How can I get historical delta for each price in bar?
For example I have ATOMUSDT with 1m period and I want to get data for this instrument for current day.
I took screenshot from Volfix and want to get with API something like this.
Thanks for any help!
You can take a look on https://data.binance.vision/
You can download any type of data from all pairs across Spot and Futures on that site.
I found solution.
Step by step:
- Download data from (for example) https://data.binance.vision/?prefix=data/futures/um/daily/aggTrades/ATOMUSDT/
- In this file there are “qty” and “is_buyer_maker”.
If “is_buyer_maker == false” → qty is buyer market volume else it is seller market volume.
- Delta = “buyer market volume” - “seller market volume”;