PERP",
                      start="2029-06-04", live=True)

curl -H "Authorization: Bearer fdc_live_..." \
  "https://api.financedatacloud.com/v1/book/l4?venue=dydx&symbol=BTC-PERP&start=2029-06-04T00:00:00Z&end=2029-06-04T00:05:00Z"

{"op":"subscribe","channel":"book_l4","venue":"dydx","symbol":"BTC-PERP"}

aws s3 cp \
  s3://fdc-archive/book_l4/venue=dydx/date=2029-06-04/BTC-PERP.parquet .