What is in the archive?
How the BTC Up/Down order-book dataset is collected, organized, joined, and split between 5-minute and 15-minute markets.
Collection pipeline
CLOB WebSocket → local order book → event-driven JSONL → hourly Parquet → daily ZIP
Each market window is represented by event_slug. Both intervals share the same model; duration changes from 300 to 900 seconds.
Data layers
Raw JSONL
Closest to collection time; useful for audits.
Hourly Parquet
Columnar files for filtering and joins.
Daily ZIP
Convenient distribution unit for one day.
Joining records
Use event_slug + ts as the primary time-context pair. Do not join rows only by wall-clock time.
Timing: ticks are event-driven best-quote changes, not fixed-frequency samples.
5m versus 15m
| Dimension | 5-minute | 15-minute |
|---|---|---|
| Window | 300 seconds | 900 seconds |
| Focus | Short-horizon quote response | Longer intrawindow liquidity |
| Schema | Same fields and order-book representation | |
Download
Daily ZIPs, hourly Parquet, and discovery records are posted in the Telegram archive ↗.