BBO

Use client.bbo() when you need top-of-book quote data for spread tracking and quote monitoring. This method returns the best bid and best offer prices and quantities.

Method signature

bbo(source, market, from_=None, to=None, interval=None, allow_gaps=False, changes_only=False, output="iterator", batch_size=65536)

Parameters

Parameter	Type	Required	Notes
source	str	Yes	Source ID
market	str	Yes	Normalized market or instrument ID
from_	str/datetime/date/int	No	Inclusive start time (ISO 8601, datetime, date, or epoch milliseconds)
to	str/datetime/date/int	No	Exclusive end time (same formats as from_)
interval	str	No	Emit the last quote in each non-empty aligned bucket: `100ms`, `1s`, `10s`, `1m`, `5m`, `15m`, or `1h`
allow_gaps	bool	No	Return covered rows and warn instead of failing on coverage gaps
changes_only	bool	No	Emit only when best price or quantity changes; default preserves one quote per valid book update
output	str	No	`iterator`, `batches`, or `dataframe`
batch_size	int	No	Maximum rows per Arrow batch; must be positive

Return value

A single-pass iterator of quote dictionaries by default, flat PyArrow batches with output="batches", or a Pandas DataFrame with output="dataframe".

Example response

[
    {
        'timestamp': 1704067200000,
        'source': 'hyperliquid',
        'market': 'BTC',
        'symbol': 'BTCUSD',
        'bid_price': 43250.00,
        'bid_quantity': 1.5,
        'ask_price': 43250.50,
        'ask_quantity': 1.2
    }
]

Fields

BBO records include:

timestamp: quote time in UTC milliseconds; columnar output is timezone-aware UTC
source: source identifier
market: normalized market ID
symbol: venue-native, human-friendly symbol
bid_price: best bid price
bid_quantity: quantity available at best bid
ask_price: best offer price
ask_quantity: quantity available at best offer

The bid-ask spread can be calculated as ask_price - bid_price.

Example

from datetime import datetime, timedelta, timezone
from itertools import islice
from polaris_data import PolarisClient

end = datetime.now(timezone.utc)
start = end - timedelta(hours=1)

with PolarisClient() as client:
    quotes = client.bbo(
        source="hyperliquid",
        market="BTC",
        from_=start,
        to=end,
    )
    print(list(islice(quotes, 2)))

How it works

client.bbo() updates an ordered native book without materializing complete books. Without an interval it emits after every valid two-sided book update. Set changes_only=True to suppress deep-book and true no-op updates that leave the best prices and quantities unchanged. With an interval it emits the last qualifying quote from each non-empty UTC-aligned bucket. See Snapshots for the data flow.

L2 snapshots if you need full order book depth
Depth metrics for derived liquidity metrics
Events if you need BBO updates mixed with other event types
Quickstart

Foundation

Trade & Price Data

Orderbook & Liquidity

Derivatives Data

Method signature

Parameters

Return value

Example response

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Example

How it works

​Method signature

​Parameters

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​Example response

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​Related documentation

Method signature

Parameters

Return value

Example response

Fields

Example

How it works

Related documentation