Identity
| Column | Type | Meaning |
|---|---|---|
time | timestamp | Canonical row time |
bar_start_ts | timestamp | First trade in the bar |
bar_end_ts | timestamp | Last trade in the bar |
exchange | string | Canonical exchange |
product | string | Canonical product |
bar_type | string | Dollar, volume, tick, or imbalance |
threshold_key | string | Stable stored configuration key |
threshold | float | Closing threshold used for the bar |
bar_sequence | integer | Continuous sequence within the source run |
Prices and volume
| Column | Unit | Meaning |
|---|---|---|
open_price | quote | First trade price |
high_price | quote | Highest trade price |
low_price | quote | Lowest trade price |
close_price | quote | Last trade price |
coin_volume | coin | Total base quantity |
dollar_volume | USD/quote | Sum of price multiplied by quantity |
trade_count | trades | Number of aggTrade records |
buy_coin_volume | coin | Taker-buy base volume |
sell_coin_volume | coin | Taker-sell base volume |
vol_delta | coin | Buy volume minus sell volume |
Microstructure
| Column | Meaning |
|---|---|
vwap | Quantity-weighted average price |
vpin | Absolute buy/sell volume imbalance divided by total classified volume |
trade_entropy | Entropy of log-scaled trade quantities within the bar |
poc | Price level with the greatest summed quantity |
Provenance
| Column | Meaning |
|---|---|
source | Original trade source |
source_run_id | Historical or live materialization run |
provenance_type | Native backfill or live provenance classification |