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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.

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Method signature

bbo(source, market, from_, to, limit=1000)

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Parameters

ParameterTypeRequiredNotes
sourcestrYesSource ID
marketstrYesNormalized market or instrument ID
from_str/datetime/date/intYesInclusive start time (ISO 8601, datetime, date, or epoch microseconds)
tostr/datetime/date/intYesExclusive end time (same formats as from_)
limitintNoPage size (default: 1000)
Note: API key required for historical ranges. Set POLARIS_API_KEY environment variable or pass api_key to PolarisClient().

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Return value

List of best bid/offer quote series rows.

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Example response

[
    {
        'timestamp': 1704067200000000,
        'venue': 'binance',
        'symbol': 'BTC-USDT',
        'bid_price': 43250.00,
        'bid_quantity': 1.5,
        'ask_price': 43250.50,
        'ask_quantity': 1.2
    }
]

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Fields

BBO records include:
  • timestamp: quote time in UTC microseconds since the Unix epoch
  • venue: exchange identifier
  • symbol: normalized instrument 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.

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Example

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

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

with PolarisClient() as client:
    quotes = client.bbo(
        source="binance",
        market="BTC-USDT",
        from_=start,
        to=end,
    )

print(quotes[:2])

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How it works

client.bbo() uses snapshot-first replay: it queries the /snapshots endpoint for historical data and reads from local cached files when available. The SDK extracts the top levels from order book snapshots to provide best bid/offer data. For more details on snapshot-based queries, see Snapshots.