Introduction

Kaiko provides live and historical institutional quality market data for digital assets. Our service retrieves and validates millions of trades, derivative data and order books each day from the world's leading cryptocurrency exchanges to deliver robust and reliable market data to financial institutions globally. To learn more the product suites of Kaiko, please visit Kaiko's Data Dictionary. It shows schemas, methodologies, data samples, and additional information about all product suites that we provide and the delivery channels they are accessible through.

This is the documentation for the v2 of our REST API and CSV files.

Kaiko currently provides two HTTP APIs:

Reference Data (Public)
Market Data (Authenticated)

In addition, Kaiko also offers a Stream product for real-time, low latency data:

Real-Time Stream SDK (Authenticated)

Change Log

2023-09-22

Added documentation for Wallet Data CSV files.
Added field and parameter blockchain for Liquidity Events and Liquidity Snapshots.
Added documentation for Blockchain Reference Data.

2023-09-18

Reference Data behavior Update - The "trade_end_timestamp" field will only be populated after 7 consecutive days of inactivity. Previously, this field would be populated after 1 day of inactivity.

2023-07-26

Mapping update: Change implemented to the code used for DMarket. Code changed to accomodate the actively trading Dream Machine Token.

DMarket: DMT → DMK
Dream Machine Token: - → DMT

2023-06-08

Mapping update: Changes implemented for BitMEX Perpetual Futures contracts. Instrument codes are no longer using "base_asset" - "quote_asset" convention for API codes. To differentiate between different Perpetual Future contract types, these should now be queried using the codes assigned by BitMEX

E.g. BTC-USD → XBTUSD

Added documentation for Robust Pair Price and Cross Price v2.

2023-06-06

Added the Australian Exchange, Independent Reserve's case of taker_side_sell and pulled off the Google Doc page of order book data while updating the contents

2023-05-31

Added documentation for CSV files of the following products: Order Book Snapshots, Derivatives Metrics, OHLCV candles, VWAP, Count-OHLCV-VWAP

2023-05-17

Mapping update: Changes implemented for the following Instruments

Toncoin: toncoin → ton
OKX: LUNA/BTC → OKX: LUNA2/BTC

2023-05-03

Added documentation for Top of Book CSV files

2023-04-24

Added documentation for Lending & Borrowing Rates and Liquidity

2023-04-11

Mapping update: Changes implemented for the following Instruments

METIS Dao:
- Gemini: MTS/USD → Gemini: METIS/USD
- Huobi: MTS/USDT → Huobi: METIS/USDT

2023-04-06

Mapping update: Changes implemented for the following Instruments

Polytrade: OKEX TRADE/USDT → OKEX POLYTRADE/USDT
METIS Dao:
- OKEX MTS/USDT → OKEX METIS/USDT
- COINBASE MTS/USDT → COINBASE METIS/USDT
GoMining Token: BITTREX GMT/USDT → BITTREX GOMININGTOKEN/USDT

2023-04-05

Implied Volatility Surface - Retrieve calibrated and interpolated implied volatilities from options market prices

2023-04-04

Updated the list of Tick-Level Order Book CSV files.
- Upbit
- Huobi Derivatives Market
- Crypto Facilities
- Bithumb
- Binance US

2023-03-30

Asset Metrics - Retrieve off-chain and on-chain metrics that help performing asset analysis.

2023-03-29

Mapping update: Changes implemented for the following Assets

Republic Protcol: REPUP → REN
Everest: ID → EVERID
- ID is now mapped to Space ID
PrimeDAO: PRIME → PRIMEDAO
- PRIME is now mapped to Prime Echelon
Lition: LIT → LITION
- LIT is now mapped to Litentry
AXL is now mapped to Axelar

2023-03-27

Mapping update: Changes implemented for the following Assets

Facebook : FB → FACEBOOK
- FB is now mapped to Fenerbahce
Orbitcoin : ORB → ORBITCOIN
- ORB is now mapped to Orbcity

2023-03-23

Mapping update: Changes implemented for the following Assets

Arbit : ARB → ARBIT
- ARB is now mapped to Arbitrum
SoloCoin : SOLO → SOLOC
- SOLO is now mapped to Sologenic

2023-02-21

Mapping update: Changes implemented for the following Assets

OHM : OHM → OHMV1
- OHM is now mapped to OHM V2

2023-02-06

OKX can now be included in Implied Volatility computations

2023-02-02

Cross Price - Extrapolation can be set to avoid missing values for low liquidity pairs

2023-01-26

Derivative Metrics (Price) - end_time became exclusive
Derivative Metrics (Risk) - vega added to the REST API responses

2023-01-16

Binance Options have been added to Derivative Metrics, Trade, and Order Book data

2023-01-12

CSV Files - Tick By Tick Order Book added to the doc

2022-06-03

Mapping update: Changes implemented for the following Assets

Polkadot : PDOT → DOT
Uniswap : UNISWAP → UNI
FTX Token : FTXT → FTT
LEO Token : LEOT → LEO
MCDEX : MCDEX → MCB
Mercurial : MERC → MER
Oxygen : OXYG → OXY
Merit Circle : MRC → MC
Mines of Dalarnia : DARA → DAR
Cybermiles : CYMI → CMT
FairGame : FAIRGAME → FAIR
Origin Sport : ORSP → ORS

2022-05-18

Mapping Update: FTXUSD deprecation

All USD quoted spot instruments trading on FTX (International) are mapped to have fiat USD (United States Dollar) as 'quote_asset'

2022-04-29

Derivatives API update: Derivatives API endpoint split into 3 endpoints, which are reference, risk, and price

2022-02-17

Mapping update

Bittrex SUSHI/BTC corrected from BTC/SUSHI

2022-02-15

Mapping update

Pax Dollar (asset) updated to use code USDP & USDP stablecoin: Unit Protocol (asset) updated to use code UUSDP

2022-01-06

Mapping update

SubGame (asset) code updated to use code SGBM & Songbird (asset) updated to use code SGB

2021-12-28

Mapping update

BitDAO (asset) code updated to use code BIT

2021-12-24

Quote Asset correction for FTX perpetual-future instruments

2021-12-20

Cross Price (Spot Exchange Rate) endpoint updated to support non-fiat currencies as 'quote_asset'

2021-12-10

Mapping update

Stox (asset) code changed from STX to STOX & Blockstack (asset) code changed from BSTX to STX

2021-12-08

Mapping update

Quote Asset correction for Bitfinex Tether quoted instruments

API Input

When interacting with Kaiko HTTP APIs, you are expected to pass two information in a header:

Accept: application/json: API responses will be in JSON format.
Accept-Encoding: gzip: All our endpoints benefit from use of compression.

curl --compressed -H 'Accept: application/json' 'https://<api_hostname>/<endpoint>'

Timestamp Input

All time parameters are in UTC and returned in the following ISO 8601 datetime format:

YYYY-MM-DDThh:mm:ss.sssZ

For example:

2017-12-17T13:35:24.351Z

The "T" separates the date from the time. The trailing "Z" indicates UTC time.

Exchange Code

We strive to use only one exchange code to cover all the instrument classes such as spot, futures and etc., but due to the legacy issues, we might use different exchange codes for one exchange. The following exchanges are the exchanges having more than one exchange codes for covering different instrument classes.

Exchange	Exchange code	Instrument Classes
Binance	binc	spot, future, perpetual future
Binance	bopt	option
Bybit	bbit	future, perpetual future, option
Bybit	bbsp	spot
Huobi	huob	spot
Huobi	hbdm	future, perpetual future, option
Kraken	krkn	spot
Kraken	crfl	future, perpetual future

Instrument Code

To access any detailed data such as trade, order book and etc, we need to provide an instrument code as an input for the REST API. Instruments follow a different naming conventions based on their instrument classes.

Spot

Spot names are normalized to have the same name format (base_asset-quote_asset) across exchanges. For instance, to access the data of Binance's spot btc/usdt, btc-usdt is the right instrument code.

Future

The instrument code for futures are not normalized. In other words, one should use the instrument names given by exchanges to download data of futures from Kaiko REST API endpoints. (e.g. Bitmex future: xbtu21, Binance future: btcusd220930)

Perpetual-future

Instruments of perpetual futures are normalized to have the same name format (base_asset-quote_asset) across exchanges. In other words, Deribit option: btc7oct2231000p)

The only exception of this rule is Kraken. For the legacy reasons, please use the exchange code crfl (Crypto Facilities) instead of krkn to access the derivatives data of Kraken. The instrument name normalization rule does not apply to Kraken's perpetual futures, so the instrument names given by exchanges should be used (e.g. Multi-Collateral BTC/USD perpetual future: pfxbtusd, Single-Collateral BTC/USD perpetual future: pixbtusd).

Option

The instrument code for options are not normalized. In other words, one should use the instrument names given by exchanges to download data of options from Kaiko REST API endpoints. (e.g. Deribit option: btc7oct2231000p)

API Output

"taker_side_sell" Explained

You can find this field in the Trade API endpoint

For Centralized Exchange(CEX) taker_side_sell takes the value of true when a taker's sell order fills a maker's buy order and false when a taker's buy order fills a maker's sell order.

For Decentralized Exchanges (DEX) using Automatic Market Maker (AMM) protocols, the liquidity pool contract is considered the maker. The entity executing a transaction against the liquidity pool is the taker.

If an exchange does not appear below, it can be assumed that all data we provide is normalized correctly. For exchanges where we were unable to confirm as reporting data from either a taker or a maker's perspective, we have included the notation mapping from the exchange's trade direction field to our taker_side_sell field. This is necessary so that researchers who want to further study trade direction can make their own conclusions. For exchanges that classify trade direction differently or exclude the field entirely, we also include the notation mapping and a short explanation for how their variable differs.

Furthermore, there are some trades of the Australian Exchange Independent Reserve, where we cannot decide if it is the taker buy or taker sell. As such, it is the only exchange that has 3 values, which are true, false and unknown, in the field taker_side_sell.

Finally, we have made a couple of errors in classifying exchanges as "maker" or "taker", typically early on in the process of developing taker_side_sell. Rather than switch our trade reporting after years of data collection, we have simply marked exchanges where the inverse of the notation stated should be applied. For these exchanges, researchers should be aware that when taker_side_sell: false, the inverse should be assumed.

To read an in-depth explanation of this variable, read our post here.

Unconfirmed, Misclassified or Absent Trade Direction Field

Exchange	Exchange Notation	Kaiko `taker_side_sell: true` equivalent to:	Comment
BTCBox	`"type":` `"buy" or "sell"`	inverse notation: `"type": "sell"`	Inverse, but confirmed perspective from exchange.
Liquid (Quoine)	`taker_side:` `"buy" or "sell"`	inverse notation: `taker_side: "buy"`	Inverse, but confirmed perspective from exchange.
Bithumb	`"type":` `"bid" or "ask"`	inverse notation: `"type": "bid"`	Inverse, but confirmed perspective from exchange.
Coinone	`"is_ask":` `"0"(if seller is taker)/"1"(if seller is maker)`	inverse notation: `"is_ask": "1"`	Inverse, confirmed from exchange but slightly different notation format
Bitstamp	`type:` `0 (buy) or 1 (sell)`	`type: 1`	Unconfirmed perspective from exchange
Bit-Z	`"s":` `"buy" or "sell"`	`"s": "sell"`	Unconfirmed perspective from exchange
EXX	`type":` `"buy" or "sell"`	`type: "sell"`	Unconfirmed perspective from exchange
CEX.io	`type:` `"buy" or "sell"`	`type: "sell"`	Unconfirmed perspective from exchange
Yobit	`"type":` `"bid" or "ask"`	`"type": "bid"`	Unconfirmed perspective from exchange
itBit	None	Always returns `true`	No buy/sell field
Korbit	None	Always returns `null`	No buy/sell field
Coinflex	None	Always returns `null`	No buy/sell field
Independent Reserve	`"Side":` `"Buy"` or `"Sell"`	`"Side": "Sell"`	Some trades have `"Unknown"`

Market Open and Close

Digital asset exchanges operate approximately 24x7x365. For daily aggregated data, the opening price is calculated as the first trade at or after 00:00:00 UTC. The closing price is calculated as the last trade prior to 00:00:00 UTC.

Timestamp Output

All timestamps are returned as millisecond Unix timestamps (the number of milliseconds elapsed since 1970-01-01 00:00:00.000 UTC). For metadata fields, times are also returned in millisecond-resolution ISO 8601 datetime strings in the same format as input for convenience.

Reference Data API

General

The base URL for the Reference Data Endpoints is: https://reference-data-api.kaiko.io/. Authentication is not required.

Assets

Request Example

curl --compressed -H 'Accept: application/json' 'https://reference-data-api.kaiko.io/v1/assets'

Response Example

{
  "result": "success",
  "data": [
    {
      "code": "btc",
      "name": "Bitcoin",
      "asset_class": "cryptocurrency",
      "asset_classes": [
        "cryptocurrency"
      ]
    },
    {
      "code": "bch",
      "name": "Bitcoin Cash",
      "asset_class": "cryptocurrency",
      "asset_classes": [
        "cryptocurrency"
      ]
    },
    {
      "code": "jpy",
      "name": "Japanese Yen",
      "asset_class": "fiat",
      "asset_classes": [
        "fiat"
      ]
    },
    /* ... */
  ]
}

This endpoint retrieves a list of supported assets.

HTTP request

GET https://reference-data-api.kaiko.io/v1/assets

Parameters

No parameters supported.

Fields

Field	Description
`asset_class`	The asset's primary asset class
`asset_classes`	The asset's secondary asset classes
`code`	Kaiko identifier for the asset.
`name`	The asset name

Exchanges

Request Example

curl --compressed -H 'Accept: application/json' 'https://reference-data-api.kaiko.io/v1/exchanges'

Response Example


{
  "result": "success",
  "data": [
    {
      "code": "bfly",
      "name": "bitFlyer",
      "kaiko_legacy_slug": "bl"
    },
    {
      "code": "bfnx",
      "name": "Bitfinex",
      "kaiko_legacy_slug": "bf"
    }
    /* ... */
  ]
}

This endpoint retrieves a list of supported exchanges.

HTTP request

GET https://reference-data-api.kaiko.io/v1/exchanges

Parameters

No parameters supported.

Fields

Field	Description
`code`	Kaiko identifier for the exchange.
`kaiko_legacy_slug`	Identifier used in delivery of aggregated data.
`name`	The exchange name.

Instruments

Request Example

curl --compressed -H 'Accept: application/json' 'https://reference-data-api.kaiko.io/v1/instruments'

Response Example

{
  "result": "success",
  "data": [
    {
      "kaiko_legacy_exchange_slug": "bf",
      "trade_start_time": "2017-08-09T23:36:33.0000000Z",
      "trade_end_time": null,
      "code": "xmr-btc",
      "exchange_code": "bfnx",
      "exchange_pair_code": "XMRBTC",
      "base_asset": "xmr",
      "quote_asset": "btc",
      "kaiko_legacy_symbol": "xmrbtc",
      "class": "spot",
      "trade_start_timestamp": 1502321793000,
      "trade_end_timestamp": null,
      "trade_count": 2439870,
      "trade_compressed_size": 35037071
    },
    {
      "kaiko_legacy_exchange_slug": "kk",
      "trade_start_time": "2017-08-08T20:10:04.0000000Z",
      "trade_end_time": null,
      "code": "gno-eth",
      "exchange_code": "krkn",
      "exchange_pair_code": "GNOETH",
      "base_asset": "gno",
      "quote_asset": "eth",
      "kaiko_legacy_symbol": "gnoeth",
      "class": "spot",
      "trade_start_timestamp": 1502223004345,
      "trade_end_timestamp": null,
      "trade_count": 380822,
      "trade_compressed_size": 21119034
    },
    /* ... */
  ]
}

This endpoint retrieves a list of supported instruments. There are three possible cases regarding the trading period:

Trading has started and new trading activity is still being consumed (start time fields will be set, but end time fields will be null)
Trading has been recorded but no recent activity has been seen (both start and end time fields are set)
No trading has been registered yet (both start and end time fields are null)

HTTP request

GET https://reference-data-api.kaiko.io/v1/instruments

Parameters

Parameter	Required	Description
`exchange_code`	No	Exchange `code`. See Exchanges Reference Data Endpoint.
`base_asset`	No	The desired base asset `code`. See Instruments Reference Data Endpoint.
`quote_asset`	No	The desired quote asset `code`. See Instruments Reference Data Endpoint.
`code`	No	Kaiko identifier for the instrument. Always `base_asset-quote_asset` for `spot` instruments.
`kaiko_legacy_symbol`	No	Kaiko legacy instrument symbol.
`class`	No	`spot`, `future`, `perpetual-future`,...
`base_asset_class`	No	Base asset `class`. See Instruments Reference Data Endpoint.
`quote_asset_class`	No	Quote asset `class`. See Instruments Reference Data Endpoint.
`trade_start_timestamp`	No	Starting time in ISO 8601 (inclusive).
`trade_end_timestamp`	No	Ending time in ISO 8601 (inclusive). Can also use "ongoing" to get ongoing instruments.
`trade_count_min`	No	Minimum number of trades.
`trade_count_max`	No	Maximum number of trades.
`with_list_pools`	No	`true` or `false`. For pairs traded on DEXs, provides the list of underlying pools to each instrument.
`continuation_token`	No	See Pagination.
`page_size`	No	Maximum number of records to return in one response
`orderBy`	No	Order results by a specifit field. See below for all possible values.
`order`	No	Return the data in ascending (1) or descending (-1) order

Possible values for orderBy: exchange_code, class, kaiko_legacy_symbol, trade_start_timestamp, trade_end_timestamp, trade_count, base_asset, quote_asset, code, trade_count_min, trade_count_max

All parameters, except for trade_count_min/max, trade_start/end_timestamp can be repeated in the URL to filter on all those value For example to get instruments for coinbase & deribit : /instruments?exchange_code=cbse&exchange_code=drbt

Fields

Field	Description
`base_asset`¹	Base asset.
`class`	`spot`, `future`, `perpetual-future`,...
`code`²	Kaiko identifier for the instrument. Always `base_asset-quote_asset` for `spot` instruments.
`exchange_code`	Exchange `code`.
`exchange_pair_code`²	Identifier for the instrument used by the exchange.
`kaiko_legacy_exchange_slug`	Exchange `kaiko_legacy_slug`.
`kaiko_legacy_symbol`	Identifier used in past deliveries of historical market data and Data Feed.
`quote_asset`¹	Quote asset.
`trade_start_time`	Time of first available trade in Kaiko's data set.
`trade_start_timestamp`	Timestamp of first available trade in Kaiko's data set.
`trade_end_time`	Time of last available trade in Kaiko's data set. `null` if instrument is still active
`trade_end_timestamp`	Timestamp of last available trade in Kaiko's data set. `null` if instrument is still active
`trade_count`	Total number of trades available through Kaiko Market Data API and Data Feed. For active pairs, this is an approximation.
`trade_compressed_size`	Approximate size in bytes of all available trades in Kaiko Data Feed.
`list_pools`	The list of the underlying pools to each instrument. (Only when arg `with_list_pools=true` is provided).

*¹: Some exchanges may refer to base and quote currencies differently. Kaiko denotes prices in units of quote and volume in units of base, as reported by exchanges. * *²: Some exchanges reverse the ordering of base/quote in their codes. *

Pools

Request Example

curl --compressed -H 'Accept: application/json' 'https://reference-data-api.kaiko.io/v1/pools'

Response Example

{
  "result":"success",
  "data":[
    {"address":"0x52ea46506b9cc5ef470c5bf89f17dc28bb35d85c",
      "name":"usdt",
      "protocol":"curv",
      "type":"base pool",
      "fee":"0.0004",
      "tokens":[
        {"address":"0x5d3a536e4d6dbd6114cc1ead35777bab948e3643","symbol":"cDAI","decimals":"8"},
        {"address":"0x39aa39c021dfbae8fac545936693ac917d5e7563","symbol":"cUSDC","decimals":"8"},
        {"address":"0xdac17f958d2ee523a2206206994597c13d831ec7","symbol":"USDT","decimals":"6"}
      ],
      "underlyingTokens":[
        {"address":"0x6b175474e89094c44da98b954eedeac495271d0f","symbol":"DAI","decimals":"18"},
        {"address":"0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48","symbol":"USDC","decimals":"6"},
        {"address":"0xdac17f958d2ee523a2206206994597c13d831ec7","symbol":"USDT","decimals":"6"}
      ]
    },
    /* ... */
  ]
}

This endpoint retrieves a list of supported pools. The caracteristics of each pool differs depending on the protocol.

HTTP request

GET https://reference-data-api.kaiko.io/v1/pools

Parameters

Parameter	Required	Description
`address`	No	The pool's contract address.
`protocol`	No	The pool's protocol.
`type`	No	The pool's type. ex: Curve meta pool, Curve base pool, etc.
`fee`	No	The trading fees on this pool.
`tokens`	No	Filter on one or several tokens in the pool.
`underlying_tokens`	No	Filter on one or several tokens in the pool. Specific to Curve.

Fields

Field	Description
`address`	The pool's contract address.
`name`	The pool's name as it is specified on-chain.
`protocol`	The pool's protocol. ex:`usp2`,`usp3`, `curv`, `blcr`
`type`	The pool's type. ex: Curve meta pool, Curve base pool, etc.
`fee`	The trading fees on this pool.
`tokens`	The pool's tokens.
`underlyingTokens`	The underlying tokens in the pool. Specific to Curve.
`tickSpacing`	The pool's tick spacing. Specific to Uniswap v3.
`weights`	The weights of the different tokens in the pool. Specific to Balancer.

Blockchains

Request Example

curl --compressed -H 'Accept: application/json' 'https://reference-data-api.kaiko.io/v1/blockchains'

Response Example

{
    "result":"success",
    "count": 10,
    "data":
    [
        {"id":1,"name":"ethereum","is_evm":true},
        {"id":2,"name":"bsc","is_evm":true},
        {"id":3,"name":"polygon","is_evm":true},
        {"id":4,"name":"arbitrum","is_evm":true},
        {"id":5,"name":"avalanche","is_evm":true},
        /* ... */
    ]
}

This endpoint retrieves the list of supported blockchains.

HTTP request

GET https://reference-data-api.kaiko.io/v1/blockchains

Fields

Field	Description
`id`	The blockchain's id in our reference data.
`name`	The blockchain's name in our reference data.
`is_evm`	If the blockchain is EVM-Compatible or not.

Market Data API

General

Base endpoints

The base URL for the Market Data Endpoints is regionalized. We are currently offering endpoints in the US and in Europe:

https://us.market-api.kaiko.io/
https://eu.market-api.kaiko.io/

Usage

Authentication

Request Syntax

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://<api_hostname>/<endpoint>'

Each API lives under its own hostname. Clients must include an API key in the header of every request they make. The format is as follows:

X-Api-Key: <client-api-key>

Data versioning

Kaiko takes transparency and accountability very seriously. Therefore, our provided datasets are versioned. Dataset versioning is orthogonal to API versioning. Any potential breaking changes in results (e.g. semantical changes or corrections of historically incorrect data) will result in a new dataset version - no corrections or adjustments will be done in the dark. Addition of new data will not result in a new dataset version. Data is versioned on a per-base-data level.

