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I am looking for per-second (or any time interval less than one day) bitcoin data for bitcoin price and volume on any given exchange. Do you know where I can find this sort of data? Have found Coinbase's price data for every 10 minutes which is good, but can't find any associated volume data.

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Your best bet is probably to utilise the various exchange APIs to log the data in your own database.

NB: I don't think Coinbase provide volume info publicly.

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