| --- |
| license: odc-by |
| pretty_name: "Ethereum DEX swap quotes, routing, and perpetual order-book depth" |
| tags: |
| - dex |
| - ethereum |
| - defi |
| - execution-cost |
| - slippage |
| - routing |
| - perpetual-futures |
| - order-book |
| - trading |
| - time-series |
| task_categories: |
| - time-series-forecasting |
| size_categories: |
| - 10K<n<100K |
| --- |
| |
| # Crypto execution costs |
|
|
| What it costs to trade, quoted at the moment someone would have traded. |
|
|
| Executed trades are on chain forever. Quotes for trades nobody placed are computed on demand and |
| kept by nobody, so they only exist if they were recorded when they were served. |
|
|
| ## Contents |
|
|
| | name | one row is | |
| |---|---| |
| | `e10_quote_benchmark` | one swap quote at a fixed size, with the provider fee separated out | |
| | `e16_dex_routes` | one leg of a route a router chose: venue, pool, amount, and how many venues the trade was split across | |
| | `e17_perp_depth` | one order book snapshot: spread, level counts, resting notional within fixed distances of mid | |
|
|
| ## Reading it |
|
|
| Quotes are what a provider served, which is not what you would necessarily have filled. Provider |
| fees are separated from price so that a fee policy is not mistaken for routing quality. |
|
|
| `e16_dex_routes` maps where routable liquidity sits rather than where volume went, and it |
| surfaces venues too small to appear in volume rankings. The split widens sharply with size: one |
| observation put the same pair through a single venue at small size and ten venues at large size. |
|
|
| `e17_perp_depth` stores book shape rather than raw ladders, as cumulative resting notional within |
| a band of mid. Where a spread is wider than a band, that band is correctly zero, which happens |
| often on thinner markets. |
|
|
| ## Before you build on this |
|
|
| - Not every provider answers every request. Refusals and rate-limit skips are written as explicit |
| error rows rather than omitted, so a provider that was unavailable is distinguishable from one |
| that had nothing to offer. Check the `error` column before treating absence as meaning. |
| - One provider is queried on a subset of pairs. Its coverage is deliberately narrower than the |
| others and should not be read as a market-wide view. |
| - Only some routers expose a leg breakdown. Rows from the others carry the venue name alone, |
| which is why `pool` and `swap_amount_raw` are frequently null. |
| - Depth rows are snapshots at the observation interval, not a tick-level book. A move that |
| reverses between observations is invisible. |
| - Depth covers a single venue, so it sizes that one book rather than the market. Treat it as |
| one participant's view; a second venue would be a control and there is not one here. |
|
|
| Partitions are parquet, one file per collection window, under `dataset/YYYY/MM/`. Every dataset here carries a FIXED 7-day sample WINDOW starting at its own first day of collection, together spanning 2026-08-25 to 2026-09-03, so you can check schema, coverage and quality before asking for more. It does not advance, so there is nothing to gain by re-downloading it. The full history is held privately, available on request. |
|
|
| ```python |
| from huggingface_hub import snapshot_download |
| import pandas as pd, glob |
| |
| path = snapshot_download("dataforge-labs/crypto-execution-costs", repo_type="dataset", |
| allow_patterns="e10_quote_benchmark/**") |
| df = pd.concat(map(pd.read_parquet, |
| glob.glob(f"{path}/e10_quote_benchmark/**/*.parquet", recursive=True))) |
| ``` |
|
|
| ## Coverage |
|
|
| `e0_run_manifest` lists every collection window with its poll counts and failure counts, and is |
| published in full rather than windowed. Gaps between windows are real, cannot be filled in |
| afterwards, and nothing here is interpolated. |
|
|
| ## License and contact |
|
|
| ODC-BY: use it freely, credit "DataForge (dataforge-labs)". Questions and requests for the full |
| history via the discussions tab. |
|
|