The versioning is selected by selecting a base data set and a version. All current Market Data API endpoints take the commodity and data_version parameters.

By setting this to latest, you will get the most recent version. The returned version is always included in the query field and can be referred to if you would ever need to compare results, should we ever need to adjust historical data. Paginating over a request with version set to latest will preserve the current version across subsequent pagination requests.

We recommend using the most current version explicitly in production integrations as the latest label might move at any time to a breaking change. For the trades and order_book_snapshots commodities the latest version is currently v1

Response Example

{
  "timestamp": 1540474596175,
  "trade_id": "68024786",
  "price": "6559.84000000",
  "amount": "0.00646600",
  "taker_side_sell": true
}

Envelope

Response Example

{
  "result": "success",
  "time": "2018-06-14T17:19:40.303Z",
  "timestamp": 1528996780303,
  "query": { /* ... */ },
  "data": [ /* ... */ ],
  "access": {
    "access_range": {
      "start_timestamp": 1546300800000,
      "end_timestamp": 1577836800000
    },
    "data_range": {
      "start_timestamp": 1356998400000,
      "end_timestamp": 1577836800000
    }
  }
}

All API responses are in JSON format. A result field, with a value of success or error is returned with each request. In the event of an error, a message field will provide an error message.

An access object is also echoed back. It contains two ranges of timestamps:

access_range: The time range for which the Client has access to the API
data_range : The time range of data the Client is authorized to access

Key	Data type	Description
`access`	`{}`	Time ranges of accesses.
`data`	`[] \| {}`	Response result data.
`message`	`string`	Error message, if query was not successful.
`query`	`{}`	All handled query parameters echoed back.
`result`	`string`	`success` if query successful, `error` otherwise.
`time`	`string`	The current time at our endpoint.
`timestamp`	`long`	The current time at our endpoint.

Pagination

Pagination Example

{
  "result": "success",
  "time": "2018-06-14T17:19:40.303Z",
  "timestamp": 1528996780303,
  "query": {...},
  "data": [...],
  "continuation_token": "ab25lIG1vcmUgYmVlciBpcyBvbmUgbW9yZSBiZWVyIHRvbyBtYW55",
  "next_url": "https://<eu|us>.market-api.kaiko.io/v2/data/trades.v1/exchanges/bfnx/spot/btc-usd/trades?continuation_token=ab25lIG1vcmUgYmVlciBpcyBvbmUgbW9yZSBiZWVyIHRvbyBtYW55",
  "access": {...}
}

For queries that result in a larger dataset than can be returned in a single response, a continuation_token field is included. Calling the same endpoint again with the continuation_token query parameter added will return the next result page. For convenience, a next_url field is also included, containing a URL that can be called directly to get the next page. Paginated endpoints also takes a page_size parameter that specifies the maximum number of items that should be included in each response. Only the first call should include page_size, all subsequent calls should only use continuation_token. Paginating over a request with version set to latest will preserve the current version across subsequent pagination requests.

Parameters

Parameter	Required	Description
`continuation_token`	No
`page_size`	No	Maximum number of records to return in one response

Errors

All API responses are in JSON format. A result field, with a value of success or error is returned with each request. In the event of an error, a message field will provide an error message.

HTTP error codes

The Kaiko platform API uses the following error codes:

Error Code	Meaning
400	Bad Request
401	Unauthorized -- You are not authenticated properly. See Authentication.
403	Forbidden -- You don't have access to the requested resource.
404	Not Found
405	Method Not Allowed
406	Not Acceptable
429	Too Many Requests

500	Internal Server Error -- We had a problem with our service. Try again later.
503	Service Unavailable -- We're temporarily offline for maintenance.

Trade data

Real-time & Historical Trade Data

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/bfnx/spot/btc-usd/trades'

Response Example

{
    "query": {
        "page_size": 100,
        "exchange": "bfnx",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "sort": "desc",
        "data_version": "v1",
        "commodity": "trades",
        "request_time": "2020-11-12T16:33:20.575Z"
    },
    "time": "2020-11-12T16:33:20.869Z",
    "timestamp": 1605198800869,
    "data": [
        {
            "timestamp": 1605198775855,
            "trade_id": "522419198",
            "price": "16026",
            "amount": "0.025",
            "taker_side_sell": true
        },
        {
            "timestamp": 1605198775031,
            "trade_id": "522419197",
            "price": "16026",
            "amount": "0.01",
            "taker_side_sell": true
        },
  /* ... */
  ],
  "result": "success",
  "continuation_token": "rbd28vrmb1cwaxfykuJBKAABhNi1Bfv1EY55P3QPSnYnm8VuX1LqLhA2d3yVfYgMKtfBYxJg7sHrkTfkQGysW23Lm9Lp9rsVpVk2Esmgz9VQZvNE4xWN8hh3LgLrCa7ty4B3YGCwtH",
  "next_url": "https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/bfnx/spot/btc-usd/trades?continuation_token=rbd28vrmb1cwaxfykuJBKAABhNi1Bfv1EY55P3QPSnYnm8VuX1LqLhA2d3yVfYgMKtfBYxJg7sHrkTfkQGysW23Lm9Lp9rsVpVk2Esmgz9VQZvNE4xWN8hh3LgLrCa7ty4B3YGCwtH",
  "access": {
    "access_range": {
      "start_timestamp": null,
      "end_timestamp": null
    },
    "data_range": {
      "start_timestamp": null,
      "end_timestamp": null
    }
  }
}

This endpoint retrieves trades for an instrument on a specific exchange. Trades are sorted by time, in a descendingly order unless it is specified otherwise. Note that taker_side_sell can be null in the cases where this information was not available at collection.

HTTP request

GET https://{region}.market-api.kaiko.io/v2/data/trades.v1/exchanges/{exchange}/{instrument_class}/{instrument}/trades{?start_time,end_time,page_size,continuation_token}

Parameters

Parameter	Required	Description	Example
`region`	Yes	Choose between `eu` and `us`. No difference yet.	`eu`
`exchange`¹	Yes	Exchange `code`. See Exchanges Reference Data Endpoint.	`okex`
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`start_time`²	No	Starting time in ISO 8601 (inclusive).
`end_time`²	No	Ending time in ISO 8601 (exclusive).
`page_size`²	No	See Pagination (min: 1, default: 100, max: 100000).
`continuation_token`	No	See Pagination.

Fields

Field	Description
`timestamp`	The timestamp provided by the exchange or the collection timestamp in Unix Timestamp (in milliseconds)
`trade_id`	Unique trade ID (unique to the exchange). In case the exchange does not provide an ID, we generate it ourselves.
`price`	Price displayed in quote currency.
`amount`	Quantity of asset bought or sold (can be in base_asset, quote_asset or the number of contracts).
`taker_side_sell`	See Taker Side Sell

¹: This endpoint serves both data from centralized as well as decentralized exchanges. ²: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.

Order Book data

Order Book Snapshots: Full

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/snapshots/full?slippage=100000&page_size=10&limit_orders=2&slippage_ref=best'

Response Example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "slippage": 100000,
        "limit_orders": 2,
        "slippage_ref": "best",
        "sort": "desc",
        "metric": "full",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:10:06.320Z"
    },
    "time": "2020-05-26T14:10:06.418Z",
    "timestamp": 1590502206418,
    "data": [
        {
            "poll_timestamp": 1590502155757,
            "poll_date": "2020-05-26T14:09:15.757Z",
            "timestamp": null,
            "bid_volume0_1": "46.595",
            "bid_volume0_2": "110.570",
            "bid_volume0_3": "167.920",
            "bid_volume0_4": "198.416",
            "bid_volume0_5": "243.554",
            "bid_volume0_6": "346.467",
            "bid_volume0_7": "354.090",
            "bid_volume0_8": "359.058",
            "bid_volume0_9": "381.422",
            "bid_volume1": "384.066",
            "bid_volume1_5": "467.014",
            "bid_volume2": "522.441",
            "bid_volume4": "918.911",
            "bid_volume6": "1187.306",
            "bid_volume8": "1187.306",
            "bid_volume10": "1187.306",
            "ask_volume0_1": "13.158",
            "ask_volume0_2": "40.072",
            "ask_volume0_3": "71.129",
            "ask_volume0_4": "179.463",
            "ask_volume0_5": "259.140",
            "ask_volume0_6": "266.315",
            "ask_volume0_7": "324.288",
            "ask_volume0_8": "353.024",
            "ask_volume0_9": "376.738",
            "ask_volume1": "405.965",
            "ask_volume1_5": "467.665",
            "ask_volume2": "506.326",
            "ask_volume4": "862.843",
            "ask_volume6": "1322.553",
            "ask_volume8": "1428.856",
            "ask_volume10": "1428.856",
            "spread": "0.1",
            "mid_price": "8819.95",
            "ask_slippage": "0.0002782477139043083900226757369614512",
            "bid_slippage": "0.0",
            "asks": [
                {
                    "amount": "5.914",
                    "price": "8820"
                },
                {
                    "amount": "0.08",
                    "price": "8821"
                }
            ],
            "bids": [
                {
                    "amount": "11.814",
                    "price": "8819.9"
                },
                {
                    "amount": "4.197",
                    "price": "8819.8"
                }
            ]
        },
      /* ... */
],
    "result": "success",
    "continuation_token": "Ehad6pjoEpvpZSkvbtsyx8WxTj9vgc4s5VSow1USG8pXP1UGFSxSF7fTacxA54rYoqebnMTdCpE3ZxB3nSTM5CYNModkKRASDWMHymPFHNXnGL73RdkHSVUv6UYa4YwrRinH7JbwRqbB5HwmZdxWaonnaVkeZZc1wZiuK2oR4ePQdotGEnvKY8spPjYwnX8s3D6w1bCqZqL6ENaNH5Pa6b53MdbmyQBjE8F",
    "next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/snapshots/full?continuation_token=Ehad6pjoEpvpZSkvbtsyx8WxTjvgc4s5VSow1USG8pXP1UGFSxSF7fTacxA54rYoqebnMTdCpE3ZxB3nSTM5CYNModkKRASDWMHymPFHNXnGL73RdkHSVUv6UYa4YwrRinH7JbwRqbB5HwmZdxWaonnaVkeZZc1wZiuK2oR4ePQdotGEnvKY8spPjYwnX8s3D6w1bCqZqL6ENaNH5Pa6b53MdbmyQBjE8F",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

This endpoint gives access to one month of historical 10% order book snapshots. The full endpoint returns all the following order book data: the snapshot itself (bids and asks), the depth of the order book (the cummulative volume of the base asset at 0.1%, 0.2%, 0.3%, 0.4%, 0.5%, 0.6%, 0.7%, 0.8%, 0.9%, 1%, 1.5%, 2%, 4%, 6%, 8% and 10% from the best ask and best bid respectively), the spread, the mid price and, when the slippage parameter is not empty, the percentage of slippage for a given order size, either calculated from the best bid/ask or calculated from the mid price. All data is returned in descending order.

HTTP request

GET https://us.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/snapshots/full{?start_time,end_time,page_size,continuation_token,slippage,slippage_ref,orders,limit_orders}

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`	Yes	Exchange `code`. See Exchanges Reference Data Endpoint.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`limit_orders`	No	Number of orders to return on bid and ask side per snapshot. To retreive the best bid/ask, set this parameter to `1` (default: 10)
`page_size`¹	No	Number of snapshots to return. See Pagination (default: 10, max: 100).
`sort`¹	No	Return the data in ascending (asc) or descending (desc) order. Default desc
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`slippage`	No	Order size (in quote asset) for which to calculate the percentage of slippage. Default: 0. When `null` is returned, not enough volume is present on the order book to execute the order.
`slippage_ref`	No	Price point for which to calculate slippage from. Either from the mid price (`mid_price`) or from the best bid/ask (`best`). Default: `mid_price`.

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.

Fields

Field	Description
`poll_timestamp`	The timestamp at which the raw data snapshot was taken.
`poll_date`	The date at which the raw data snapshot was taken.
`timestamp`	The timestamp provided by the exchange. `null` when not provided.
`bid_volume_x`	The volume of bids placed within 0 and x% of the midprice.
`ask_volume_x`	The volume of asks placed within 0 and x% of the midprice.
`spread`	The difference between the best bid and the best ask at the time the snapshot was taken.
`mid_price`	The mid price between the best bid and the best ask.
`ask_slippage`	The percentage price slippage for a market buy order placed at the time that the order book snapshot was taken.
`bid_slippage`	The percentage price slippage for a market sell order placed at the time that the order book snapshot was taken.
`asks`	The sell orders in the snapshot. If the `limit_oders` parameter is used, this will be reflected here. `amount` is the quantity of asset to sell, displayed in the base currency. `price` is displayed in the quote currency.
`bids`	The buy orders in the snapshot. If the `limit_oders` parameter is used, this will be reflected here. `amount` is the quantity of asset to buy, displayed in the base currency. `price` is displayed in the quote currency.

Order Book Snapshots: Raw

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/snapshots/raw?page_size=10&limit_orders=2'

Response example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "slippage": 0,
        "limit_orders": 2,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "metric": "raw",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:13:08.823Z"
    },
    "time": "2020-05-26T14:13:08.899Z",
    "timestamp": 1590502388899,
    "data": [
        {
            "poll_timestamp": 1590502335760,
            "poll_date": "2020-05-26T14:12:15.760Z",
            "timestamp": null,
            "asks": [
                {
                    "amount": "12",
                    "price": "8830"
                },
                {
                    "amount": "3.67",
                    "price": "8832.9"
                }
            ],
            "bids": [
                {
                    "amount": "13.316",
                    "price": "8829.9"
                },
                {
                    "amount": "0.097",
                    "price": "8829.4"
                }
            ]
        }
      /* ... */         
    ],
    "result": "success",
    "continuation_token": "Z8FjTagUoHd3UCqMvqmRJXlwzbTxSnSXpxxZpHWNCmrsrcnhSpMG2gdcmFKRPd88",
    "next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/cbse/spot/btc-usd/snapshots/raw?continuation_token=Z8FjTagUoHd3UCqMvqmRJXlwzbTxSnSXpxxZpHWNCmrsrcnhSpMG2gdcmFKRPd88",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

This endpoint is identical to the Full endpoint but only returns the raw snapshots of bids and asks without any additional metrics. The Full specific parameters (such as slippage and slippage_ref) are disabled but won't yield any errors when used. All data is returned in descending order.

HTTP request

GET https://us.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/snapshots/raw{?start_time,end_time,page_size,continuation_token,limit_orders}

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`	Yes	Exchange `code`. See Exchanges Reference Data Endpoint.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`limit_orders`	No	Number of orders to return on bid and ask side per snapshot. To retreive the best bid/ask, set this parameter to `1` (default: 10)
`page_size`¹	No	Number of snapshots to return. See Pagination (default: 10, max: 100).
`sort`¹	No	Return the data in ascending (asc) or descending (desc) order. Default desc
`start_time`¹	No	Starting time in ISO 8601 (inclusive).

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.

Fields

Field	Description
`poll_timestamp`	The timestamp at which the raw data snapshot was taken.
`poll_date`	The date at which the raw data snapshot was taken.
`timestamp`	The timestamp provided by the exchange. `null` when not provided.
`asks`	The sell orders in the snapshot. If the `limit_oders` parameter is used, this will be reflected here. `amount` is the quantity of asset to sell, displayed in the base currency. `price` is displayed in the quote currency.
`bids`	The buy orders in the snapshot. If the `limit_oders` parameter is used, this will be reflected here. `amount` is the quantity of asset to buy, displayed in the base currency. `price` is displayed in the quote currency.

Order Book Snapshots: Depth

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/snapshots/depth?page_size=10'

Response Example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "slippage": 0,
        "limit_orders": 0,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "metric": "depth",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:29:44.757Z"
    },
    "time": "2020-05-26T14:29:44.816Z",
    "timestamp": 1590503384816,
    "data": [
        {
            "poll_timestamp": 1590503344916,
            "poll_date": "2020-05-26T14:29:04.916Z",
            "timestamp": null,
            "bid_volume0_1": "37.606",
            "bid_volume0_2": "102.304",
            "bid_volume0_3": "141.907",
            "bid_volume0_4": "177.446",
            "bid_volume0_5": "203.634",
            "bid_volume0_6": "218.450",
            "bid_volume0_7": "283.128",
            "bid_volume0_8": "293.533",
            "bid_volume0_9": "321.986",
            "bid_volume1": "348.213",
            "bid_volume1_5": "405.080",
            "bid_volume2": "444.782",
            "bid_volume4": "837.949",
            "bid_volume6": "1110.065",
            "bid_volume8": "1110.065",
            "bid_volume10": "1110.065",
            "ask_volume0_1": "7.401",
            "ask_volume0_2": "13.744",
            "ask_volume0_3": "58.917",
            "ask_volume0_4": "131.104",
            "ask_volume0_5": "165.971",
            "ask_volume0_6": "193.786",
            "ask_volume0_7": "257.001",
            "ask_volume0_8": "286.384",
            "ask_volume0_9": "312.040",
            "ask_volume1": "319.040",
            "ask_volume1_5": "382.927",
            "ask_volume2": "475.467",
            "ask_volume4": "909.144",
            "ask_volume6": "1229.664",
            "ask_volume8": "1323.505",
            "ask_volume10": "1323.505"
        },
      /* ... */
],
    "result": "success",
    "continuation_token": "Z8FjYwcAjf7MZEG382e5MpmZx7wkuziQTyy2k5fVgSrcF8jAYqUpRgPH5cbQ9MhJiFaxGRbwiERMp3cWhXJshy",
    "next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/cbse/spot/btc-usd/snapshots/depth?continuation_token=Z8FjYwcAjf7MZEG382e5MpmZx7wkuziQTyy2k5fVgSrcF8jAYqUpRgPH5cbQ9MhJiFaxGRbwiERMp3cWhXJshy",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

This endpoint is identical to the Full endpoint but only returns metrics on the depth of the order book (the cummulative volume of the base asset at 0.1%, 0.2%, 0.3%, 0.4%, 0.5%, 0.6%, 0.7%, 0.8%, 0.9%, 1%, 1.5%, 2%, 4%, 6%, 8% and 10% from the mid price) per snapshot. The Full specific parameters (such as slippage, slippage_ref and limit_orders) are disabled but won't yield any errors when used. All data is returned in descending order.

HTTP request

GET https://us.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/snapshots/depth{?start_time,end_time,page_size,continuation_token}

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`	Yes	Exchange `code`. See Exchanges Reference Data Endpoint.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`page_size`¹	No	Number of snapshots to return data for. See Pagination (default: 10, max: 100).
`sort`¹	No	Return the data in ascending (asc) or descending (desc) order. Default desc
`start_time`¹	No	Starting time in ISO 8601 (inclusive).

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.

Fields

Field	Description
`poll_timestamp`	The timestamp at which the raw data snapshot was taken.
`poll_date`	The date at which the raw data snapshot was taken.
`timestamp`	The timestamp provided by the exchange. `null` when not provided.
`bid_volume_x`	The volume of bids placed within 0 and x% of the midprice.
`ask_volume_x`	The volume of asks placed within 0 and x% of the midprice.

Order Book Snapshots: Slippage

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/snapshots/slippage?end_time=2019-12-09T00:00:00Z&slippage_ref=best&start_time=2019-12-01T00:00:00Z&slippage=1000000&page_size=10'

Response Example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "slippage": 100000,
        "limit_orders": 0,
        "slippage_ref": "best",
        "sort": "desc",
        "metric": "slippage",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:42:17.053Z"
    },
    "time": "2020-05-26T14:42:17.123Z",
    "timestamp": 1590504137123,
    "data": [
        {
            "poll_timestamp": 1590504124917,
            "poll_date": "2020-05-26T14:42:04.917Z",
            "timestamp": null,
            "ask_slippage": "0.0001057219873253085790064266041007855",
            "bid_slippage": "0.0001581287020485902479395059349031256"
        },
        {
            "poll_timestamp": 1590504075786,
            "poll_date": "2020-05-26T14:41:15.786Z",
            "timestamp": null,
            "ask_slippage": "0.00001534073225141691226479256404443437",
            "bid_slippage": "0.0002555856086571344339622641509433962"
        },
      /* ... */
    ],
    "result": "success",
    "continuation_token": "Z8Fj1yUWjj3uvv1U2d8fASeGLm4jZ4iHCopdsZLKUyDJE8KrBaDXwQQWXHJQxm",
    "next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/cbse/spot/btc-usd/snapshots/slippage?continuation_token=Z8Fj1yUWjj3uvv1U2d8fASeGLm4jZ4iHCopdsZLKUyDJE8KrBaDXwQQWXHJQxm",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

This endpoint is identical to the Full endpoint but only returns slippage for a given order size, either calculated from the best bid/ask or calculated from the mid price. The Full and Raw specific parameter limit_orders is disabled but won't yield any errors when used. All data is returned in descending order.

HTTP request

GET https://us.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/snapshots/slippage{?start_time,end_time,page_size,continuation_token,slippage,slippage_ref}

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`	Yes	Exchange `code`. See Exchanges Reference Data Endpoint.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`page_size`¹	No	Number of snapshots to return data for. See Pagination (default: 10, max: 100).
`sort`¹	No	Return the data in ascending (asc) or descending (desc) order. Default desc
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`slippage`	No	Order size (in quote asset) for which to calculate the percentage of slippage. Default: 0. When `null` is returned, not enough volume is present on the order book to execute the order.
`slippage_ref`	No	Price point for which to calculate slippage from. Either from the mid price (`mid_price`) or from the best bid/ask (`best`). Default: `mid_price`.

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.

Fields

Field	Description
`poll_timestamp`	The timestamp at which the raw data snapshot was taken.
`poll_date`	The date at which the raw data snapshot was taken.
`timestamp`	The timestamp provided by the exchange. `null` when not provided.
`ask_slippage`	The percentage price slippage for a market buy order placed at the time that the order book snapshot was taken.
`bid_slippage`	The percentage price slippage for a market sell order placed at the time that the order book snapshot was taken.

Order Book Aggregations: Full

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/ob_aggregations/full?page_size=10&slippage=100000&interval=1h&start_time=2019-12-04T00:00:00Z&end_time=2019-12-06T00:00:00Z'

Response Example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "interval": "1h",
        "slippage": 100000,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "aggregation": "full",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:46:00.561Z"
    },
    "time": "2020-05-26T14:46:03.776Z",
    "timestamp": 1590504363776,
    "data": [
        {
            "poll_timestamp": 1590501600000,
            "ask_slippage": "0.00032766083806437735",
            "bid_slippage": "0.0002206511273162024",
            "bid_volume0_1": "31.751239130434783",
            "bid_volume0_2": "87.33763043478261",
            "bid_volume0_3": "139.32403260869566",
            "bid_volume0_4": "177.62314130434783",
            "bid_volume0_5": "206.71984782608695",
            "bid_volume0_6": "251.4888043478261",
            "bid_volume0_7": "287.1503043478261",
            "bid_volume0_8": "317.3515869565217",
            "bid_volume0_9": "335.79671739130436",
            "bid_volume1": "352.03117391304346",
            "bid_volume1_5": "419.0988260869565",
            "bid_volume2": "470.6285",
            "bid_volume4": "859.7884347826086",
            "bid_volume6": "1134.0595760869564",
            "bid_volume8": "1134.4657173913045",
            "bid_volume10": "1134.4657173913045",
            "ask_volume0_1": "21.558043478260867",
            "ask_volume0_2": "37.20532608695652",
            "ask_volume0_3": "78.02648913043478",
            "ask_volume0_4": "143.83753260869565",
            "ask_volume0_5": "192.98572826086954",
            "ask_volume0_6": "235.31961956521738",
            "ask_volume0_7": "280.5659565217391",
            "ask_volume0_8": "309.4857717391304",
            "ask_volume0_9": "327.8923152173913",
            "ask_volume1": "341.79707608695657",
            "ask_volume1_5": "411.3568043478261",
            "ask_volume2": "475.6048586956521",
            "ask_volume4": "885.1007826086956",
            "ask_volume6": "1263.1216413043478",
            "ask_volume8": "1364.2838369565218",
            "ask_volume10": "1364.2838369565218",
            "mid_price": "8830.427717391303",
            "spread": "1.175"
        }
      /* ... */
    ],
    "result": "success",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

This endpoint gives access to one month of historical 10% order book aggregated data. It returns metrics on the average depth of the order book (the cummulative volume of the base asset at 0.1%, 0.2%, 0.3%, 0.4%, 0.5%, 0.6%, 0.7%, 0.8%, 0.9%, 1%, 1.5%, 2%, 4%, 6%, 8% and 10% from the mid price), the average spread, the average mid price and, when the slippage parameter is not empty, the average percentage of slippage for a given order size, either calculated from the best bid/ask or calculated from the mid price for a given interval. For each interval, the aggregates are calculated by taking the average metrics of each snapshot within that interval. For example, the aggregated 1 hour spread is calculated by taking all spreads of each snapshot within an hour and calculating the average. All data is returned in descending order.

HTTP request

GET https://us.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/ob_aggregations/full{?start_time,end_time,page_size,continuation_token,slippage,slippage_ref,interval}

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`	Yes	Exchange `code`. See Exchanges Reference Data Endpoint.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`interval`	No	Interval period. Default `1h`.
`page_size`¹	No	Number of snapshots to return data for. See Pagination (default: 10, max: 100).
`sort`¹	No	Return the data in ascending (asc) or descending (desc) order. Default desc
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`slippage`	No	Order size (in quote asset) for which to calculate the percentage of slippage. Default: 0. When `null` is returned, not enough volume is present on the order book to execute the order.
`slippage_ref`	No	Price point for which to calculate slippage from. Either from the mid price (`mid_price`) or from the best bid/ask (`best`). Default: `mid_price`.

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.

Field	Description
`poll_timestamp`	The timestamp at which the interval begins.
`bid_volume_x`	The average volume of bids placed within 0 and x% of the midprice over a specified interval.
`ask_volume_x`	The average volume of asks placed within 0 and x% of the midprice over a specified interval.
`spread`	The average difference between the best bid and the best ask over a specified interval.
`mid_price`	The average mid price between the best bid and the best ask over a specified interval
`ask_slippage`	The average percentage of price slippage for a market buy order over a specified interval.
`bid_slippage`	The average percentage of price slippage for a market sell order over a specified interval.

Order Book Aggregations: Depth

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/ob_aggregations/depth?page_size=10&interval=1h'

Response Example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "interval": "1h",
        "slippage": 0,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "aggregation": "depth",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:58:55.582Z"
    },
    "time": "2020-05-26T14:58:56.395Z",
    "timestamp": 1590505136395,
    "data": [
        {
            "poll_timestamp": 1590501600000,
            "bid_volume0_1": "31.31635593220339",
            "bid_volume0_2": "90.78996610169492",
            "bid_volume0_3": "144.16212711864407",
            "bid_volume0_4": "182.9676525423729",
            "bid_volume0_5": "219.1858220338983",
            "bid_volume0_6": "263.02182203389833",
            "bid_volume0_7": "296.666686440678",
            "bid_volume0_8": "322.5334237288136",
            "bid_volume0_9": "340.6282881355932",
            "bid_volume1": "356.4558474576271",
            "bid_volume1_5": "427.1106949152542",
            "bid_volume2": "475.76238135593223",
            "bid_volume4": "863.1048559322035",
            "bid_volume6": "1137.2281271186441",
            "bid_volume8": "1137.5447796610172",
            "bid_volume10": "1137.5447796610172",
            "ask_volume0_1": "22.772533898305085",
            "ask_volume0_2": "36.96916101694915",
            "ask_volume0_3": "78.57454237288135",
            "ask_volume0_4": "144.87783898305085",
            "ask_volume0_5": "195.61884745762714",
            "ask_volume0_6": "237.96824576271186",
            "ask_volume0_7": "282.3425338983051",
            "ask_volume0_8": "314.0606779661017",
            "ask_volume0_9": "330.76757627118644",
            "ask_volume1": "344.3153644067797",
            "ask_volume1_5": "413.4595423728814",
            "ask_volume2": "475.48172033898305",
            "ask_volume4": "886.8459152542373",
            "ask_volume6": "1272.5998644067795",
            "ask_volume8": "1371.7920847457626",
            "ask_volume10": "1371.7920847457626"
        },
      /* ... */
    ],
    "result": "success",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

This endpoint is identical to the Full endpoint but only returns metrics on average the depth of the order book (the cummulative volume of the base asset at 0.1%, 0.2%, 0.3%, 0.4%, 0.5%, 0.6%, 0.7%, 0.8%, 0.9%, 1%, 1.5%, 2%, 4%, 6%, 8% and 10% from the mid price) per snapshot. For each interval, the aggregates are calculated by taking the average metrics of each snapshot within that interval. For example, the aggregated 1 hour spread is calculated by taking all spreads of each snapshot within an hour and calculating the average. The Full specific parameters (such as slippage, slippage_ref) are disabled but won't yield any errors when used. All data is returned in descending order.

HTTP request

GET https://us.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/ob_aggregations/depth{?start_time,end_time,page_size,continuation_token,interval}

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`	Yes	Exchange `code`. See Exchanges Reference Data Endpoint.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`interval`	No	Interval period. Default `1h`.
`page_size`¹	No	Number of snapshots to return data for. See Pagination (default: 10, max: 100).
`sort`¹	No	Return the data in ascending (asc) or descending (desc) order. Default desc
`start_time`¹	No	Starting time in ISO 8601 (inclusive).

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.

Fields

Field	Description
`poll_timestamp`	The timestamp at which the interval begins
`bid_volume_x`	The average volume of bids placed within 0 and x% of the midprice over a specified interval.
`ask_volume_x`	The average volume of asks placed within 0 and x% of the midprice over a specified interval.

Order Book Aggregations: Slippage

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/ob_aggregations/slippage?page_size=10&slippage=100000&interval=1h'

Response Example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "interval": "1h",
        "slippage": 100000,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "aggregation": "slippage",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T15:07:06.840Z"
    },
    "time": "2020-05-26T15:07:07.260Z",
    "timestamp": 1590505627260,
    "data": [
        {
            "poll_timestamp": 1590505200000,
            "ask_slippage": "0.00012513598764468878",
            "bid_slippage": "0.0003678539692963374"
        },
        {
            "poll_timestamp": 1590501600000,
            "ask_slippage": "0.00030969034268815156",
            "bid_slippage": "0.00024353107110561094"
        },
      /* ... */
    ],
    "result": "success",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

This endpoint is identical to the Full endpoint but only returns the average slippage for a given order size, either calculated from the best bid/ask or calculated from the mid price. For each interval, the aggregates are calculated by taking the average metrics of each snapshot within that interval. For example, the aggregated 1 hour spread is calculated by taking all spreads of each snapshot within an hour and calculating the average. All data is returned in descending order.

HTTP request

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`²	Yes	Exchange `code`. See Exchanges Reference Data Endpoint.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`interval`	No	Interval period. Default `1h`.
`page_size`¹	No	Number of snapshots to return data for. See Pagination (default: 10, max: 100).
`sort`¹	No	Return the data in ascending (asc) or descending (desc) order. Default desc
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`slippage`	No	Order size (in quote asset) for which to calculate the percentage of slippage. Default: 0. When `null` is returned, not enough volume is present on the order book to execute the order.
`slippage_ref`	No	Price point for which to calculate slippage from. Either from the mid price (`mid_price`) or from the best bid/ask (`best`). Default: `mid_price`.

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token. ²: This endpoint serves both data from centralized as well as decentralized exchanges.

Fields

Field	Description
`poll_timestamp`	The timestamp at which the interval begins.
`ask_slippage`	The average percentage of price slippage for a market buy order over a specified interval.
`bid_slippage`	The average percentage of price slippage for a market sell order over a specified interval.

Aggregates

OHLCV (Candles)

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/cbse/spot/btc-usd/aggregations/ohlcv'

Response Example

{
    "query": {
        "page_size": 100,
        "exchange": "cbse",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "interval": "1d",
        "sort": "desc",
        "aggregation": "ohlcv",
        "data_version": "v1",
        "commodity": "trades",
        "request_time": "2020-05-26T17:25:56.221Z"
    },
    "time": "2020-05-26T17:26:00.160Z",
    "timestamp": 1590513960160,
    "data": [
        {
            "timestamp": 1590451200000,
            "open": "8900.0",
            "high": "9016.99",
            "low": "8694.23",
            "close": "8811.36",
            "volume": "9014.60281966"
        },
        {
            "timestamp": 1590364800000,
            "open": "8715.69",
            "high": "8977.0",
            "low": "8632.93",
            "close": "8899.31",
            "volume": "12091.06145914"
        },
  /* ... */
  ],
  "result": "success",
  "continuation_token": "rbd2bcDp35GmDscQbvZ9YzQHZJkT3jdeFx9fSBDdVmcCZaHvQRTCTfmfQ6QCrvDNp5ciRRuGPTedVL5LMZv1qmSXhRpZFbpvBW2uA62RSYpfJ1hVykJKZfhtmXXrxz",
  "next_url": "https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/krkn/spot/btc-usd/aggregations/ohlcv?continuation_token=rbd2bcDp35GmDqdfaz3fZJkT3jdeFx9fSBDdVmcCZaHvQRTCTfmfQ6QCrvDNp5ciRRuGPTedVL5LMZv1qmSXhRpZFbpvBW2uA62RSYpfJ1hVykJKZfhtmXXrxz",
  "access": {
    "access_range": {
      "start_timestamp": null,
      "end_timestamp": null
    },
    "data_range": {
      "start_timestamp": null,
      "end_timestamp": null
    }
  }
}

This endpoint retrieves the OHLCV history for an instrument on an exchange. The interval parameter is suffixed with s, m, h or d to specify seconds, minutes, hours or days, respectively. By making use of the sort parameter, data can be returned in ascending asc or descending desc order.

HTTP request

GET https://<eu|us>.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/aggregations/ohlcv{?interval,start_time,end_time,page_size,continuation_token}

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`²	Yes	Exchange `code`.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`interval`	No	Interval period. Default `1d`.
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 100000).
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`sort`¹	No	Return the data in ascending (`asc`) or descending (`desc`) order. Default `desc`

Fields

Field	Description
`timestamp`	Timestamp at which the interval begins.
`open`	Opening price of interval. `null` when no trades reported.
`high`	Highest price during interval. `null` when no trades reported.
`low`	Lowest price during interval. `null` when no trades reported.
`close`	Closing price of interval. `null` when no trades reported.
`volume`	Volume traded in interval. `0` when no trades reported.

Intervals

Any arbitrary value between one second and one day can be used as an interval, as long as it sums up to 1 day. The suffixes are s (second), m (minute), h (hour) and d (day).

VWAP (Prices)

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/cbse/spot/btc-usd/aggregations/vwap'

Response Example

{
    "query": {
        "page_size": 100,
        "exchange": "cbse",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "interval": "1d",
        "sort": "desc",
        "aggregation": "vwap",
        "data_version": "v1",
        "commodity": "trades",
        "request_time": "2020-11-12T16:52:36.988Z"
    },
    "time": "2020-11-12T16:52:37.114Z",
    "timestamp": 1605199957114,
    "data": [
        {
            "timestamp": 1605139200000,
            "price": "15879.385939106618"
        },
        {
            "timestamp": 1605052800000,
            "price": "15664.643871798791"
        },
    /* ... */
  ],
  "result": "success",
  "continuation_token": "55qoNvASfrVdCIjrF8Ygw6TVJ4yamzUyeL9QXAmvWZZur3iaKoPcVBW1V4unNJi2zMjojbsYr9Pgt9XFCUpnAiuBiECm8X4cedvYc9t2WxHXnHKjgAp2wRAeV8ZPUSj8WNgpWTCBVymGaQZPj3oMDZwVeCPyuTLFdVPfTXVjZA94BtHeBmghoPv92JtWxN3yRvCkrw79hJBu",
  "next_url": "https://<eu|us>.market-api.kaiko.io/v2/data/trades.v1/exchanges/cbse/spot/btc-usd/aggregations/vwap?continuation_token=55qoNvASfrVdCIjrF8Ygw6TVJ4yamzUyeL9QXAmvWZZur3iaKoPcVBW1V4unNJi2zMjojbsYr9Pgt9XFCUpnAiuBiECm8X4cedvYc9t2WxHXnHKjgAp2wRAeV8ZPUSj8WNgpWTCBVymGaQZPj3oMDZwVeCPyuTLFdVPfTXVjZA94BtHeBmghoPv92JtWxN3yRvCkrw79hJBu",
  "access": {
    "access_range": {
      "start_timestamp": 1546300800000,
      "end_timestamp": 1577836800000
    },
    "data_range": {
      "start_timestamp": 1417391000000,
      "end_timestamp": 1577836800000
    }
  }
}

This endpoint retrieves aggregated VWAP (volume-weighted average price) history for an instrument on an exchange. The interval parameter is suffixed with s, m, h or d to specify seconds, minutes, hours or days, respectively. By making use of the sort parameter, data can be returned in ascending asc or descending desc (default) order.

HTTP request

GET https://<eu|us>.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/aggregations/vwap{?interval,start_time,end_time,page_size,continuation_token}

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity. (`trades`)
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (`v1`, `v2` ... or `latest`)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`²	Yes	Exchange `code`. See Instruments Reference Data Endpoint.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`interval`	No	Interval period. Default `1d`.
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 100000).
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`sort`¹	No	Return the data in ascending (`asc`) or descending (`desc`) order. Default `desc`

Fields

Field	Description
`timestamp`	Timestamp at which the interval begins.
`price`	Volume-weighted average price. `null` when no trades reported.

Intervals

Any arbitrary value between one second and one day can be used as an interval, as long as it sums up to 1 day. The suffixes are s (second), m (minute), h (hour) and d (day).

Count-OHLCV-VWAP

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/cbse/spot/btc-usd/aggregations/count_ohlcv_vwap'

Response Example

{
    "query": {
        "page_size": 100,
        "exchange": "cbse",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "interval": "1d",
        "sort": "desc",
        "aggregation": "count_ohlcv_vwap",
        "data_version": "v1",
        "commodity": "trades",
        "request_time": "2020-11-12T16:55:42.588Z"
    },
    "time": "2020-11-12T16:55:42.710Z",
    "timestamp": 1605200142710,
    "data": [
        {
            "timestamp": 1605139200000,
            "open": "15705.79",
            "high": "16185.87",
            "low": "15446.82",
            "close": "16139.93",
            "volume": "14829.124546730012",
            "price": "15880.01873841608",
            "count": 95111
        },
        {
            "timestamp": 1605052800000,
            "open": "15315.46",
            "high": "16000",
            "low": "15293.04",
            "close": "15705.79",
            "volume": "15123.844197729988",
            "price": "15664.643871798791",
            "count": 114205
        },
    /* ... */
  ],
  "result": "success",
  "continuation_token": "rbd1XbkjMwv2SyUfvJwsqFGmCKzg3WToTvqigui1bejckYnxd9DM1V3v58iqMCdXa4dJSXap6p6fBuvzz32tiHVrv5LC76MyRyYNbZyvSEoVzd1krSWWeXYEtEtR",
  "next_url": "https://<eu|us>.market-api.kaiko.io/v2/data/trades.v1/exchanges/cbse/spot/btc-usd/aggregations/count_ohlcv_vwap?continuation_token=rbd1XbkjMwv2SyUfvJwsui1bejckYnxd9DM1V3v58iqMCdXa4dJSXap6p6fBuvzz32tiHVrv5LC76MyRyYNbZyvSEoVzd1krSWWeXYEtEtR",
  "access": {
    "access_range": {
      "start_timestamp": 1546300800000,
      "end_timestamp": 1577836800000
    },
    "data_range": {
      "start_timestamp": 1417391000000,
      "end_timestamp": 1577836800000
    }
  }
}

This endpoint retrieves the trade count, OHLCV and VWAP history for an instrument on an exchange. The interval parameter is suffixed with s, m, h or d to specify seconds, minutes, hours or days, respectively. By making use of the sort parameter, data can be returned in ascending asc (default) or descending desc order.

HTTP request

GET https://<eu|us>.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/aggregations/count_ohlcv_vwap{?interval,start_time,end_time,page_size,continuation_token}

Parameters

Parameter	Required	Description
`commodity`	Yes	The data commodity.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exchange`²	Yes	Exchange `code`.See Instruments Reference Data Endpoint.
`instrument_class`	Yes	Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint.
`interval`	No	Interval period. Default `1d`.
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 100000).
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`sort`¹	No	Return the data in ascending (`asc`) or descending (`desc`) order. Default `desc`

Fields

Field	Description
`timestamp`	Timestamp at which the interval begins.
`count`	Then number of trades. `0` when no trades reported.
`open`	Opening price of interval. `null` when no trades reported.
`high`	Highest price during interval. `null` when no trades reported.
`low`	Lowest price during interval. `null` when no trades reported.
`close`	Closing price of interval. `null` when no trades reported.
`volume`	Volume traded in interval. `0` when no trades reported.
`vwap`	The volume weighted price during the time interval. `null` when no trades reported.

Intervals

Any arbitrary value between one second and one day can be used as an interval, as long as it sums up to 1 day. The suffixes are s (second), m (minute), h (hour) and d (day).

Pricing Services

Asset Price - Aggregated VWAP

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v1/spot_direct_exchange_rate/btc/usd?include_exchanges=cbse,bfnx&sources=true'

Response Example

{
    "query": {
        "page_size": 100,
        "interval": "1d",
        "sort": "desc",
        "base_asset": "btc",
        "quote_asset": "usd",
        "sources": true,
        "ch": true,
        "include_exchanges": [
            "cbse",
            "bfnx"
        ],
        "exclude_exchanges": [],
        "data_version": "v1",
        "commodity": "trades",
        "request_time": "2020-05-26T20:09:13.000Z",
        "instruments": [
            "bfnx:spot:btc-usd",
            "cbse:spot:btc-usd"
        ]
    },
    "time": "2020-05-26T20:09:14.277Z",
    "timestamp": 1590523754277,
    "data": [
        {
            "timestamp": 1590451200000,
            "price": "8847.968719074968",
            "volume": "13589.95633007",
            "count": 122143,
            "sources": [
                {
                    "exchange_code": "cbse",
                    "count": 66991,
                    "price": "8848.388264128678",
                    "volume": "10187.26739386"
                },
                {
                    "exchange_code": "bfnx",
                    "count": 55152,
                    "price": "8846.712648441991",
                    "volume": "3402.68893621"
                }
            ]
        },
    /* ... */
],
    "result": "success",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

This endpoint generates an aggregated price for an asset pair across all exchanges with spot markets for the pair. Only asset combinations which are actively being traded on one of our covered exchanges are being taken into account for the calculation of the price. Unsupported asset combinations will return no data. To return data used as input for the calculation of the aggregated price, set the sources parameter to true. Setting the sources parameter to false (default) will yield a faster response time. By making use of the sort parameter, data can be returned in ascending asc or descending desc order (default).

HTTP request

GET https://<eu|us>.market-api.kaiko.io/v2/data/trades.v1/spot_direct_exchange_rate/{base_asset}/{quote_asset}/{?include_exchanges,exclude_exchanges,start_time,end_time,interval,page_size,sources}

Parameters

Parameter	Required	Description
`base_asset`	Yes	The desired base asset `code`. See Instruments Reference Data Endpoint.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exclude_exchanges`¹	No	List of exchanges' `code` to exclude from the calculation. See Instruments Reference Data Endpoint. Only available in API v2.
`interval`¹	No	Interval period. Default `1d`.
`include_exchanges`¹	No	List of exchanges' `code` to include in the calculation. See Instruments Reference Data Endpoint. Only available in API v2.
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 1000).
`quote_asset`	Yes	The desired quote asset `code`. See Instruments Reference Data Endpoint.
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`sort`¹	No	Return the data in ascending (`asc`) or descending (`desc`) order. Default is `asc` in API v1, `desc` in API v2.
`sources`¹	No	`boolean`. If `true`, returns all prices which were used to calculate aggregated price. Default is `false`

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.*

This endpoint uses data from CEXs as well as DEXs

Fields

Field	Description
`timestamp`	Timestamp at which the interval begins.
`price`	Aggregated VWAP. `null` when no trades reported.
`volume`	Total volume traded in interval. `0` when no trades reported.
`count`	Total amount of trades reported during interval. `0` when no trades reported.

Robust Pair Price

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v1/robust_pair_price/btc/eth?interval=1m&extrapolate_missing_values=true&start_time=2023-05-03T00:01:00.000Z&end_time=2023-05-04T00:00:00.000Z'

Response Example

{
    "query": {
        "start_time": "2023-05-03T23:50:00Z",
        "end_time": "2023-05-04T00:00:00Z",
        "base_asset": "btc",
        "quote_asset": "eth",
        "interval": "1m",
        "sort": "desc",
        "sources": false,
        "page_size": 10,
        "include_exchanges": [],
        "exclude_exchanges": [],
        "request_time": "2023-06-06T08:56:42.027624061Z",
        "data_version": "v1",
        "commodity": "trades",
        "extrapolate_missing_values": true,
        "instruments": [
            "bbsp:spot:eth-btc",
            "bfly:spot:eth-btc",
            "bfnx:spot:eth-btc",
            "bfrx:spot:eth-btc",
            "bgon:spot:eth-btc",
            "binc:spot:eth-btc",
            "bnus:spot:eth-btc",
            "cbse:spot:eth-btc",
            "cnex:spot:eth-btc",
            "huob:spot:eth-btc",
            "kcon:spot:eth-btc",
            "krkn:spot:eth-btc",
            "lmax:spot:eth-btc",
            "okex:spot:eth-btc",
            "polo:spot:eth-btc",
            "stmp:spot:eth-btc",
            "yobt:spot:eth-btc"
        ]
    },
    "time": "2023-06-06T08:56:42.146Z",
    "timestamp": 1686041802,
    "data": [
        {
            "timestamp": 1683158340000,
            "price": "15.235541471143884",
            "volume": "47.36280478892731",
            "count": 268,
            "extrapolate_missing_values": false
        },
        {
            "timestamp": 1683158280000,
            "price": "15.22579859313621",
            "volume": "33.41043244089322",
            "count": 194,
            "extrapolate_missing_values": false
        },
        /*...*/
    ],
    "result": "success",
    "continuation_token": "4AvcFTkJCC7UZdZoqmmqJW4ioi54E9jU68TdvhVjZFTSmWHhQ3oGN8hNbeniB2tZdNdFghvU6TqGzMZTHEsnKJGrnmYALAAXNzy6E74RMMc2TJvT6CMs5GPFvFUfrTSswJqEQM7Kk6HAvQtQnSiKf2JRWbdGm7r5tjxc1P4bXNznMxS6BKPqKzgqpqAgoVZRE9LJwxTKK74JGr7uSJS5gJVPRhJYniLsxFK",
    "next_url": "https://us.market-api.kaiko.io/v2/data/trades.v1/robust_pair_price/btc/eth?continuation_token=4AvcFTkJCC7UZdZoqmmqJW4ioi54E9jU68TdvhVjZFTSmWHhQ3oGN8hNbeniB2tZdNdFghvU6TqGzMZTHEsnKJGrnmYALAAXNzy6E74RMMc2TJvT6CMs5GPFvFUfrTSswJqEQM7Kk6HAvQtQnSiKf2JRWbdGm7r5tjxc1P4bXNznMxS6BKPqKzgqpqAgoVZRE9LJwxTKK74JGr7uSJS5gJVPRhJYniLsxFK",
    "access": {
        "access_range": {
            "start_timestamp": 1262995200000,
            "end_timestamp": 2186006399000
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

Retrieve Kaiko’s proprietary aggregated price. The new methodology aims to be more resilient and robust to outliers. The computation is based on two principles:

A robust aggregation of prices (derived from a weighted median methodology: full details available here)
An incremental increase of the estimation window seeking for sufficient dataset to compute a robust price (e.g. number of trades under a certain threshold)

At the end of the algorithm, in case there are still no trades, a null value will be returned.

Setting extrapolate_missing_values parameter to true (false by default) will fill null values with the last available computed price.

Calculation is performed by default over all instruments traded across all exchanges (including CEXs and DEXs) covered by Kaiko.

HTTP request

GET https://<eu|us>.market-api.kaiko.io/v2/data/trades.v1/robust_pair_price/{base_asset}/{quote_asset}/{?start_time,end_time,interval,page_size,sort,page_size,include_exchanges,exclude_exchanges,extrapolate_missing_values}

Parameters

Parameter	Required	Description
`base_asset`	Yes	The desired base asset `code`. See Instruments Reference Data Endpoint.
`quote_asset`	Yes	The desired quote asset `code`. See Instruments Reference Data Endpoint.
`start_time`¹	Yes	Starting time in ISO 8601 (inclusive).
`end_time`¹	Yes	Ending time in ISO 8601 (exclusive).
`interval`¹	Yes	Interval period. Default `24h`.
`page_size`¹	No	See Pagination. Less or equal to 1m interval → Default: 10. Max: 100. ]1m;1h] → Default: 4. Max: 10. Above 1h → Default: 1. Max: 4.
`sort`¹	No	Return the data in ascending (`asc`) or descending (`desc`) order. Default is `desc`.
`include_exchanges`¹	No	List of exchanges' `code` to include in the calculation. See Instruments Reference Data Endpoint.
`exclude_exchanges`¹	No	List of exchanges' `code` to exclude in the calculation. See Instruments Reference Data Endpoint
`extrapolate_missing_values`²	No	If `true`, reduce the amount of `null` values by extrapolating with last computed price available. Suitable for pairs with low liquidity or short calculation intervals.

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.* ²: Some null values can still remain when turning the parameter to true. As this parameter extrapolates with last computed price available, at least one non-null value needs to be present within the queried time window.*

Fields

Field	Description
`timestamp`	Timestamp at which the interval begins.
`price`	Aggregated RWM (Robust Weighted Median). `null` when no trades reported, except if `extrapolate_missing_values` is `true`.
`volume`	Total volume in usd over trades used in the computation. `0` when no trades are reported, except if `extrapolate_missing_values` is `true`.
`count`	Total volume in number of assets traded in the interval. `0` when no trades are reported, except if `extrapolate_missing_values` is `true`.
`extrapolate_missing_values`	`true` if the value has been extrapolated from the last computed value available, `false` if not.

Cross Price v1

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v1/spot_exchange_rate/btc/gbp?sources=true&include_exchanges=cbse,bfnx'

Response Example

{
    "query": {
        "page_size": 100,
        "interval": "1d",
        "sort": "desc",
        "base_asset": "btc",
        "sources": true,
        "ch": true,
        "include_exchanges": [
            "cbse",
            "bfnx"
        ],
        "exclude_exchanges": [],
        "quote_asset": "gbp",
        "data_version": "v1",
        "commodity": "trades",
        "request_time": "2021-04-07T17:40:25.708Z",
        "instruments": [
            "bfnx:spot:btc-usd",
            "cbse:spot:btc-usd",
            "bfnx:spot:btc-usdt",
            "bfnx:spot:usdt-usd",
            "oer:usd-gbp"
        ]
    },
    "time": "2021-04-07T17:40:25.829Z",
    "timestamp": 1617817225829,
    "data": [
        {
            "timestamp": 1617753600000,
            "price": "41345.58171835934",
            "sources": {
                "btc-usdt": {
                    "data": [
                        {
                            "exchange_code": "bfnx",
                            "count": 40771.0,
                            "price": "57117.19387654953",
                            "volume": "1710.9980164799917"
                        }
                    ],
                    "price": "57117.19387654953"
                },
                "usdt-usd": {
                    "data": [
                        {
                            "exchange_code": "bfnx",
                            "count": 45284.0,
                            "price": "0.9991284598874877",
                            "volume": "140245332.3178564"
                        }
                    ],
                    "price": "0.9991284598874877"
                }
            }
        }
    /* ... */
],
    "result": "success",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

This endpoint returns the price of any asset quoted in a Fiat currency within Open Exchange Rate. The USD price is calculated based on the path of the highest liquidity, with an additional step using forex rates to get the final fiat price. This means that, even though an asset might trade directly against all Open Exchange Rate currencies, the price might still be established by using cross-rates¹. In cases where the most liquid path changed over time, this will be taken into account in the calculation of the price for each interval. To have an overview of what data was used to calculate the price, set the sources parameter to true. Setting the sourcesparameter to false (default) will yield a faster response time. By making use of the sort parameter, data can be returned in ascending asc (default) or descending desc order.

¹: A cross rate is an intermediary currency pair that does not involve the target quote asset.

HTTP request

GET https://<eu|us>.market-api.kaiko.io/v2/data/trades.v1/spot_exchange_rate/{base_asset}/{quote_asset}{?include_exchanges,exclude_exchanges,start_time,end_time,interval,page_size,sources}

Parameters

Parameter	Required	Description
`base_asset`	Yes	The desired base asset `code`. See Instruments Reference Data Endpoint.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`exclude_exchanges`¹	No	List of exchanges' `code` to exclude from the calculation. See Instruments Reference Data Endpoint. Only available in API v2.
`interval`¹	No	Interval period. Default `1d`.
`include_exchanges`¹	No	List of exchanges' `code` to include in the calculation. See Instruments Reference Data Endpoint. Only available in API v2.
`outliers_strategy`	No	Either `median_perc`, `modified_zscore` or `zscore`. See the Outlier Management section below.
`outliers_min_data`	No	Number of minimum data points needed to trigger the outlier detecton. Default to 4.
`outliers_threshold`	No	Threshold to use. Usage depends on the chosen outlier management strategy.
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 1000).
`quote_asset`	Yes	The desired quote asset `code`. See Instruments Reference Data Endpoint.
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`sort`¹	No	Return the data in ascending (`asc`) or descending (`desc`) order. Default is `asc`
`sources`¹	No	`boolean`. If `true`, returns all prices which were used to calculate aggregated price. Default is `false`
`extrapolate_missing_values`²	No	`boolean`. If `true`, reduce the amount of null values within the given interval of time for low liquidity pairs. Default is `false`

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token. ²: Some null values can still remain when turning the parameter to true. As this parameter makes use of extrapolation of previous values, at least one non-null value needs to be present within the queried time window.

Outlier Management

Field	Description
`median_perc`	Computes the median of all prices and excludes values that are off a certain % from the median. This is the simplest and most intuitive strategy. As it makes use of the median, it's better suited against extreme outliers. Usage of `outliers_threshold`: `0.1` for 10%
`zscore`	Computes the Z-score of each data point and excludes the ones for which `zscore > outliers_threshold`, where `outliers_threshold` is specified by the user (i.e a good rules of thumb would be a value between `1.5` and `3.5`). Z-score signals how many standard deviations away a given observation is from the mean. This strategy is more susceptible to extreme values, as it makes use of the mean. More details here
`modified_zscore`	Similar to `zscore` but using the median instead of the mean, and the MAD (median absolute deviation) instead of standard deviation. This makes it less susceptible to extreme values. Usage of `outliers_threshold`: generally between `2` and `4`

This endpoint uses data from CEXs as well as DEXs

Fields

Field	Description
`timestamp`	Timestamp at which the interval begins.
`price`	Aggregated VWAP. `null` when no trades reported.
`volume`	Total volume traded in interval. `0` when no trades reported.
`count`	Total amount of trades reported during interval. `0` when no trades reported.

Cross Price v2

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v2/spot_exchange_rate/dash/usd?interval=1m&extrapolate_missing_values=true&start_time=2023-05-03T00:01:00.000Z&end_time=2023-05-04T00:00:00.000Z'

Response Example

{
    "query": {
        "start_time": "2023-05-03T00:01:00Z",
        "end_time": "2023-05-04T00:00:00Z",
        "page_size": 10,
        "base_asset": "dash",
        "quote_asset": "usd",
        "interval": "1m",
        "sort": "desc",
        "sources": false,
        "include_exchanges": [],
        "exclude_exchanges": [],
        "data_version": "v1",
        "commodity": "trades",
        "request_time": "2023-06-06T09:04:15.730Z",
        "instruments": [
            "bbsp:spot:btc-usdt",
            "bfnx:spot:btc-usdt",
            "bfrx:spot:btc-usdt",
            "bgon:spot:btc-usdt",
            "binc:spot:btc-usdt",
            "bnus:spot:btc-usdt",
            "cbse:spot:btc-usdt",
            "cnex:spot:btc-usdt",
            "gmni:spot:btc-usdt",
            "huob:spot:btc-usdt",
            "kcon:spot:btc-usdt",
            "krkn:spot:btc-usdt",
            "okex:spot:btc-usdt",
            "polo:spot:btc-usdt",
            "stmp:spot:btc-usdt",
            "bfnx:spot:dash-btc",
            "bfrx:spot:dash-btc",
            "binc:spot:dash-btc",
            "cbse:spot:dash-btc",
            "cnex:spot:dash-btc",
            "yobt:spot:dash-btc",
            "bfnx:spot:usdt-usd",
            "bnus:spot:usdt-usd",
            "cbse:spot:usdt-usd",
            "gmni:spot:usdt-usd",
            "krkn:spot:usdt-usd",
            "stmp:spot:usdt-usd"
        ],
        "start_timestamp": 1683157800000,
        "end_timestamp": 1683158400000,
        "extrapolate_missing_values": true
    },
    "time": "2023-06-06T09:04:15.835Z",
    "timestamp": 1686042255835,
    "data": [
        {
            "timestamp": 1683158340000,
            "price": "49.260669080304275",
            "extrapolated": false
        },
        {
            "timestamp": 1683158280000,
            "price": "49.22761565015768",
            "extrapolated": false
        },
        /*...*/
    ],
    "result": "success",
    "continuation_token": "254BuRUF6KHS52CnLR9D5kynYD2DzyQv7aeohKXnMUjcCbcmmDDQPiSQFGmKBVPMNzX37wfyb8CUCoHWNDyz8Ptv7hugQN5hVzJNBTPnJpj69NCPSoQTnhE65rmeHBx7iFWA3CbA68JxnJtcpAGtQT397Zu3QhAtBAZHcV",
    "next_url": "https://ovh.market-api.kaiko.io/v2/data/trades.v2/spot_exchange_rate_staging/dash/usd?continuation_token=254BuRUF6KHS52CnLR9D5kynYD2DzyQv7aeohKXnMUjcCbcmmDDQPiSQFGmKBVPMNzX37wfyb8CUCoHWNDyz8Ptv7hugQN5hVzJNBTPnJpj69NCPSoQTnhE65rmeHBx7iFWA3CbA68JxnJtcpAGtQT397Zu3QhAtBAZHcV",
    "access": {
        "access_range": {
            "start_timestamp": 1262995200000,
            "end_timestamp": 2186006399000
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

Retrieve prices of an asset quoted in any other currency (fiat or crypto) using Kaiko’s optimal liquidity path engine and leveraging on Kaiko’s proprietary methodology aggregated price (derived from a weighted median methodology: full details available here).

For fiat-quoted asset, Open Exchange Rate is used to denominate final prices.

Turning sources to true (false by default) will give price details by cross rates¹ used in the liquidity path.

Setting extrapolate_missing_values parameter to true (false by default) will fill null values with the last computed price available.

¹: A cross rate is an intermediary currency pair that does not involve the target quote asset.

HTTP request

GET https://<eu|us>.market-api.kaiko.io/v2/data/trades.v2/spot_exchange_rate/{base_asset}/{quote_asset}{?include_exchanges,exclude_exchanges,start_time,end_time,interval,page_size,sources}

Parameters

Parameter	Required	Description
`base_asset`	Yes	The desired base asset `code`. See Instruments Reference Data Endpoint.
`quote_asset`	Yes	The data version. (v1, v2 ... or latest)
`start_time`¹	Yes	Start time in ISO 8601 (exclusive).
`end_time`¹	Yes	Ending time in ISO 8601 (exclusive).
`interval`¹	No	Interval period. Default `1d`.
`page_size`¹	No	See Pagination. Less or equal to 1m interval → Default: 10. Max: 100. ]1m;1h] → Default: 4. Max: 10. Above 1h → Default: 1. Max: 4.
`sort`¹	No	Return the data in ascending (`asc`) or descending (`desc`) order. Default is `desc`.
`include_exchanges`¹	No	List of exchanges' `code` to include in the calculation. See Instruments Reference Data Endpoint.
`exclude_exchanges`¹	No	List of exchanges' `code` to exclude in the calculation. See Instruments Reference Data Endpoint.
`extrapolate_missing_values`²	No	If `true`, reduce the amount of `null` values by extrapolating with last computed price available. Suitable for pairs with low liquidity or short calculation intervals.

Fields

Field	Description
`timestamp`	Timestamp at which the interval begins.
`price`	Aggregated RWM (Robust Weighted Median) using liquidity path¹ engine. `null` when no trades reported, except if `extrapolate_missing_values` is `true`.
`extrapolate_missing_values`	`true` if the value has been extrapolated from the last computed value available, `false` if not.

¹: Liquidity path is calculated every 4 hours seeking for the most liquid pairs to convert from base asset to quote asset.

OANDA FX Rates

The OANDA FX Rates endpoint provides auditable, reliable and IFRS compliant FX rates for over 70 forex pairs.

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/analytics.v2/oanda_fx_rates?base=eur&page_size=2&sort=desc&interval=1d&quote=jpy'

Response Example

{
    "query": {
        "base": "eur",
        "quote": "jpy",
        "interval": "1d",
        "page_size": "2",
        "sort": "desc",
        "start_time": "null",
        "end_time": "2022-08-31T08:38:25.883Z"
    },
    "time": "2022-08-31T08:38:25.905Z",
    "timestamp": 1661935105,
    "data": [
        {
            "timestamp": 1660780800000,
            "fx_rate": "137.38630485436903"
        },
        {
            "timestamp": 1660694400000,
            "fx_rate": "137.15155641205303"
        }
    ],
    "continuation_token": "4tvMKJPYA6ESWsE7s87P2ujFvr6XRNvegzst2eg1EpdyQEPKWpuNic5XPGrhz47RzbbqC598E3XusLo34Hivgw4sYrrvdmYxL7WQVtebjtYVMUPPd97vqo2VjL22A6cTSNojTQsvHh8T6MPRjuJAMfx5LWyVZQWYyzLrSE",
    "next_url": "https://us.market-api.kaiko.io/v2/data/analytics.v2/oanda_fx_rates?continuation_token=4tvMKJPYA6ESWsE7s87P2ujFvr6XRNvegzst2eg1EpdyQEPKWpuNic5XPGrhz47RzbbqC598E3XusLo34Hivgw4sYrrvdmYxL7WQVtebjtYVMUPPd97vqo2VjL22A6cTSNojTQsvHh8T6MPRjuJAMfx5LWyVZQWYyzLrSE"
}

HTTP request

GET https://us.market-api.kaiko.io/v2/data/analytics.{data_version}/oanda_fx_rates{?start_time,end_time,interval,base,quote,sort,continuation_token}

Parameters

Parameter	Required	Description
`base`¹	Yes	The base fiat currency.
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`¹	No	Ending time in ISO 8601 (exclusive).
`interval`¹	No	Interval period. Default `1h`.
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 1000).
`quote`¹	Yes	The quote fiat currency.
`start_time`¹	No	Starting time in ISO 8601 (inclusive).
`sort`¹	No	Return the data in ascending (asc) or descending (desc) order. Default desc

¹: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token.

Fields

Field	Description
`timestamp`	Timestamp at which the interval ends.
`fx_rate`	Average fx rate over the interval.

Methodology

For each interval, the resulting fx rate is an average of all available fx rates over that period.

DEX Liquidity

DEXs liquidity pools market data is composed of two API endpoints: liquidity events & liquidity snapshots.

The liquidity events endpoint provides flows data about the mint & the burn (adds & removals) type transactions associated to tokens amounts registered on DEXs liquidity pools. This data is made available at a transactional level and at a block granularity.
The liquidity snapshots endpoint provides the total amount of reserves per token, made available at a liquidity pool level for all the covered DEXs. Specifically for Uniswap V3, this data is also made available in a per tick level, and enables the users to visualise the distribution of liquidity across ticks, for every block and liquidity pool available on Uniswap V3.

Those data are made available historically and live by both endpoints, and all at a block-by-block granularity. The supported exchanges are Uniswap, Sushiswap, Balancer, and Curve.

Liquidity Events

Request Example

curl --compressed -H "Accept: application/json" -H "X-Api-Key: <client-api-key>" \
  "https://eu.market-api.kaiko.io/v2/data/liquidity.v1/events"

Response Example

{
  "query": {
    "blockchain": "*",
    "exchange": "*",
    "pool_address": "0x7bea39867e4169dbe237d55c8242a8f2fcdcc387",
    "block_number": "*",
    "type": "*",
    "user_addresses": "*",
    "tx_hash": "*",
    "start_time": "2022-04-01 00:00:00 +0000 UTC",
    "end_time": "2022-05-01 00:00:00 +0000 UTC",
    "sort": "descending",
    "pool_contains": "*",
    "page_size": "1000"
  },
  "time": "2022-05-17T14:26:27.274Z",
  "timestamp": 1652797587,
  "data": [
    {
      "blockchain": "ethereum",
      "block_number": 14682526,
      "type": "mint",
      "pool_name": "USDC-WETH-0.010",
      "pool_address": "0x7bea39867e4169dbe237d55c8242a8f2fcdcc387",
      "exchange": "usp3",
      "transaction_hash": "0x02127cbf00c43fff6a1ec381703e66035b975e49f901ade55f1b12652e07b544",
      "log_index": 187,
      "user_address": "0x3cbd83d4a4ee504bf8b78d9c2927a9f22f27cce5",
      "price": 0.0003564194488230487,
      "amounts": [
        {"symbol": "USDC", "address": "0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48", "amount": 31.063585},
        {"symbol": "WETH", "address": "0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2", "amount": 0.5833806413127403}
      ],
      "datetime": 1651280001,
      "metadata": {"lower_ticker": 192600, "upper_ticker": 197000}
    }
    /* ... */
  ],
  "continuation_token": "xxx",
  "next_url": "https://eu.market-api.kaiko.io/v2/data/liquidity.v1/events?continuation_token=xxx"
}

HTTP request

GET https://eu.market-api.kaiko.io/v2/data/liquidity.v1/events

Parameters

Parameter	Required	Description	Example
`blockchain`	No	Should be one of the currently supported blockchain.	`ethereum`
`protocol`	No	Filter on a currently supported DEX.	`usp2`
`pool_address`	No	Pool address related to the liquidity event. Default: all liquidity pools.	`0x14de8287adc90f0f95bf567c0707670de52e3813`
`pool_contains`	No	Liquidity events including the requested token. Default: all available tokens.	`weth or weth,usdt,usdc`
`block_number`	No	Block height.	`129876`
`user_addresses`	No	Filter on specific user addresses (comma separated).	`0x479bc**`
`tx_hash`	No	Filter on a specific transaction hash.	`0xe68b84740**`
`start_block`	No	Starting block height (inclusive).	`129870`
`end_block`	No	Ending block height (inclusive).	`130000`
`start_time`	No	Starting time in ISO 8601 (inclusive).	`2022-04-01T00:00:00.000Z`
`end_time`	No	Ending time in ISO 8601 (inclusive).	`2022-05-01T00:00:00.000Z`
`sort`	No	Returns the data in ascending (asc) or descending (desc) order. Default: desc.	`asc`
`type`	No	Event type. By default both burn and mint are shown.	`burn` or `mint`
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 1000).

Fields

Field	Description	Example
`blockchain`	The blockchain on which the transaction happened.	`ethereum`
`block_number`	The height of the block in which the transaction happened.	`129876`
`type`	Event type: mint or burn.	`burn` or `mint`
`pool_name`	Name of the pool as it is written on the blockchain.	`USDC-WETH-0.001`
`pool_address`	Address of the contract of the pool.	`0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640`
`exchange`	Code of the DEX.	`usp3`
`transaction_hash`	Transaction hash	`0x3d28ec9f35692ee6e9264735cd4f92c48bccda82487144d26ebc12376a418cdc`
`log_index`	The log index of the transaction (in base 10)	`152`
`user_address`	Address that triggered the transaction.	`0x479bc00624e58398f4cf59d78884d12fb515790a`
`price`	Price of the token at the moment of the event.	`0.000358096`
`amounts`	Amounts of the tokens	See example
`datetime`	Timestamp at which the interval begins. In milliseconds.	`1650441900000`
`metadata`	Only for Uniswap v3. Upper and lower ticker of the interval on which the liquidity is provided	`{"lower_ticker": 190650, "upper_ticker": 195610}`

Liquidity Snapshots

Request Example

curl --compressed -H "Accept: application/json" -H "X-Api-Key: <client-api-key>" \
  "https://eu.market-api.kaiko.io/v2/data/liquidity.v1/snapshots"

Response Example

{
  "query":
  {
    "blockchain": "*",
    "exchange": "*",
    "pool_address": "0xbebc44782c7db0a1a60cb6fe97d0b483032ff1c7",
    "start_block": "*",
    "end_block": "*",
    "start_time": "2016-02-02 00:00:00 +0000 UTC",
    "end_time": "2038-04-03 23:59:59 +0000 UTC",
    "sort": "descending",
    "page_size": "1000"
  },
  "time": "2022-05-17T14:33:56.432Z",
  "timestamp": 1652798036,
  "data": [
    {
      "blockchain": "ethereum",
      "block_number": 14737185,
      "pool_name": "3pool",
      "pool_address": "0xbebc44782c7db0a1a60cb6fe97d0b483032ff1c7",
      "exchange": "curv",
      "transaction_hash": "0x837cf2d72008d6fd01840777f297555e84fa2ecf921e9b18b2431239391cf6fe",
      "amounts": [
        {"symbol": "DAI", "address": "0x6B175474E89094C44Da98b954EedeAC495271d0F", "amount": 844939427.8334135},
        {"symbol": "USDC", "address": "0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48", "amount": 812860376.59691},
        {"symbol": "USDT", "address": "0xdAC17F958D2ee523a2206206994597C13D831ec7", "amount": 1348165795.920551}
      ],
      "datetime": 1652028160
    }
    /* ... */
  ],
  "continuation_token": "xxx",
  "next_url": "https://eu.market-api.kaiko.io/v2/data/liquidity.v1/snapshots?continuation_token=xxx"
}

HTTP request

GET https://eu.market-api.kaiko.io/v2/data/liquidity.v1/snapshots

Parameters

Parameter	Required	Description	Example
`blockchain`	No	Should be one of the currently supported blockchain.	`ethereum`
`pool_address`	Yes	Pool address.	`0xbebc44782c7db0a1a60cb6fe97d0b483032ff1c7`
`start_block`	No	Starting block height (inclusive).	`129870`
`end_block`	No	Ending block height (inclusive).	`130000`
`start_time`	No	Starting time in ISO 8601 (inclusive).	`2022-04-01T00:00:00.000Z`
`end_time`	No	Ending time in ISO 8601 (inclusive).	`2022-05-01T00:00:00.000Z`
`sort`	No	Returns the data in ascending (asc) or descending (desc) order. Default: desc.	`asc`
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 1000).	`100`

Fields

Field	Description	Example
`blockchain`	The blockchain on which the transaction happened.	`ethereum`
`block_number`	The height of the block.	`129876`
`pool_name`	Name of the pool as it is written on the blockchain.	`3pool`
`pool_address`	Address of the contract of the pool.	`0xbebc44782c7db0a1a60cb6fe97d0b483032ff1c7`
`exchange`	Code of the DEX.	`curv`
`amounts`	Snapshot of the liquidity pool's tokens.	See example
`datetime`	Timestamp at which the interval begins. In milliseconds.	`1650441900000`

Uniswap v3 Liquidity Snapshots

Uniswap’s v3 liquidity snapshots are represented by a distribution of liquidity amongst all possible price levels for a pair of tokens. Each price range is defined by the interval [lower_tick, upper_tick[. This dataset provides the amount of tokens and liquidity made available at each price level. The range of price levels is limited to ±10% around the current price of each block. The data is provided in a block-by-block granularity.

Request Example

curl --compressed -H "Accept: application/json" -H "X-Api-Key: <client-api-key>" \
  "https://eu.market-api.kaiko.io/v2/data/liquidity.v1/snapshots/usp3"

Response Example

{
  "query": 
  {
    "blockchain": "*",
    "protocol": "usp3",
    "pool_address": "0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640",
    "start_block": "*",
    "end_block": "*",
    "start_time": "2022-12-15T00:00:00.000Z",
    "end_time": "2038-04-03T23:59:59.000Z",
    "sort": "descending",
    "page_size": "1",
    "price_range": "0.02"
  },
  "time": "2023-01-10T13:47:17.068Z",
  "timestamp": 1673358437,
  "data": [
    {
      "blockchain": "ethereum",
      "block_number": 16376727,
      "pool_name": "USDC-WETH-0.001",
      "pool_address": "0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640",
      "current_tick": 204408,
      "current_price": 0.0007531523038978548,
      "datetime": 1673357555,
      "snapshots": [
        {"amount0": 0,
        "amount1": 319.31621601508493,
        "amount": 23497518858492568000,
        "lower_tick": 204210,
        "upper_tick": 204220},
        {"amount0": 0,
        "amount1": 320.5286369101081,
        "amount": 23574947430043783000,
        "lower_tick": 204220,
        "upper_tick": 204230},

        /* ... */

        {"amount0": 341263.63629985636,
        "amount1": 0,
        "amount": 18917367912032326000,
        "lower_tick": 204600,
        "upper_tick": 204610}
      ],
      "exchange": "usp3"
    }
  ],
  "continuation_token": "xxx",
  "next_url": "https://eu.market-api.kaiko.io/v2/data/liquidity.v1/snapshots/usp3?continuation_token=xxx"
}

HTTP request

GET https://eu.market-api.kaiko.io/v2/data/liquidity.v1/snapshots/usp3

Parameters

Parameter	Required	Description	Example
`pool_address`	Yes	Pool address.	`0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640`
`blockchain`	No	Should be one of the currently supported blockchain.	`ethereum`
`start_block`	No	Starting block height (inclusive).	`129870`
`end_block`	No	Ending block height (inclusive).	`130000`
`start_time`	No	Starting time in ISO 8601 (inclusive).	`2022-04-01T00:00:00.000Z`
`end_time`	No	Ending time in ISO 8601 (inclusive).	`2022-05-01T00:00:00.000Z`
`price_range`	No	The interval of price around the current price, in % (min: 0, default: 0.1, max: 0.2).	`0.05`
`page_size`¹	No	See Pagination (min: 1, default: 10, max: 100).	`100`

Fields

Field	Description	Example
`blockchain`	The blockchain on which the transaction happened.	`ethereum`
`block_number`	The height of the block.	`16028979`
`pool_name`	Name of the pool as it is written on the blockchain.	`USDC-WETH-0.001`
`pool_address`	Address of the contract of the pool.	`0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640`
`current_tick`	The current tick at this block.	`-58580`
`current_price`	The current price at this block, normalized using the pool’s tokens decimals.	`0.0028577887443084`
`datetime`	The timestamp of the block.	`1669161611000`
`snapshots`	The snapshot of the liquidity at each tick of the pool.	See below.

Field snapshots details

Field	Description	Example
`amount0`	The amount of token0 in the specified tick range, normalized using the token0 decimals.	`0`
`amount1`	The amount of token1 in the specified tick range, normalized using the token1 decimals.	`26.4381078606`
`amount`	The amount of liquidity in the specified tick range.	`1.7305248294559624e+23`
`lower_tick`	The lower tick of the range.	`-59580`
`upper_tick`	The upper tick of the range.	`-59520`

Methodology

Link to our methodology paper: https://www.kaiko.com/pages/dex-liquidity-pool-data

Lending & Borrowing Protocols

Lending & Borrowing Events

Transactions (borrows, repayments, withdrawals, deposits and liquidations) registered on-chain, for the main L&B protocols.

Request Example

curl --compressed -H "Accept: application/json" -H "X-Api-Key: <client-api-key>" \
  "https://eu.market-api.kaiko.io/v2/data/lending.v1/events"

Response Example

{
  "query": {
        "blockchain": "*",
        "block_number": "*",
        "asset": "*",
        "user_address": "*",
        "tx_hash": "*",
        "type": "*",
        "start_time": "*",
        "end_time": "*",
        "protocol": "*",
        "sort": "descending",
        "page_size": "1000",
        "start_block": "*",
        "end_block": "*"
    },
    "time": "2022-05-17T14:26:27.274Z",
    "timestamp": 1652797587,
    "data":
    [
        {
            "blockchain": "ethereum",
            "block_number": 16025918,
            "datetime": 1669124591,
            "transaction_hash":"0xa49cfa9c026e728614ca0bdf7272eaaad5b3dd8881fd263ea19ef7d648d9c941",
            "exchange_code": "aave/v2",
            "type": "repayment",
            "user_address": "0x4f381fb46dfde2bc9dcae2d881705749b1ed6e1a",
            "asset_symbol": "crv",
            "asset_address": "0xd533a949740bb3306d119cc777fa900ba034cd52",
            "asset_decimals": 18,
            "receipt_symbol": "acrv",
            "receipt_address": "0x8dae6cb04688c62d939ed9b68d32bc62e49970b1",
            "receipt_decimals": 18,
            "amount": 299894.78,
            "metadata": {
                "borrowRateMode": 2,
                "amountInReceiptAsset": "299894.77",
                "onBehalfOf": "0x4f381fb46dfde2bc9dcae2d881705749b1ed6e1a"
            }
        }
        /* ... */
    ],
    "continuation_token": "xxx",
    "next_url": "https://eu.market-api.kaiko.io/v2/data/lending.v1/events?continuation_token=xxx"
}

HTTP request

GET https://eu.market-api.kaiko.io/v2/data/lending.v1/events

Parameters

Parameter	Required	Description	Example
`blockchain`	No	Should be one or several of the currently supported blockchain.	`ethereum`
`protocol`	No	Should be one or several of the currently supported L&B protocols.	`aav1,aav2`
`user_address`	No	Filter on a specific wallet addresses (comma separated).	`0xd8dA6BF26964aF9D7eEd9e03E53415D37aA96045`
`tx_hash`	No	Filter on a specific transaction hash.	`0xe68b84740**`
`asset`	No	L&B events including the requested token. Default: all available tokens.	`weth or weth,usdt,usdc`
`type`	No	Event type: borrow, deposit, withdraw, repayment or liquidation.	`borrow,withdraw`
`block_number`	No	Block height.	`10795593`
`start_block`	No	Starting block height (inclusive).	`129870`
`end_block`	No	Ending block height (inclusive).	`130000`
`start_time`	No	Starting time in ISO 8601 (inclusive).	`2022-04-01T00:00:00.000Z`
`end_time`	No	Ending time in ISO 8601 (inclusive).	`2022-05-01T00:00:00.000Z`
`sort`	No	Returns the data in ascending or descending order. Default: desc.	`ascending`
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 1000).	`1000`

Fields

Field	Description	Example
`blockchain`	The blockchain on which the transaction happened.	`ethereum`
`block_number`	The height of the block in which the transaction happened.	`16025918`
`datetime`	The timestamp of the block in which the transaction happened.	`1669124591`
`transaction_hash`	Transaction hash	---
`log_index`	Log index of the transaction	`152`
`protocol`	Code of the L&B protocol.	`aave/v2`
`type`	Event type: Borrow, deposit, withdraw, repayment or liquidation.	`borrow`, `deposit`, etc
`user_address`	Address of the user.	`0xd8dA6BF26964aF9D7eEd9e03E53415D37aA96045`
`asset_symbol`	Symbol of the underlying asset.	`crv`
`asset_address`	Address of the underlying asset.	`0xd533a949740bb3306d119cc777fa900ba034cd52`
`asset_decimals`	Decimals of the underlying asset.	`18`
`receipt_symbol`	Symbol of the receipt asset.	`acrv`
`receipt_address`	Address of the receipt asset.	`0x8dae6cb04688c62d939ed9b68d32bc62e49970b1`
`receipt_decimals`	Decimals of the receipt asset.	`18`
`amount`	Amounts of the borrowed token.	`299894.78`
`metadata`	Metadata linked to the event type and protocol.	More information below.

Metadata

Borrow Event

Field	Description	Example
`amount_receipt`	Amounts of the receipt token.	`299899`
`rate`	Borrow rate (at the event level or at the contract level depending on the protocol).	`0.02820253961814756`
`rate_type`	Stable (1) or Variable (2)	`1` or `2`
`on_behalf_of`	The address of user who will incur the debt.	`0xeffc18fc3b7eb8e676dac549e0c693ad50d1ce31`

Deposit Event

Field	Description	Example
`amount_receipt`	Amounts of the receipt token.	`299899`
`rate`	Supply rate of the overall lending pool.	`0.000203088325657998768898798`
`on_behalf_of`	The address that will receive the receipt tokens.	`0xeffc18fc3b7eb8e676dac549e0c693ad50d1ce31`

Withdraw Event

Field	Description	Example
`amount_receipt`	Amounts of the receipt token.	`299899`
`on_behalf_of`	The address that will receive the underlying token.	`0xeffc18fc3b7eb8e676dac549e0c693ad50d1ce31`

Repayment Event

Field	Description	Example
`amount_receipt`	Amounts of the receipt token.	`299899`
`on_behalf_of`	The address of user who will incur the debt.	`0xeffc18fc3b7eb8e676dac549e0c693ad50d1ce31`
`borrow_rate_mode`	Stable (1) or Variable (2)	`1` or `2`

Liquidation Event

Field	Description	Example
`liquidation_debt_asset_symbol`	Symbol of the debt asset.	`renfil`
`liquidation_debt_asset_address`	Address of the debt asset.	`0xd5147bc8e386d91cc5dbe72099dac6c9b99276f5`
`liquidation_debt_asset_decimals`	Decimals of the debt asset.	`18`
`liquidation_debt_amount_in_asset`	Amount of the debt asset.	`1899`
`liquidation_caller_address`	The address that triggered the liquidation transaction.	`0xdfd3bd446f1b7fd96dc995126ee845af0b1254cd`
`receive_receipt_token`	The liquidator chooses to receive the collateral's asset (False) or recept token (True).	`True` or `False`
`liquidation_type`	Debt (1) or Collateral (2)	`1`

Lending & Borrowing Rates and Liquidity

This endpoint provides information about lending pools. It shows data such as how many tokens has been deposited and borrowed, as well as the interest rates for lending and borrowing at each block.

Request Example

curl --compressed -H "Accept: application/json" -H "X-Api-Key: <client-api-key>" \
  "https://eu.market-api.kaiko.io/v2/data/lending.v1/snapshots"

Response Example

{
  "query": {
        "block_number": "*",
        "blockchain": "*",
        "asset": "usdt",
        "start_time": "*",
        "end_time": "*",
        "interval": "*",
        "protocol": "aav1",
        "sort": "descending",
        "page_size": "100",
        "start_block": "*",
        "end_block": "*"
    },
    "time": "2023-04-04T14:20:50.387Z",
    "timestamp": 1680618050,
    "data":
    [
        {
            "blockchain": "ethereum",
            "block_number": 16974429,
            "datetime": 1680597815,
            "protocol": "aav1",
            "asset_symbol": "usdt",
            "asset_address": "0xdac17f958d2ee523a2206206994597c13d831ec7",
            "asset_decimals": 6,
            "receipt_symbol": "ausdt",
            "receipt_address": "0x71fc860f7d3a592a4a98740e39db31d25db65ae8",
            "receipt_decimals": 6,
            "total_liquidity": 1486161.683036,
            "available_liquidity": 1279626.811227,
            "total_borrowed": 206534.871809,
            "supply_rate": 0.0028918593043333676,
            "stable_borrow_rate": 0.04426480046626246,
            "variable_borrow_rate": 0.0208089338773062,
            "metadata":
            {
                "total_borrowed_stable": "0",
                "total_borrowed_variable": "206534.871809"
            }
        }
        /* ... */
    ],
    "continuation_token": "xxx",
    "next_url": "https://eu.market-api.kaiko.io/v2/data/lending.v1/snapshots?continuation_token=xxx"
}

HTTP request

GET https://eu.market-api.kaiko.io/v2/data/lending.v1/snapshots

Parameters

Parameter	Required	Description	Example
`blockchain`	No	One or several of the currently supported blockchain. Default: ethereum.	`ethereum`
`protocol`	Yes	One or several of the currently supported L&B protocols.	`aav1,aav2`
`asset`	Yes	L&B events including the requested token. Default: all available tokens.	`weth or weth,usdt,usdc`
`block_number`	No	Block height.	`10795593`
`start_block`	No	Starting block height (inclusive).	`129870`
`end_block`	No	Ending block height (inclusive).	`130000`
`start_time`	No	Starting time in ISO 8601 (inclusive).	`2022-04-01T00:00:00.000Z`
`end_time`	No	Ending time in ISO 8601 (inclusive).	`2022-05-01T00:00:00.000Z`
`interval`	No	Interval between each snapshot. The suffixes are s (second), m (minute), h (hour), d (day), b (block), change (whenever a change happens). Default: 1b.	`152s`
`sort`	No	Returns the data in ascending or descending order. Default: desc.	`ascending`
`page_size`¹	No	See Pagination (min: 1, default: 100, max: 1000).	`1000`

Fields

Field	Description	Example
`blockchain`	The blockchain on which the transaction happened.	`ethereum`
`block_number`	The height of the block in which the transaction happened.	`16025918`
`datetime`	The timestamp of the block in which the transaction happened.	`1669124591`
`protocol`	Code of the L&B protocol.	`aave/v2`
`asset_symbol`	Symbol of the underlying asset.	`crv`
`asset_address`	Address of the underlying asset.	`0xd533a949740bb3306d119cc777fa900ba034cd52`
`asset_decimals`	Decimals of the underlying asset.	`18`
`receipt_symbol`	Symbol of the receipt asset.	`acrv`
`receipt_address`	Address of the receipt asset.	`0x8dae6cb04688c62d939ed9b68d32bc62e49970b1`
`receipt_decimals`	Decimals of the receipt asset.	`18`
`total_liquidity`	The total amount of liquidity for this pool.	`1486160`
`available_liquidity`	The total amount of available liquidity for this pool.	`1279630`
`total_borrowed`	The total amount of tokens borrowed for this pool.	`206535`
`supply_rate`	The supply rate.	`0.00289186`
`stable_borrow_rate`	The stable borrow rate.	`0.0442648`
`variable_borrow_rate`	The variable borrow rate.	`0.0208089`
`metadata`	Metadata specific to each protocol.	`{ }`

Metadata

AAVE v1

Field	Description	Example
`total_borrowed_stable`	The total amount of assets borrowed with a stable rate for this pool.	`0`
`total_borrowed_variable`	The total amount of assets borrowed with a variable rate for this pool.	`41872.928778`

AAVE v2

Field	Description	Example
`total_borrowed_stable`	The total amount of assets borrowed with a stable rate for this pool.	`4162389.524515`
`total_borrowed_variable`	The total amount of assets borrowed with a variable rate for this pool.	`345075360.304631`
`total_reserves`	Total liquidity - All of the debt tokens supply.	`51387128.92415`

Compound

Field	Description	Example
`total_reserves`	Total liquidity - All of the debt tokens supply.	`3486037.365878`

Cream

Field	Description	Example
`total_reserves`	Total liquidity - All of the debt tokens supply.	`033661.402437`

Maker

Field	Description	Example
`collateral_ratio`	Minimum ratio of collateral before liquidation.	`1.5`
`debt_ceiling`	Maximum amount of DAI that can be emitted on this type of vault.	`2500000`
`debt_floor`	Minimum amount of DAI that can be minted for this type of Vault.	`2000`

Portfolio Solutions

Custom Valuation

The Custom Valuation endpoint allows you to build completely customizable single-asset or multi-asset price feeds for NAV calculations, portfolio valuation, asset allocation strategies, and indices.

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v1/valuation?start_time=2021-04-01T16:00:00.000Z&end_time=2021-04-15T16:00:00.000Z&interval=1d&semi_length_window=30m&exchanges=cbse,stmp,bfnx,gmni&bases=btc,ltc,pdot,eth,ada&weights=0.4,0.2,0.1,0.2,0.1&percentages=0.9&quote=usd&sources=true'

Response Example

{
    "query": {
        "start_time": "2021-04-01T16:00:00.000Z",
        "end_time": "2021-04-15T16:00:00.000Z",
        "page_size": 100,
        "interval": "1d",
        "semi_length_window": "30m",
        "exchanges": [
            "cbse",
            "stmp",
            "bfnx",
            "gmni"
        ],
        "sources": false,
        "bases": [
            "btc",
            "ltc",
            "pdot",
            "eth",
            "ada"
        ],
        "weights": [
            "0.4",
            "0.2",
            "0.1",
            "0.2",
            "0.1"
        ],
        "percentages": [
            "0.9",
            "1"
        ],
        "quote": "usd",
        "data_version": "v1",
        "commodity": "trades",
        "request_time": "2021-08-05T15:29:01.797Z",
        "start_timestamp": 1617292800000,
        "end_timestamp": 1618502400000
    },
    "time": "2021-08-05T15:29:02.480Z",
    "timestamp": 1628177342480,
    "data": [
        {
            "datetime": "2021-04-01 16:00:00 UTC",
            "timestamp": 1617292800000,
            "response_by_percentages": [
                {
                    "percentage": 0.9,
                    "price": "100.0",
                    "response_by_pairs": [
                        {
                            "pair": "ada-usd",
                            "contribution": "10.0",
                            "ref_price": "1.1952953546487899",
                            "weight": 0.1
                        },
                        {
                            "pair": "btc-usd",
                            "contribution": "40.0",
                            "ref_price": "58975.26519568538",
                            "weight": 0.4
                        },
                        {
                            "pair": "eth-usd",
                            "contribution": "20.0",
                            "ref_price": "1944.7174052029602",
                            "weight": 0.2
                        },
                        {
                            "pair": "ltc-usd",
                            "contribution": "20.0",
                            "ref_price": "203.41030791068567",
                            "weight": 0.2
                        },
                        {
                            "pair": "pdot-usd",
                            "contribution": "10.000000000000002",
                            "ref_price": "37.88622037567283",
                            "weight": 0.1
                        }
                    ]
                },
                {
                    "percentage": 1.0,
                    "price": "100.0",
                    "response_by_pairs": [
                        {
                            "pair": "ada-usd",
                            "contribution": "10.0",
                            "ref_price": "1.1950047448446344",
                            "weight": 0.1
                        },
                        {
                            "pair": "btc-usd",
                            "contribution": "40.0",
                            "ref_price": "58967.98807937056",
                            "weight": 0.4
                        },
                        {
                            "pair": "eth-usd",
                            "contribution": "20.0",
                            "ref_price": "1945.0143276289953",
                            "weight": 0.2
                        },
                        {
                            "pair": "ltc-usd",
                            "contribution": "20.0",
                            "ref_price": "203.3154778118961",
                            "weight": 0.2
                        },
                        {
                            "pair": "pdot-usd",
                            "contribution": "10.0",
                            "ref_price": "37.88470890631195",
                            "weight": 0.1
                        }
                    ]
                }
            ]
        },
        {
            "datetime": "2021-04-02 16:00:00 UTC",
            "timestamp": 1617379200000,
            "response_by_percentages": [
                {
                    "percentage": 0.9,
                    "price": "102.65406334012563",
                    "response_by_pairs": [
                        {
                            "pair": "ada-usd",
                            "contribution": "10.157886022869157",
                            "ref_price": "1.2141673976187375",
                            "weight": 0.1
                        },
                        {
                            "pair": "btc-usd",
                            "contribution": "40.30999169598325",
                            "ref_price": "59432.31125766219",
                            "weight": 0.4
                        },
                        {
                            "pair": "eth-usd",
                            "contribution": "21.25300137809248",
                            "ref_price": "2066.5540846389476",
                            "weight": 0.2
                        },
                        {
                            "pair": "ltc-usd",
                            "contribution": "20.41100604813737",
                            "ref_price": "207.5904512509245",
                            "weight": 0.2
                        },
                        {
                            "pair": "pdot-usd",
                            "contribution": "10.522178195043386",
                            "ref_price": "39.864556192951305",
                            "weight": 0.1
                        }
                    ]
                },
                {
                    "percentage": 1.0,
                    "price": "102.67165672438934",
                    "response_by_pairs": [
                        {
                            "pair": "ada-usd",
                            "contribution": "10.16399109677373",
                            "ref_price": "1.2146017587203226",
                            "weight": 0.1
                        },
                        {
                            "pair": "btc-usd",
                            "contribution": "40.31602493751589",
                            "ref_price": "59433.871948076085",
                            "weight": 0.4
                        },
                        {
                            "pair": "eth-usd",
                            "contribution": "21.25496657463498",
                            "ref_price": "2067.060726047021",
                            "weight": 0.2
                        },
                        {
                            "pair": "ltc-usd",
                            "contribution": "20.419550174222547",
                            "ref_price": "207.58053001880216",
                            "weight": 0.2
                        },
                        {
                            "pair": "pdot-usd",
                            "contribution": "10.517123941242193",
                            "ref_price": "39.843817904556474",
                            "weight": 0.1
                        }
                    ]
                }
            ]
        },
  /* ... */
],
    "result": "success",
    "continuation_token": "6zEL19kG8ZZehSMyiuQ7Xir9uWneTvkPUAopSsPFZZ89BfGjGprvwjTQxSk1kMuHWE9dW4atmhckBeT1jXvTcUBhqgy4v6wXj3nD1kBqJtfmy1GJjpnNTMcJ5FpnpHYtRRkzPtcFGccnnbNGxmAcQaqyF7hrZFziaqR8CBUcqY9p7Z6mEQkZxmwL5Dc1soKfNvvDfu8JdE5mkZgimxQRx7zVnZG2Xaoz8MfjYA2TjiEjKJZ858dwsCkdWktKee22iBJrNwCX3KGMAvZd1pMYX98w3umATw8SfbqFsZZ1BRZDwRUAaF4sn3tufjKX6RirUUACWeqtfeZp1DWdfKrbXo3hckpMmZC3yVndjvfb5sFHBy73gkoSvJsQTsqnibgoR3dCQQq4cfmX6NWRe4Vucc5Qn6jUjvodqysCRnJjp",
    "next_url": "https://us.market-api.kaiko.io/v2/data/trades.v1/valuation?continuation_token=6zEL19kG8ZZehSMyiuQ7Xir9uWneTvkPUAopSsPFZZ89BfGjGprvwjTQxSk1kMuHWE9dW4atmhckBeT1jXvTcUBhqgy4v6wXj3nD1kBqJtfmy1GJjpnNTMcJ5FpnpHYtRRkzPtcFGccnnbNGxmAcQaqyF7hrZFziaqR8CBUcqY9p7Z6mEQkZxmwL5Dc1soKfNvvDfu8JdE5mkZgimxQRx7zVnZG2Xaoz8MfjYA2TjiEjKJZ858dwsCkdWktKee22iBJrNwCX3KGMAvZd1pMYX98w3umATw8SfbqFsZZ1BRZDwRUAaF4sn3tufjKX6RirUUACWeqtfeZp1DWdfKrbXo3hckpMmZC3yVndjvfb5sFHBy73gkoSvJsQTsqnibgoR3dCQQq4cfmX6NWRe4Vucc5Qn6jUjvodqysCRnJjp",
    "access": {
        "access_range": {
            "start_timestamp": 1601251200000,
            "end_timestamp": 1898639999000
        },
        "data_range": {
            "start_timestamp": 1514764800000,
            "end_timestamp": 1893542399000
        }
    }
}

HTTP request

GET https://us.market-api.kaiko.io/v2/data/trades.{data_version}/valuation{?start_time,end_time,interval,semi_length_window,exchanges,bases,quote,weights,percentages,sources,continuation_token}

Parameters

Parameter	Required	Description
`bases`	Yes	List of base components. Min. 1, max. 5
`continuation_token`	No	See Pagination.
`data_version`	Yes	The data version. (v1, v2 ... or latest)
`end_time`	No	Last fixing of the calculation in ISO 8601 (exclusive).
`exchanges`	No	List of exchanges to source data from. See Instruments Reference Data Endpoint. Default: all exchanges
`interval`	No	Frequency in time unit after the first fixing. Default: `1d`.
`percentages`	Yes	List of percentages for outlier management. To not enforce any outlier management, use `1`
`start_time`	No	First fixing of the calculation in ISO 8601 (inclusive).
`semi_length_window`	Yes	The time interval to compute the transaction.
`sources`	No	`boolean`. If `true`, returns all prices and volumes which were used to calculate valuation price. Default: `false`
`quote`	Yes	The fiat pricing currency.
`weights`	Yes	Weighting list of base assets. For single-asset price feeds use an asset weighting of “1”

This endpoint uses data from CEXs as well as DEXs

Fields

Field	Description
`timestamp`	Timestamp at which the interval begins.
`percentage`	Percent of the price distribution centered around the median price.
`price`	The composite price, with a base of 100.
`pair`	The constituent pair.
`contribution`	The asset contribution to the composite price.
`ref_price`	The reference price per asset.
`weight`	The weight per asset.

Computation and Constraints

Considering the volume of data points processed for the computation of each data point, some parameter constraints have been implemented in order to optimize computation time:

The number of bases must be less or equal to 5
The number of percentages must be less or equal to 5
weights and bases must have the same length
The order of bases and their respective weighting must match
weights must sum up to 1
Each response will only contain maximum 7 days of data. To get more data, the continuation_token should be used.
The interval must be greater than twice the semi_length_window

Value at Risk

Daily Value at Risk (VaR) estimator for single and multi-asset portfolios. Computed by a proprietary and thoroughly backtested methodology that accounts for the idiosyncrasies of crypto market structure.

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/analytics.v2/value_at_risk?bases=eth,btc,ltc&exchanges=krkn,bfnx,cbse&quantities=3,2,5&quote=usd&risk_level=0.95&start_time=2021-12-01T00:00:00.000Z&end_time=2022-01-31T00:00:00.000Z&sources=true'

Response Example


{'query': {'bases': 'eth,btc,ltc',
  'quote': 'usd',
  'quantities': '3,2,5',
  'exchanges': 'krkn,bfnx,cbse',
  'risk_level': '0.95',
  'sources': False,
  'data_version': 'v2',
  'commodity': 'value_at_risk',
  'request_time': '2022-05-11T14:42:47.314Z'},
 'time': '2022-05-11T14:42:48.799Z',
 'timestamp': 1652280168799,
 'data': [{'var_time': 1638316800000,
   'value_at_risk': {'value': 7648.7047100842665, 'risk_level': 0.95},
   'additional_vars': [{'value': 5216.766813519607, 'risk_level': 0.9},
    {'value': 7648.7047100842665, 'risk_level': 0.95},
    {'value': 10695.158816273437, 'risk_level': 0.975},
    {'value': 11521.662806007604, 'risk_level': 0.99}]},
  {'var_time': 1638403200000,
   'value_at_risk': {'value': 7608.531173554313, 'risk_level': 0.95},
   'additional_vars': [{'value': 5172.594911635809, 'risk_level': 0.9},
    {'value': 7608.531173554313, 'risk_level': 0.95},
    {'value': 10601.094511103178, 'risk_level': 0.975},
    {'value': 11453.74286744954, 'risk_level': 0.99}]},
    /*...*/ 
    ]
 'sources': {'prices': [{'pair': 'btc-usd',
    'prices': [{'ref_price': 19654.54367375727,
      'date': {'seconds': 1606780800}},
     {'ref_price': 18635.848095178895, 'date': {'seconds': 1606867200}},
     {'ref_price': 19258.534066235912, 'date': {'seconds': 1606953600}},
     /*...*/
    }]}],
  'quantities': [3, 2, 5],
  'start_date': {'seconds': 1638316800},
  'end_date': {'seconds': 1643587200},
  'risk_level': 0.95,
  'additional_risk_levels': [0.9, 0.95, 0.975, 0.99],
  'decay': 30,
  'bases': ['eth', 'btc', 'ltc']},
   /*...*/
   }          
  }

HTTP request

GET https://us.market-api.kaiko.io/v2/data/analytics.v2/value_at_risk?bases=eth,btc,ltc&exchanges=krkn,bfnx,cbse&quantities=3,2,5&quote=usd&risk_level=0.95&start_time=2021-12-01T00:00:00.000Z&end_time=2022-01-31T00:00:00.000Z&sources=true

Parameters

Parameter	Required	Description
`bases`	Yes	List of portfolio base components. Min 1, max 5.
`quote`	Yes	The fiat currency.
`quantities`	Yes	Quantities list of base asset in the portfolio.
`risk_level`	Yes	The Value at Risk confidence level. Between 0.90 (included) and 1 (excluded).
`start_time`	Yes	First fixing of the calculation in ISO 8601 (inclusive).
`end_time`	Yes	Last fixing of the calculation in ISO 8601 (inclusive).
`exchanges`	Yes	List of exchanges to source data from. See Instruments Reference Data Endpoint
`sources`	No	boolean. If true, returns all pair prices which were used to compute the Value at Risk. (Default: false)
`data_version`	Yes	The data version. (v1, v2 ... or latest)

This endpoint uses data from CEXs as well as DEXs.

Fields

Parameter	Description
`var_time`	The time at which the VaR is computed.
`value_at_risk`	Composed of two fields: value and risk_level (the Value at Risk estimator at the specified risk_level.)
`additional_vars`	List of additional VaRs for standard risk levels.
`pair`	The constituent pair. (showing only when `sources` is set to be true)
`ref_price`	The reference price per asset. (showing only when `sources` is set to be true)
`date`	The date of the reference price. (showing only when `sources` is set to be true)

Computation and constraints

Considering the volume of data points processed for the computation of each data point, some parameter constraints have been implemented in order to optimize computation time:

The number of bases must be less or equal to 5
quantitiesand bases must have the same length
The order of bases and their respective quantities must match
The pair base-quote should exist for all base
The risk_level should be between 0.9 (included) and 1 (excluded).

Derivatives Metrics

Derivatives Metrics API endpoint provides derivatives-specific data of futures, options, and perpetual futures. We currently provide historical derivatives data - beginning in July 2020 - updated once per minute. List of 6 supported exchanges are as follows: BitMEX, Deribit, OKEx, Kraken, Binance, and Bybit. More to be added soon.

It is comprised of 3 endpoints: reference, risk, and price. The reference endpoint provides details of the contracts, including base asset, quote asset, contract size, contract size unit, listing_timestamp, expiry, strike price, and underlying index. The risk endpoint indicates data that can be used to analyze risks related with derivatives, such as open interest, funidng rates, and option greeks. The price endpoint shows the mark price, index price, and price (last traded price).

Reference

The reference API endpoint provides details of a contract, which is the smallest unit of derivatives trading in most cases. The details include base asset, quote asset, contract size, contract size unit for all the types of derivatives, expiry for futures and options, and strike price for options. You can find a list of instruments using a parameter or several parameters. For example, you can find all the instruments whose base_assets is btc and quote_assets is usdt, if you put btc as an base_assets and usdt as an quote_assets.

You can have the list of futures or options that can be traded between two time points by using start_time and end_time parameters. For example, if you want to find all the tradable futures or options between 2022-10-01 and 2022-10-02, then you can assign the following values 2022-10-01T00:00:00.000Z and 2022-10-03T00:00:00.000Z to start_time and end_time respectively. If you want to find futures or options traded at one specific time point, please assign the same time point to start_time and end_time. If only either of start_time or end_time is specified, the other parameter is inferred as the table shown below.

`start_time (ISO 8601)`	`end_time (ISO 8601)`	Description
Given	Given	`start_time (ISO 8601)` and `end_time (ISO 8601)` are the specified datetime respectively
Given	Not given	`end_time (ISO 8601)` = `start_time (ISO 8601)` + 1 day
Not given	Given	`start_time (ISO 8601)` = `end_time (ISO 8601)` - 1 day
Not given	Not given	all the instruments will be shown regardless of dates

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/derivatives.v2/reference?exchange=drbt&instrument_class=option&base_assets=btc&page_size=50'

Response Example

{
    "query": {
        "exchange": "drbt",
        "instrument_class": "option",
        "base_assets": [
            "btc"
        ],
        "page_size": "50",
        "data_version": "v2",
        "commodity": "derivatives",
        "request_time": "2022-11-30T15:26:49.66Z"
    },
    "time": "2022-11-30T15:26:55.623Z",
    "timestamp": 1669822015623,
    "data": [
        {
            "exchange": "drbt",
            "instrument_class": "option",
            "instrument": "btc10apr204750c",
            "base": "btc",
            "quote": "usd",
            "contract_size": "1",
            "contract_size_unit": "btc",
            "listing_timestamp": "2020-03-28 03:21:00 UTC",
            "expiry": "2020-04-10 08:00:00 UTC",
            "strike_price": "4750",
            "underlying_index": "SYN.BTC-10APR20"
        },
        /*---*/
    ],
    "result": "success",
    "continuation_token": "VHoT1C16LjCmtrfParGdwd4mVJnV1Qaqx5AMgXWsYawuiw68Qfymdf215NBcg9LzPJNxA9cZsBjB5S8JBHd8Giw2qoFDFvJ1tP3M5",
    "next_url": "https://us.market-api.kaiko.io/v2/data/derivatives.v2/reference?continuation_token=VHoT1C16LjCmtrfParGdwd4mVJnV1Qaqx5AMgXWsYawuiw68Qfymdf215NBcg9LzPJNxA9cZsBjB5S8JBHd8Giw2qoFDFvJ1tP3M5",
    "access": {
        "access_range": {
            "start_timestamp": 1646006400000,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

HTTP request

GET https://<eu|us>.market-api.kaiko.io/v2/data/derivatives.v2/reference

Parameters

Parameter	Required	Description	Example
`exchange`	Yes	Should be one of the exchanges currently supported	`okex`
`instrument_class`	Yes	`future`, `perpetual-future`, or `option`	`future`
`instrument`	No	Instrument `code`. See Instruments Reference Data Endpoint.	`ethusd220624`, `btc220624`, `usdt`, `btcmay22`
`base_assets`	No	For finding the instruments with the certain base asset	`btc`, `eth`
`quote_assets`	No	For finding the instruments with the certain quote asset	`usd`, `usdt`
`option_type`	No	`option` only. For finding either only the call options or put options	`C`, `P`
`start_time`	No	`future` & `option` only. Used to retrieve futures and options that expire after this date and time (inclusive)	`2022-06-23T00:01:00.000Z`
`end_time`	No	`future` & `option` only. Used to retrieve futures and options that are listed before this date and time (exclusive)	`2022-06-25T23:59:00.000Z`
`page_size`	No	See Pagination (min: 1, default: 1000, max: 1000)	`500`

Fields

Field	Description	Example
`exchange`	The exchange where the specified instrument is being traded	`okex`
`instrument_class`	Shows wether the specified instrument is `future`, `perpetual-future` or `option`	`future`
`instrument`	The specified instrument	`btcusd220624`
`base`	The base asset of the instrument	`btc`
`quote`	The unit in which the instrument is quoted	`usdt`
`contract_size`	Size of the contract	`0.01`
`contract_size_unit`	Unit in which contract is denominated	`btc`
`funding_rate_frequency`	`perpetual-future` only. Interval at which the funding rate is paid	`8h`
`listing_timestamp`	`future` & `option` only. The timestamp when a certain option instrument is listed on the exchange	`2020-03-28 03:21:00 UTC`
`expiry`	`future` & `option` only. Expiration date of the contract	`2022-06-24 08:00:00 UTC`
`strike_price`	`option` only. The strike price of the contract in USD.	`60000`
`underlying_index`	`option` only. Name of the underlying asset	`SYN.BTC-10APR20`

Risk

The risk API endpoint indicates the information that can be used to analyze risks related with derivatives, such as open interest, funding rates, and option greeks. As instrument is a required parameter, the data of a single instrument is returned per query. When interval is greater than 1m (1 minute), the last minutely value is shown as an output. For instance, when interval is 1h, the data for 09:00 timestamp is the data from 09:59 timestamp with interval 1m.

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/derivatives.v2/risk?exchange=okex&instrument_class=perpetual-future&instrument=btc-usdt&page_size=2'

Response Example

{
    "query": {
        "page_size": "2",
        "exchange": "okex",
        "instrument_class": "perpetual-future",
        "instrument": "btc-usdt",
        "sort": "desc",
        "data_version": "v2",
        "commodity": "derivatives",
        "request_time": "2022-04-28T10:17:48.180Z"
    },
    "time": "2022-04-28T10:17:48.698Z",
    "timestamp": 1651141068698,
    "data": [
        {
            "timestamp": 1651141020000,
            "24h_volume": "10428503",
            "open_interest": "1084816",
            "funding_rate": "-0.0001225804461251",
            "predicted_funding_rate": "-0.0000652655998942"
        },
        {
            "timestamp": 1651140960000,
            "24h_volume": "10423219",
            "open_interest": "1086823",
            "funding_rate": "-0.0001225804461251",
            "predicted_funding_rate": "-0.0000654154039082"
        },

    ],

    /* ... */

    "access": {
        "access_range": {
            "start_timestamp": 1646006400,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

HTTP request

GET https://eu.market-api.kaiko.io/v2/data/derivatives.v2/risk

Parameters

Parameter	Required	Description	Example
`exchange`	Yes	Should be one of the exchanges currently supported	`okex`
`instrument_class`	Yes	`future`, `perpetual-future`, or `option`	`future`
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint	`btcusd220624`
`interval`	No	Interval period (can be one of `1m`, `1h`, `4h`, and `1d`). Default `1m`	`1h`
`page_size`	No	See Pagination (min: 1, default: 100, max: 1000).	`10`
`sort`	No	Return the data in ascending (asc) or descending (desc) order. Default desc	`asc`
`start_time`	No	Starting time in ISO 8601 (inclusive).	`2022-04-20T00:03:00.000Z`
`end_time`	No	Ending time in ISO 8601 (exclusive).	`2022-04-20T08:05:00.000Z`

Fields

Field	Description	Example
`timestamp`	Timestamp at which the interval begins. In milliseconds.	`1650441900000`
`24h_volume`	The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)	`5270648`
`open_interest`	The total oustanding number of contracts (units in which open interest metrics are quoted vary by exchange)	`1127623`
`funding_rate`	`perpetual-future` only. The current funding rate.	`-0.0000756735759807`
`predicted_funding_rate`	`perpetual-future` only. The predicted funding rate for the next period.	`-0.0000845044644161`
`time_to_expiry`	`future` & `option` only. The number of minutes remaining before expiry.	`41504`
`nearby`	`future` & `option` only. The soonest expiring contract with the same base & quote asset on the specified exchange	boolean value
`quarterly_nearby`	`future` & `option` only. The soonest expiring quarterly contract with the same base & quote asset on the specified exchange	boolean value
`ask_iv`	`option` only. Implied volatility for the best ask.	`57.5`
`bid_iv`	`option` only. Implied volatility for the best bid.	`65.4`
`mark_iv`	`option` only. The implied volatility for the mark price.	`69.42`
`delta`	`option` only. The delta value for the option.	`0.8841`
`gamma`	`option` only. The gamma value for the option.	`0.00003`
`rho`	`option` only. The rho value for the option.	`21.26122`
`theta`	`option` only. The theta value for the option.	`-26.18193`
`vega`	`option` only. The vega value for the option.	`2.36321`

Price

The price API endpoint shows the mark price, index price, and price (last traded price). These prices are collected once every minute. As instrument is a required parameter, the data of a single instrument is returned per query. When interval is greater than 1m (1 minute), the last minutely value is shown as an output. For instance, when interval is 1h, the data for 09:00 timestamp is the data from 09:59 timestamp with interval is 1m.

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://eu.market-api.kaiko.io/v2/data/derivatives.v2/price?exchange=okex&instrument_class=perpetual-future&instrument=btc-usdt&page_size=2'

Response Example

{
    "query": {
        "exchange": "okex",
        "instrument_class": "perpetual-future",
        "instrument": "btc-usdt",
        "interval": "1m",
        "page_size": 2,
        "sort": "desc",
        "data_version": "v2",
        "commodity": "derivatives",
        "request_time": "2022-04-28T12:36:34.981Z"
    },
    "time": "2022-04-28T12:36:37.166Z",
    "timestamp": 1651149397166,
    "data": [
        {
            "timestamp": 1651149360000,
            "index_price": null,
            "mark_price": "39707.8",
            "price": "39709.7"
        },
        {
            "timestamp": 1651149300000,
            "index_price": "39713.3",
            "mark_price": "39745.9",
            "price": "39767"
        }
    ],

    /*---*/

    "access": {
        "access_range": {
            "start_timestamp": 1646006400000,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

HTTP request

GET https://eu.market-api.kaiko.io/v2/data/derivatives.v2/price

Parameters

Parameter	Required	Description	Example
`exchange`	Yes	Should be one of the exchanges currently supported	`okex`
`instrument_class`	Yes	`future`, `perpetual-future`, or `option`	`future`
`instrument`	Yes	Instrument `code`. See Instruments Reference Data Endpoint	`btcusd220624`
`interval`	No	Interval period (can be one of `1m`, `1h`, `4h`, and `1d`). Default `1m`	`1h`
`page_size`	No	See Pagination (min: 1, default: 100, max: 1000).	`10`
`sort`	No	Return the data in ascending (`asc`) or descending (`desc`) order. Default `desc`	`asc`
`start_time`	No	Starting time in ISO 8601 (inclusive).	`2022-04-20T00:03:00.000Z`
`end_time`	No	Ending time in ISO 8601 (exclusive).	`2022-04-20T08:05:00.000Z`

Fields

Field	Description	Example
`timestamp`	Timestamp at which the interval begins. In milliseconds.	`1650441900000`
`index_price`	The price of the underlying index, often as a weighted average across multiple exchanges' spot prices	`39713.3`
`mark_price`	The mark price of the contract. It is used for calculating profit and loss (PnL) and liquidation price. Designed to be fair and avoid price manipulation.	`39745.9`
`price`	Most recent traded price of derivative contract	`39767`

Derivatives Analytics

Implied Volatility Smile

This analytics API suite provides calibrated implied volatilities extracted from options market prices. The implied_volatility_smile endpoint returns a volatility curve for a listed expiry date computed on a set of strike prices. The computation includes space interpolation and allows users to compute consistent volatilities on non-listed strikes. Implied volatilities for non-listed expiries will be coming soon.

Data from Deribit & OKX can be included in the computation of implied volatility.

List of currently supported assets: BTC, ETH. More to be added soon.

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smile?base=btc&quote=usd&exchange=drbt&time=2022-09-20T16:15:00.000Z&expiry=2022-12-30T00:00:00.000Z&strikes=10000,15000,20000,40000'

Response Example

{
    "query": {
        "base": "btc",
        "quote": "usd",
        "exchange": "drbt",
        "time": "2022-11-28T16:15:00.000Z",
        "expiry": "2022-12-30T00:00:00.000Z",
        "data_version": "v2",
        "commodity": "analytics",
        "request_time": "2022-12-06T09:34:30.239Z"
    },
    "time": "2022-11-28T16:15:00.000Z",
    "expiry": "2022-12-30T00:00:00.000Z",
    "time_to_expiry": 0.08679977796739592,
    "implied_volatilities": [
        {
            "strike": 10000,
            "forward_log_moneyness": -0.4776318615692172,
            "implied_volatility": 1.0740308058964807,
            "delta": -0.04769169501102011,
            "gamma": 0.000019523790284227208
        },
        {
            "strike": 20000,
            "forward_log_moneyness": 0.21551531899072807,
            "implied_volatility": 0.5854937657743687,
            "delta": 0.12238690311373696,
            "gamma": 0.00007314557734786866
        },
        {
            "strike": 40000,
            "forward_log_moneyness": 0.9086624995506734,
            "implied_volatility": 0.9088355521899045,
            "delta": 0.0005576514757374973,
            "gamma": 4.567434848993305e-7
        },
        {
            "strike": 15000,
            "forward_log_moneyness": -0.07216675346105281,
            "implied_volatility": 0.6234182556166117,
            "delta": -0.3139268868260898,
            "gamma": 0.00012013816990700113
        }
    ]
}

HTTP request

GET https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smile?base=btc&quote=usd&exchange=drbt&time=2022-09-20T16:15:00.000Z&expiry=2022-12-30T00:00:00.000Z&strikes=10000,15000,20000,40000

Parameters

Parameter	Required	Description	Comments	Example
`base`	Yes	The desired base as the underlying of the options.	`btc` and `eth` only available for now.	`btc`, `eth`
`quote`	Yes	The desired quote as the underlying of the options.	`usd` only available for now.	`usd`
`exchange`	No	The desired exchange as source of options data.	`drbt` only or `drbt & okx` available for now.	`drbt`
`time`	Yes	The time at which to compute implied volatilities	The time t should be smaller than the expiry T	`2022-09-20T16:15:00.000Z`
`expiry`	Yes	The expiry for which the implied volatilities are to be computed	- It must be an existing expiry on the selected exchange and tradable at the time of the computation. - The time to expiry must be higher than 1 full week.	`2022-12-30T08:00:00.000Z`
`strikes`	Yes, if `forward_log_moneynesses` parameter is not used.	The strike prices for which the implied volatilities are to be computed. Strike prices can be exiting or non existing ones (space interpolation included)	Either `strikes` or `forward_log_moneynesses` should be filled.	singular: `10000` plural: `10000,15000,20000`
`forward_log_moneynesses`	Yes, if `strikes` is not used.	The forward log moneyness for which the implied volatilities are to be computed	Either `strikes` or `forward_log_moneynesses` should be filled.	singular: `1` plural: `0.5,1,1.5`

Fields

Field	Description	Example
`time`	The time in parameter	`2022-09-20T16:15:00.000Z`
`expiry`	The expiry in parameter	`2022-12-30T00:00:00.000Z`
`time_to_expiry`	The associated time to expiry in year	`0.27580868156450355`
`implied_volatilities`	The list of requested implied volatilities	`[{"strike": 40000, "forward_log_moneyness": 0.7348555803648208, "implied_volatility": 0.7341747093260883, "delta": 0.04334612697660922, "gamma": 0.000012437991693543254}, {"strike": 20000, "forward_log_moneyness": 0.041708399804875465, "implied_volatility": 0.6670092468551713, "delta": 0.5223606946028295, "gamma": 0.00005929353471794603}, ... ]`
`delta`	The first derivative of the price with regards to the underlying price	`2.8863019124747424e-7`
`gamma`	The second derivative of the price with regards to the underlying price	`2.416523346501216e-10`

Implied Volatility Surface

Retrieve calibrated and interpolated implied volatilities from options market prices. The implied_volatility_surface endpoint returns a volatility surface for a given list of expiries or time-to-expiries grid and a given set of strike prices or forward log moneyness grid. The computation includes space and time interpolation and allows users to compute consistent volatilities on non-listed strikes and non-listed expiries.

Data from Deribit & OKX can be included in the computation of implied volatility.

List of currently supported assets: BTC, ETH. More to be added soon.

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_surface?base=eth&quote=usd&time=2022-06-25T16:00:00.000Z&f_log_m_min=-1.5&f_log_m_max=1.5&f_log_m_step=0.05&expiry_list=2023-03-31T02:00:00.000Z,2022-08-28T08:00:00.000Z,2022-08-30T08:00:00.000Z,2022-09-01T08:00:00.000Z&exchange=drbt,okex'

Response Example

{
    "query": {
        "base": "eth",
        "quote": "usd",
        "time": "2022-06-25T16:00:00.000Z",
        "data_version": "v2",
        "commodity": "analytics",
        "request_time": "2023-04-06T08:37:04.051Z"
    },
    "time": "2023-04-06T08:37:05.456Z",
    "timestamp": 1680770225456,
    "data": [
        {
            "expiry": "2022-08-28T08:00:00.000Z",
            "time_to_expiry": 0.17442922374429223,
            "strike": 265.88827409960714,
            "forward_log_moneyness": -1.5,
            "implied_volatility": 1.8088997727784055,
            "delta": -0.009058250602524742,
            "gamma": 0.000027152549142705487
        },
        {
            "expiry": "2022-08-28T08:00:00.000Z",
            "time_to_expiry": 0.17442922374429223,
            "strike": 279.52065742622284,
            "forward_log_moneyness": -1.45,
            "implied_volatility": 1.7845929767916238,
            "delta": -0.01022163771763096,
            "gamma": 0.000030587874591936054
        },
        {
            "expiry": "2022-08-28T08:00:00.000Z",
            "time_to_expiry": 0.17442922374429223,
            "strike": 293.85198799221234,
            "forward_log_moneyness": -1.4,
            "implied_volatility": 1.7600100465171926,
            "delta": -0.011539347423429991,
            "gamma": 0.00003446720778881564
        },
        {
            "expiry": "2022-08-28T08:00:00.000Z",
            "time_to_expiry": 0.17442922374429223,
            "strike": 308.91810158884726,
            "forward_log_moneyness": -1.35,
            "implied_volatility": 1.7351444179560156,
            "delta": -0.013032741725007235,
            "gamma": 0.00003884923744431701
        },
        {
            "expiry": "2022-08-28T08:00:00.000Z",
            "time_to_expiry": 0.17442922374429223,
            "strike": 324.7566713477074,
            "forward_log_moneyness": -1.3,
            "implied_volatility": 1.7099896053160146,
            "delta": -0.01472630482905779,
            "gamma": 0.000043800533412823644
        },
        {
            "expiry": "2022-08-28T08:00:00.000Z",
            "time_to_expiry": 0.17442922374429223,
            "strike": 341.4073019431325,
            "forward_log_moneyness": -1.25,
            "implied_volatility": 1.6845392816389113,
            "delta": -0.016648129709696202,
            "gamma": 0.00004939658874760391
        },
        /* ... */
    ]
}

HTTP request

GET https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_surface?base=eth&quote=usd&time=2022-06-25T16:00:00.000Z&f_log_m_min=-1.5&f_log_m_max=1.5&f_log_m_step=0.05&expiry_list=2023-03-31T02:00:00.000Z,2022-08-28T08:00:00.000Z,2022-08-30T08:00:00.000Z,2022-09-01T08:00:00.000Z&exchange=drbt,okex

Parameters

Parameter	Required	Description	Comments	Example
`base`	Yes	The desired base as the underlying of the options.	`btc` and `eth` only available for now.	`btc`, `eth`
`quote`	Yes	The desired quote as the underlying of the options.	`usd` only available for now.	`usd`
`exchange`	Yes	The desired exchange as source of options data.	`drbt` only or `drbt & okx` available for now.	`drbt`
`time`	Yes	The time at which to compute implied volatilities	The time t should be smaller than the lowest requested expiry.	`2022-06-25T16:00:00.000Z`
`expiry_list`	Yes, if the set of parameters (`tte_min`, `tte_max`, `tte_step`) is not used.	The expiries for which the implied volatilities are to be computed. Expiries can be listed or non-listed ones.	- Expiries must be between minimum and maximum listed maturities on exchanges. - Either `expiry_list` or (`tte_min`, `tte_max`, `tte_step`) should be filled.	`expiry_list=2022-08-28T08:00:00.000Z, 2022-08-30T08:00:00.000Z` or `tte_min=0.034288&tte_max=1&tte_step=0.02`
`tte_min`	Yes, if `expiry_list` is not used. To be used along with `tte_max`, `tte_step`.	Minimum time-to-expiry on the time grid.	- Strictly positive value allowed. - Either `expiry_list` or (`tte_min`, `tte_max`, `tte_step`) should be filled.	`0.034288`
`tte_max`	Yes, if `expiry_list` is not used. To be used along with `tte_min`, `tte_step`.	Maximum time-to-expiry on the time grid.	- Maximum value is the highest time-to-maturities listed on exchanges. - Either `expiry_list` or `(tte_min, tte_max,tte_step)` should be filled.	`1`
`tte_step`	Yes, if `expiry_list` is not used. To be used along with `tte_min`, `tte_max`.	Step between two time-to-expiries in time grid.	- Strictly positive value allowed. Either `expiry_list` or `(tte_min, tte_max, tte_step)` should be filled.	`0.02`
`strike_list`	Yes, if the set of parameters (`f_log_min`, `f_log_max`, `f_log_step`) is not used.	The strike prices for which the implied volatilities are to be computed. Strike prices can be listed or non-listed ones.	- Strictly positives values allowed. - Either `strike_list` or (`f_log_m_min`, `f_log_m_max`, `f_log_m_step`) should be filled.	`strike_list=25000, 29150, 29155, 29160` or `f_log_m_min=-1.5&f_log_m_max=1.5&f_log_m_step=0.05`
`f_log_m_min`	Yes, if `strike_list` is not used. To be used along with `f_log_m_max`, `f_log_m_step`.	Minimum forward log-moneyness on the space grid.	Either `strike_list` or `(f_log_m_min, f_log_m_max, f_log_m_step)` should be filled.	`-1.5`
`f_log_m_max`	Yes, if `strike_list` is not used. To be used along with `f_log_m_min`, `f_log_m_step`.	Maximum forward log-moneyness on the space grid.	Either `strike_list` or `(f_log_m_min, f_log_m_max, f_log_m_step)` should be filled.	`1`
`f_log_m_step`	Yes, if `strike_list` is not used. To be used along with `f_log_m_min`, `f_log_m_max`.	Step between two forward log moneyness in space grid.	Either `strike_list` or `(f_log_m_min, f_log_m_max, f_log_m_step)` should be filled.	`0.02`

Fields

Below information will be returned for each couple of strike/forward log-moneyness and expiry/time-to-expiry :

Field	Description	Example
`time`	The time in parameter	`2022-06-25T16:00:00Z`
`expiry`	The expiry at which the IV has been interpolated.	`2022-08-28T08:00:00Z`
`time_to_expiry`	The associated time-to-expiry (in year).	`0.17442922374429223`
`strike`	The strike at which the IV has been computed.	`265.88827409960714`
`forward_log_moneyness`	The associated forward log-moneyness.	`-1.5`
`implied_volatility`	The calibrated and interpolated implied volatilities.	`1.8088997727784055`
`delta`	The first derivative of the price with regards to the underlying price	`-0.009058250602524742`
`gamma`	The second derivative of the price with regards to the underlying price	`0.000027152549142705487`

Market & Asset Analytics

Asset Metrics

Retrieve off-chain and on-chain metrics that help performing asset analysis. Data is aggregated across all instruments trading the given asset (See Instruments Reference Data Endpoint).

Trading activity includes total volume (in USD and asset unit), total trade count, total CeX volume (in USD and asset unit), total CeX trade count, total DeX volume (in USD and asset unit), and total DeX trade count and detailed information by exchange. Trades data is aggregated accross all instruments including the token as base or quote asset.

Liquidity information includes total buy market depth (CeX only) for several price deviations (from 0.1% to 10%), total sell market depth (CeX only) for several price deviations (from 0.1% to 10%) and detailed information by exchange. Liquidity data is aggregated accross all instruments including the token as base asset only. Market Depth for DeXs available soon.

Token’s information include token’s address, total supply, number of holders (addresses), main holders (who owns more than 1% of the total supply). Only available for some ERC-20 tokens (new tokens can be added on demand).

Request Example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/analytics.v2/asset_metrics?interval=1d&asset=agix&start_time=2023-01-25T00:00:00.000Z&end_time=2023-01-26T00:00:00.000Z&page_size=100&sources=true'

Response Example

{
    "data": [
        {
            "timestamp": "2023-01-25T00:00:00.000Z",
            "price": 0.1699233217119519,
            "total_volume_usd": 30508181.43789653,
            "total_volume_asset": 179540872.49784896,
            "total_trade_count": 159684,
            "off_chain_liquidity_data": {
                "total_off_chain_volume_usd": 30038710.382665947,
                "total_off_chain_volume_asset": 176778031.87949985,
                "total_off_chain_trade_count": 159115,
                "trade_data": [
                    {
                        "exchange": "binc",
                        "volume_usd": 27539301.29722444,
                        "volume_asset": 162068991,
                        "trade_count": 125188
                    },
                    {
                        "exchange": "cnex",
                        "volume_usd": 21755.03691474754,
                        "volume_asset": 128028.55249985002,
                        "trade_count": 1788
                    },
                    {
                        "exchange": "kcon",
                        "volume_usd": 2477654.0485267574,
                        "volume_asset": 14581012.327000001,
                        "trade_count": 32139
                    }
                ],
                "buy_market_depths": [
                    {
                        "exchange": "binc",
                        "volume_assets": {
                            "bid_volume0_1": 41225.09409594903,
                            "bid_volume0_2": 81128.84113629845,
                            "bid_volume0_3": 136713.70478078758,
                            "bid_volume0_4": 184468.7299124847,
                            "bid_volume0_5": 247978.1185353273,
                            "bid_volume0_6": 342865.65293127106,
                            "bid_volume0_7": 406858.0448413238,
                            "bid_volume0_8": 459003.4424915804,
                            "bid_volume0_9": 522211.069076861,
                            "bid_volume1": 594835.7130254924,
                            "bid_volume1_5": 985661.3971213808,
                            "bid_volume2": 1383255.3184562484,
                            "bid_volume4": 2486995.56685969,
                            "bid_volume6": 3575289.9565086393,
                            "bid_volume8": 4607508.4622772895,
                            "bid_volume10": 5450575.489737925
                        },
                        "volume_usds": {
                            "bid_volume0_1": 7005.104926671436,
                            "bid_volume0_2": 13785.68217252108,
                            "bid_volume0_3": 23230.846839898582,
                            "bid_volume0_4": 31345.539338714305,
                            "bid_volume0_5": 42137.26561340296,
                            "bid_volume0_6": 58260.87064701882,
                            "bid_volume0_7": 69134.67044466802,
                            "bid_volume0_8": 77995.38962539023,
                            "bid_volume0_9": 88735.8394922898,
                            "bid_volume1": 101076.46023018903,
                            "bid_volume1_5": 167486.8586821084,
                            "bid_volume2": 235047.33848780958,
                            "bid_volume4": 422598.5478036973,
                            "bid_volume6": 607525.145493328,
                            "bid_volume8": 782923.1427260847,
                            "bid_volume10": 926179.8924580172
                        }
                    }, 
                    /* ... */
                ],
                "sell_market_depths": [
                    {
                        "exchange": "binc",
                        "volume_assets": {
                            "ask_volume0_1": 63097.937138186375,
                            "ask_volume0_2": 121244.77666025238,
                            "ask_volume0_3": 188368.2488331742,
                            "ask_volume0_4": 253497.14370876888,
                            "ask_volume0_5": 315548.76436700544,
                            "ask_volume0_6": 368190.619211487,
                            "ask_volume0_7": 423885.42767195025,
                            "ask_volume0_8": 467798.8285213832,
                            "ask_volume0_9": 522878.5636214623,
                            "ask_volume1": 585135.1043450626,
                            "ask_volume1_5" :890220.5253171908,
                            "ask_volume2": 1192143.5688009772,
                            "ask_volume4": 2532666.2734223614,
                            "ask_volume6": 3837115.046884952,
                            "ask_volume8": 5175369.837650129,
                            "ask_volume10":6768831.15961039
                        },
                        "volume_usds": {
                            "ask_volume0_1": 10721.811071692562,
                            "ask_volume0_2": 20602.315190333822,
                            "ask_volume0_3": 32008.15854679647,
                            "ask_volume0_4": 43075.07670348604,
                            "ask_volume0_5": 53619.09420334357,
                            "ask_volume0_6": 62564.173039596295,
                            "ask_volume0_7": 72028.01989530912,
                            "ask_volume0_8": 79489.93083531322,
                            "ask_volume0_9": 88849.26238253305,
                            "ask_volume1": 99428.10058058261,
                            "ask_volume1_5": 151269.22871805582,
                            "ask_volume2": 202572.9951682029,
                            "ask_volume4": 430359.0659677582,
                            "ask_volume6": 652015.3345576031,
                            "ask_volume8": 879416.0339013551,
                            "ask_volume10":1150182.2747483607
                        }
                    }, 
                    /* ... */
                ],
                "total_buy_market_depth": {
                    "volume_assets": {
                        "bid_volume0_1": 66457.58211817831,
                        "bid_volume0_2": 125185.9379288117,
                        "bid_volume0_3": 204613.1694994421,
                        "bid_volume0_4": 277494.5823368924,
                        "bid_volume0_5": 372601.9870467177,
                        "bid_volume0_6": 501087.8551682802,
                        "bid_volume0_7": 595763.6983429149,
                        "bid_volume0_8": 674006.0040558478,
                        "bid_volume0_9": 761054.5994914122,
                        "bid_volume1": 851527.8858990098,
                        "bid_volume1_5": 1308167.4725325403,
                        "bid_volume2": 1727267.6160426897,
                        "bid_volume4": 2857166.5002753674,
                        "bid_volume6": 3971020.5977636343,
                        "bid_volume8": 5039070.880604726,
                        "bid_volume10":5903204.180101198
                    },
                    "volume_usds": {
                        "bid_volume0_1": 11292.693106465675,
                        "bid_volume0_2": 21272.010404489913,
                        "bid_volume0_3": 34768.54942735584,
                        "bid_volume0_4": 47152.801187755496,
                        "bid_volume0_5": 63313.76731545195,
                        "bid_volume0_6": 85146.51281971163,
                        "bid_volume0_7": 101234.1465778254,
                        "bid_volume0_8": 114529.33906296897,
                        "bid_volume0_9": 129320.92554973993,
                        "bid_volume1": 144694.44690231569,
                        "bid_volume1_5": 222288.16228825782,
                        "bid_volume2": 293503.0508034582,
                        "bid_volume4": 485499.222410903,
                        "bid_volume6": 674769.0105585777,
                        "bid_volume8": 856255.6623743254,
                        "bid_volume10":1003092.0630266753
                    }
                },
                "total_sell_market_depth": {
                    "volume_assets": {
                        "ask_volume0_1": 95923.98869360151,
                        "ask_volume0_2": 164213.70054806085,
                        "ask_volume0_3": 241848.44402388143,
                        "ask_volume0_4": 322655.2962131856,
                        "ask_volume0_5": 397630.666876821,
                        "ask_volume0_6": 460964.9874801942,
                        "ask_volume0_7": 524623.7489308078,
                        "ask_volume0_8": 575130.9078532174,
                        "ask_volume0_9": 636084.5501058105,
                        "ask_volume1": 703521.8123616874,
                        "ask_volume1_5": 1029473.840498065,
                        "ask_volume2": 1340846.321464341,
                        "ask_volume4": 2735683.341099355,
                        "ask_volume6": 4090342.103239072,
                        "ask_volume8": 5451549.738159413,
                        "ask_volume10":7058043.970665543
                    },
                    "volume_usds": {
                        "ask_volume0_1": 16299.722790676484,
                        "ask_volume0_2": 27903.737467738276,
                        "ask_volume0_3": 41095.690959404994,
                        "ask_volume0_4": 54826.65970049826,
                        "ask_volume0_5": 67566.72373024802,
                        "ask_volume0_6": 78328.70186554291,
                        "ask_volume0_7": 89145.81006729993,
                        "ask_volume0_8": 97728.15428162923,
                        "ask_volume0_9": 108085.59964363185,
                        "ask_volume1": 119544.76325331048,
                        "ask_volume1_5": 174931.61459299136,
                        "ask_volume2": 227841.06084847247,
                        "ask_volume4": 464856.40047165315,
                        "ask_volume6": 695044.5171206347,
                        "ask_volume8": 926345.4399859692,
                        "ask_volume10":1199326.2762845035
                    }
                }
            },
            "on_chain_liquidity_data": {
                "total_on_chain_volume_usd": 2762840.6183491,
                "total_on_chain_volume_asset": 2762840.6183491,
                "total_on_chain_trade_count": 569,
                "trades_data": [
                    {
                        "exchange": "usp2",
                        "volume_usd": 327680.4492221988,
                        "volume_asset": 1928401.8575017697,
                        "trade_count": 448
                    },
                    {
                        "exchange": "usp3",
                        "volume_usd": 141790.6060083834,
                        "volume_asset": 834438.7608473302,
                        "trade_count": 121
                    }
                ],
                "token_information": [
                    {
                        "blockchain": "ethereum",
                        "token_address": "0x5B7533812759B45C2B44C19e320ba2cD2681b542",
                        "nb_of_holders": 38231,
                        "main_holders": [
                            {
                                "address": "0xf977814e90da44bfa03b6295a0616a897441acec",
                                "amount": 250774980,
                                "percentage": 22.61839
                            },
                            {
                                "address": "0x13e1367a455c45aa736d7ff2c5656ba2bd05ad46",
                                "amount": 112149660,
                                "percentage": 10.11522
                            }, 
                            /* ... */
                        ],
                        "total_supply": 1108721700
                    }
                ]
            }
        }
    ]
}

HTTP request

GET https://us.market-api.kaiko.io/v2/data/analytics.v2/asset_metrics?interval=1d&asset=agix&start_time=2023-01-25T00:00:00.000Z&end_time=2023-01-26T00:00:00.000Z&page_size=100

Parameters

Parameter	Required	Description	Comments	Example
`asset`	Yes	The desired asset `code`. See Instruments Reference Data Endpoint.		`agix`
`start_time`	Yes	Starting time in ISO 8601 (inclusive).		`2023-01-25T00:00:00.000Z`
`end_time`	Yes	Ending time in ISO 8601 (exclusive).		`2023-01-26T00:00:00.000Z`
`interval`	Yes	The interval at which we want information	1h (available intervals: 1h/1d)	`1h`
`sources`	No	boolean. If true, returns trading information and market depths detailed by exchanges as well as main holders. (Default: false)
`page_size`	No	See Pagination (min: 1, default: 10, max: 100).	Default: `10`	`100`

Fields

Field	Category	Description	Example
`timestamp`	Trading activity	Timestamp at which the interval begins.	`2023-01-25T00:00:00.000Z`
`price`	Trading activity	Average price in usd. null when no trades are reported.	`0.1699233217119519`
`total_volume_usd`	Trading activity	Total volume in usd traded in the interval. 0 when no trades are reported.	`30508181.43789653`
`total_volume_asset`	Trading activity	Total volume in number of assets traded in the interval. 0 when no trades are reported.	`179540872.49784896`
`total_trade_count`	Trading activity	The total amount of trades reported during the interval. 0 when no trades are reported.	`159684`
`total_off_chain_volume_usd`	Trading activity	Total off-chain volume in usd traded in the interval. 0 when no trades are reported.	`30038710.382665947`
`total_off_chain_volume_asset`	Trading activity	Total off-chain volume in number of assets traded in the interval. 0 when no trades are reported.	`176778031.87949985`
`total_off_chain_trade_count`	Trading activity	The total amount of trades reported off-chain during the interval. 0 when no trades are reported.	`159115`
`trades_data`	Trading activity	List of volume in usd, volume in number of assets and total amount of trades by centralized exchange.	`[{"exchange": "binc", "volume_usd": 27539301.29722444, "volume_asset": 162068991, "trade_count": 125188}, ...]`
`total_on_chain_volume_usd`	Trading activity	Total on-chain volume in usd traded in the interval. 0 when no trades are reported.	`1036710779.1918713`
`total_on_chain_volume_asset`	Trading activity	Total on-chain volume in number of assets traded in the interval. 0 when no trades are reported.	`1036710779.1918713`
`total_on_chain_trade_count`	Trading activity	The total amount of trades reported on-chain during the interval. 0 when no trades are reported.	`20513`
`trades_data`	Trading activity	List of volume in usd, volume in number of assets and total amount of trades by decentralized exchange.	`[{'exchange': 'blc2', 'volume_usd': 673716.6525764248, 'volume_asset': 674153.2032810001, 'trade_count': 129}, ...]`
`market_depth`	Liquidity information	Dictionary from 0.1% to 10% market depth. Base asset aggregation only.
`blockchain`	Token information	Blockchain name.	`ethereum`
`token_address`	Token information	Token address.	`0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48`
`number_of_holders`	Token information	Total amount of holders.	`1622286`
`main_holders`	Token information	List of addesses holding at least 1% of the total supply and the amounts of tokens.	`[{'address': '0x0a59649758aa4d66e25f08dd01271e891fe52199', 'amount': 3262712000, 'percentage': 7.91745}, ...]`
`total_supply`	Token information	Blockchain total supply.	`0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48`

CSV Files

Trade data

A CSV file of tick-by-tick trades.

File Structure Details

File Name: [exchange_name]_[data_feed_code]_trades_[date].csv
- Files are created on a daily basis.
- example: Binance V2_BTCUSD_PERP_trades_2023_02_13.csv
Cut-off time: 00:00:00 UTC
- We use the timestamp when exchanges send the order book data points through websocket or REST API in order to cut-off the data points between days.
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)

Column	Description	Example
`id`	Unique trade ID (unique to the exchange). In case the exchange does not provide an ID, we generate it ourselves.	`1661990400274591751`
`exchange`	Kaiko legacy slug for an exchange	`bw`
`symbol`	Data feed code in lower case	`btcusd_perp`
`date`	The timestamp provided by the exchange in Unix Timestamp (in milliseconds)	`1676246400344`
`price`	Executed price	`21779.5`
`amount`	Quantity of asset bought or sold (can be in base_asset, quote_asset or the number of contracts).	`402`
`sell`	See Taker Side Sell	`true`

Order Book Snapshots (Raw)

A CSV file of Order Book Snapshots: Raw.

File Structure Details

File Name: [kaiko_legacy_slug]_[instrument_symbol]_[date].csv
- Files are created on a daily basis.
- example: oe_btcusdt_2023-05-30.csv
Cut-off time: 00:00:00 UTC
- We use the timestamp when we send the Orderbook snapshot REST API requests to exchanges in order to cut-off the data points between days.
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)

Column	Description	Example
`date`	The timestamp when we send the REST API requests to exchanges in Unix Timestamp (in milliseconds)	`1676246400344`
`type`	Type(side) of the limit orders on the orderbook snapshot. a: ask. b: bid.	`a`
`price`	Quoted price	`21779.5`
`amount`	Amount of limit orders at the specific price (can be in base_asset, quote_asset or the number of contracts).	`402`

Tick-Level Order Book

CSV tick by tick full order book files are designed for institutional clients engaged in strategy backtesting and quantitative modeling, with a precision level that order book snapshots cannot provide. All data is normalized and the exchange format is independent making file integration quick and easy. The data includes all necessary information to rebuild an exchange order book for a given instrument:

Order book snapshots: a list containing available buy or sell orders for a currency pair trading on an exchange, organized by price level. It represents the current order book status. The snapshot depth is variable and depends on the exchange. Kaiko provides the full OB depth as provided by the exchange.
Order book updates: indicate a new entry on the order book, a modification of the associated volume of an existing one, or a cancellation.

File Structure Details

File Name: [kaiko_legacy_slug]_[instrument_symbol]_[date].csv.gz
- Files are generated on a daily basis.
- example: bf_btcusdt_2022-09-01.csv
Cut-off time: 00:00:00 UTC
- We use the timestamp when exchanges send the order book data points through websocket in order to cut-off the data points between days, if the timestamps are provided by the exchanges.
- When the timestamps are not provided by the exchanges, we use the data collection timestamp when the data points arrive at Kaiko's collection system
Column Delimeter: ; (semi-colon)
Decimal Mark (in numbers): . (dot)

Column	Description	Example
`timestamp`	Timestamp when the exchanges send the data or we collect the data, depending on exchanges. In the epoch format.	`1661990400274591751`
`type`	Type of the message. s: snapshot. u: update.	`s`
`asks`	List of `[ask price, volume]`	`[[20103,0],[20207,0],[20057,1.00111351]]`
`bids`	List of `[bid price, volume]`	`[[19584,0],[19904,21.9973]]`

How to create a local order book with CSV files

Download the CSV files, which usually start with updates (type: u).
Ignore the updates before the 1st snapshot (type: s) that appears in the CSV file.
If the prices in the updates exist in the locally managed order book, update the amount. The amount 0 means to remove the price level from the order book, because it is cancelled or filled.
If the prices in the updates do not exist in the locally managed order book, insert that price level in the order book.
Receiving an update that removes a price level that is not in your local order book is a normal exchange's behavior that can happen. In this case, you can just ignore the updates.

Top of Book

A CSV file of tick-level updates of the best bid and best ask on an order book (quotes).

File Structure Details

File Name: [kaiko_legacy_slug]_[data_feed_code]_[date].csv.gz
- Files are generated on a daily basis.
- example: bw_btcusdt_2023-05-02.csv
Cut-off time: 00:00:00 UTC
- We use the timestamp when exchanges send the top of book data points through websocket in order to cut-off the data points between days.
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)

Column	Description	Example
`ts_exchange`	Timestamp when the exchanges send the data. In the epoch format.	`1661990400274591751`
`ts_collection`	Timestamp when we collect the data. In the epoch format.	`1661990400274591751`
`exchange`	Exchange `code`. See Exchanges Reference Data Endpoint	`binc`
`class`	The instrument class of the instrument	`1676246400344`
`symbol`	Kaiko identifier for the instrument	`21779.5`
`type`	`a` stands for `ask`, while `b` stands for `bid`. Tells which side has an update on price or size	`a`
`price`	Price displayed in quote currency	`20289.2`
`size`	Limit order size of the quotes	`0.8`

Derivatives Metrics

A CSV file of derivatives metrics, with the data from Risk and Price endpoints.

File Structure Details

File Name: [kaiko_exchange_code]_[instrument_symbol]_derivatives_full_[date].csv
- Files are created on a daily basis.
- example: bbit_xrpusdt_derivatives_full_2023_05_30.csv
Cut-off time: 00:00:00 UTC
- A file contains the minutely data from the mid-night (00:00:00) to the 1 mintue before the mid-night (23:59:00).
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)

Column	Description	Example
`timestamp`	The starting timestamp of the time interval, expressed in Unix Timestamp (in seconds)	`1685405460`
`24h_volume`	The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)	`1849370`
`ask`	The price of the best ask within one minute interval	`0.4941`
`bid`	The price of the best bid within one minute interval	`0.4940`
`ask_amount`	The amount of the best ask, associated with the best ask price.
`bid_amount`	The amount of the best bid, associated with the best bid price.
`funding_rate`	`perpetual-future` only. The current funding rate.	`0.00020546`
`mark_price`	The mark price of the contract. It is used for calculating profit and loss (PnL) and liquidation price. Designed to be fair and avoid price manipulation.	`39713.5`
`predicted_funding_rate`	`perpetual-future` only. The predicted funding rate for the next period.	`0.00010447`
`price`	Most recent traded price of derivative contract	`39767`
`index_price`	The price of the underlying index, often as a weighted average across multiple exchanges' spot prices	`39745.9`

OHLCV candles

A CSV file of OHLCV candles.

File Structure Details

The time granularity that we provide through CSV files is 1min, 5min, 10min, 15min and 30min for monthly grouped CSV files, while 1hour, 4hour and 1day for yearly grouped CSV files.
File Name: [kaiko_legacy_slug]_[data_feed_code]_ohlcv_[time_granularity]_[date].csv
- Files are created on a daily basis, but complete as a month or year ends
- example: bw_btcusdt_perp_ohlcv_5m_2023_02.csv, bw_atomusdt_perp_ohlcv_1h_2023.csv
Cut-off datetime:
- Monthly grouped files: The mid-night of the last day of the month
- Yearly grouped files: The mid-night of the last day of the year
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)
There are no column headers in the CSV files, so I will present the columns in order from left to right.

Column	Description	Example
`timestamp`	The starting timestamp of the time interval, expressed in Unix Timestamp (in milliseconds)	`1672531200000`
`open`	The opening price of a candle	`0.4935`
`high`	The highest price of a candle	`0.4941`
`low`	The lowest price of a candle	`0.4930`
`close`	The closing price of a candle	`0.4937`
`volume`	The volume of the trades executed within the time interval of a candle (can be in base_asset, quote_asset or the number of contracts)	`86092.08`

VWAP

A CSV file of VWAP.

File Structure Details

The time granularity that we provide through CSV files is 1min, 5min, 10min, 15min and 30min for monthly grouped CSV files, while 1hour, 4hour and 1day for yearly grouped CSV files.
File Name: [kaiko_legacy_slug]_[data_feed_code]_vwap_[time_granularity]_[date].csv
- Files are created on a daily basis, but complete as a month or year ends
- example: bw_btcusdt_perp_vwap_5m_2023_02.csv, bw_atomusdt_perp_vwap_1h_2023.csv
Cut-off datetime:
- Monthly grouped files: The mid-night of the last day of the month
- Yearly grouped files: The mid-night of the last day of the year
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)
There are no column headers in the CSV files, so I will present the columns in order from left to right.

Column	Description	Example
`timestamp`	The starting timestamp of the time interval, expressed in Unix Timestamp (in milliseconds)	`1672531200000`
`vwap`	The volume weighted price during the time interval. `null` when no trades reported.	`0.4935`

Count-OHLCV-VWAP

A CSV file of Count-OHLCV-VWAP.

File Structure Details

The time granularity that we provide through CSV files is 1min, 5min, 10min, 15min and 30min for monthly grouped CSV files, while 1hour, 4hour and 1day for yearly grouped CSV files.
File Name: [kaiko_legacy_slug]_[data_feed_code]_cohlcvwap_[time_granularity]_[date].csv
- Files are created on a daily basis, but complete as a month or year ends
- example: bw_btcusdt_perp_cohlcvwap_5m_2023_02.csv, bw_atomusdt_perp_cohlcvwap_1h_2023.csv
Cut-off datetime:
- Monthly grouped files: The mid-night of the last day of the month
- Yearly grouped files: The mid-night of the last day of the year
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)
There are no column headers in the CSV files, so I will present the columns in order from left to right.

Column	Description	Example
`timestamp`	The starting timestamp of the time interval, expressed in Unix Timestamp (in milliseconds)	`1672531200000`
`count`	Then number of trades. 0 when no trades reported.	`321`
`open`	Opening price of interval. null when no trades reported.	`0.4935`
`high`	Highest price during interval. null when no trades reported.	`0.4951`
`low`	Lowest price during interval. null when no trades reported.	`0.4911`
`close`	Closing price of interval. null when no trades reported.	`0.4939`
`volume`	Volume traded in interval. 0 when no trades reported.	`62.32`
`vwap`	The volume weighted price during the time interval. `null` when no trades reported.	`0.4945`

DEX Liquidity Events

File Structure Details

File Name: [kaiko_exchange_code]_[pool_address]_[date].csv
- Files are created on a daily basis.
- example: usp2_0xb4e16d0168e52d35cacd2c6185b44281ec28c9dc_2023-02-12.csv
Cut-off time: 00:00:00 UTC
- We use the timestamp of the block in order to cut-off the data points between days.
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)

Field	Description	Example
`block_number`	The height of the block.	`16028979`
`timestamp`	The timestamp of the block.	`1669161611000`
`datetime`	The date equivalent.	`2023-02-12T00:00:11Z`
`pool_name`	Name of the pool as it is written on the blockchain.	`USDC-WETH`
`type`	Event type. By default both burn and mint are shown.	`burn` or `mint`
`transaction_hash`	Filter on a specific transaction hash.	`0xe68b84740**`
`price`	The price at this block.	`0.0006495312950691`
`symbols`	The symbols of the tokens in the pool, separated by a semi-colon.	`USDC;WETH`
`addresses`	The addresses of the tokens in the pool, separated by a semi-colon.	`0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48;0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2`
`amounts`	The amounts of liquidity of each token, separated by a semi-colon.	`4.3800141550673e+07;28449.56266562047`

DEX Liquidity Snapshots

File Structure Details

File Name: [kaiko_exchange_code]_[pool_address]_[date].csv
- Files are created on a daily basis.
- example: usp2_0xb4e16d0168e52d35cacd2c6185b44281ec28c9dc_2023-02-12.csv
Cut-off time: 00:00:00 UTC
- We use the timestamp of the block in order to cut-off the data points between days.
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)

Field	Description	Example
`block_number`	The height of the block.	`16028979`
`timestamp`	The timestamp of the block.	`1669161611000`
`datetime`	The date equivalent.	`2023-02-12T00:00:11Z`
`pool_name`	Name of the pool as it is written on the blockchain.	`USDC-WETH`
`price`	The price at this block.	`0.0006495312950691`
`symbols`	The symbols of the tokens in the pool, separated by a semi-colon.	`USDC;WETH`
`addresses`	The addresses of the tokens in the pool, separated by a semi-colon.	`0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48;0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2`
`amounts`	The amounts of liquidity of each token, separated by a semi-colon.	`4.3800141550673e+07;28449.56266562047`

Uniswap v3 Liquidity Snapshots

File Structure Details

File Name: [kaiko_exchange_code]_[pool_address]_[date].csv
- Files are created on a daily basis.
- example: usp3_0xcbfb0745b8489973bf7b334d54fdbd573df7ef3c_2023-02-07.csv
Cut-off time: 00:00:00 UTC
- We use the timestamp of the block in order to cut-off the data points between days.
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)

Field	Description	Example
`block_number`	The height of the block.	`16028979`
`timestamp`	The timestamp of the block.	`1669161611000`
`lower_tick`	The lower tick of the range.	`-59580`
`upper_tick`	The upper tick of the range.	`-59520`
`current_price`	The current price at this block, normalized using the pool’s tokens decimals.	`0.0028577887443084`
`current_tick`	The current tick at this block.	`-58580`
`amount`	The amount of liquidity in the specified tick range.	`1.7305248294559624e+23`
`amount0`	The amount of token0 in the specified tick range, normalized using the token0 decimals.	`0`
`amount1`	The amount of token1 in the specified tick range, normalized using the token1 decimals.	`26.4381078606`

Lending and Borrowing Protocols Events

File Structure Details

File Name: [kaiko_exchange_code]_[underlying_asset_symbol]_[underlying_asset_address]_[event_type]_[date].csv
- Files are created on a daily basis.
- example: aav2_WETH_0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2_withdraw_2023-02-14.csv.gz
Cut-off time: 00:00:00 UTC
- We use the timestamp of the block in order to cut-off the data points between days.
Column Delimeter: , (comma)
Decimal Mark (in numbers): . (dot)

Field	Description	Example
`blockchain`	The blockchain on which the transaction happened.	`ethereum`
`protocol`	Code of the L&B protocol.	`aave/v2`
`block_number`	The height of the block in which the transaction happened.	`16025918`
`datetime`	The timestamp of the block in which the transaction happened.	`1669124591`
`transaction_hash`	Transaction hash	---
`log_index`	Log index of the transaction	`152`
`type`	Event type: Borrow, deposit, withdraw, repayment or liquidation.	`borrow`, `deposit`, etc
`user_address`	Address of the user.	`0xd8dA6BF26964aF9D7eEd9e03E53415D37aA96045`
`asset_symbol`	Symbol of the underlying asset.	`crv`
`asset_address`	Address of the underlying asset.	`0xd533a949740bb3306d119cc777fa900ba034cd52`
`asset_decimals`	Decimals of the underlying asset.	`18`
`receipt_symbol`	Symbol of the receipt asset.	`acrv`
`receipt_address`	Address of the receipt asset.	`0x8dae6cb04688c62d939ed9b68d32bc62e49970b1`
`receipt_decimals`	Decimals of the receipt asset.	`18`
`amount`	Amounts of the borrowed token.	`299894.78`

As well as the following fields specific to each event type:

Borrow Event

Field	Description	Example
`amount_receipt`	Amounts of the receipt token.	`299899`
`rate`	Borrow rate (at the event level or at the contract level depending on the protocol).	`0.02820253961814756`
`rate_type`	Stable (1) or Variable (2)	`1` or `2`
`on_behalf_of`	The address of user who will incur the debt.	`0xeffc18fc3b7eb8e676dac549e0c693ad50d1ce31`

Deposit Event

Field	Description	Example
`amount_receipt`	Amounts of the receipt token.	`299899`
`rate`	Supply rate of the overall lending pool.	`0.000203088325657998768898798`
`on_behalf_of`	The address that will receive the receipt tokens.	`0xeffc18fc3b7eb8e676dac549e0c693ad50d1ce31`

Withdraw Event

Field	Description	Example
`amount_receipt`	Amounts of the receipt token.	`299899`
`on_behalf_of`	The address that will receive the underlying token.	`0xeffc18fc3b7eb8e676dac549e0c693ad50d1ce31`

Repayment Event

Field	Description	Example
`amount_receipt`	Amounts of the receipt token.	`299899`
`on_behalf_of`	The address of user who will incur the debt.	`0xeffc18fc3b7eb8e676dac549e0c693ad50d1ce31`
`borrow_rate_mode`	Stable (1) or Variable (2)	`1` or `2`

Liquidation Event

Field	Description	Example
`liquidation_debt_asset_symbol`	Symbol of the debt asset.	`renfil`
`liquidation_debt_asset_address`	Address of the debt asset.	`0xd5147bc8e386d91cc5dbe72099dac6c9b99276f5`
`liquidation_debt_asset_decimals`	Decimals of the debt asset.	`18`
`liquidation_debt_amount_in_asset`	Amount of the debt asset.	`1899`
`liquidation_caller_address`	The address that triggered the liquidation transaction.	`0xdfd3bd446f1b7fd96dc995126ee845af0b1254cd`
`receive_receipt_token`	The liquidator chooses to receive the collateral's asset (False) or recept token (True).	`True` or `False`
`liquidation_type`	Debt (1) or Collateral (2)	`1`

Wallet data

File Structure Details

File Name: [blockchain]_[date].csv
- Files are created on a daily basis.
- example: ethereum_2023-02-12.csv
Cut-off time: 00:00:00 UTC
- We use the timestamp of the block in order to cut-off the data points between days.
Column Delimeter: ,(comma)
Decimal Mark (in numbers): . (dot)

Field	Description	Example
`user_address`	The address on which the row is focused.	`0xc8c939539efb7f5ba903fc99b61656979c46c045`
`chain`	Blockchain name.	`ethereum`
`block_number`	The height of the block.	`7005997`
`timestamp`	The timestamp of the block.	`1546560004`
`transaction_hash`	Transaction hash.	`0x5a9e11432e5c7e2fccf598606858619cbd72f1de40db625fc4749ec1b032e144`
`transaction_type`	Event type.	`gas_buy`
`transaction_index`	The index of the transaction.	`0`
`ordinal`	Generated number that gives the order of each balance impact, for one file. Based on call index and log indexes.	`2`
`sender_address`	The address that sends tokens or coins.	`0xc8c939539efb7f5ba903fc99b61656979c46c045`
`receiver_address`	The address that receives tokens or coins.	`0x5a0b54d5dc17e0aadc383d2db43b0a0d3e029c4c`
`initiator_address`	The address that signed the transaction.	`0xc8c939539efb7f5ba903fc99b61656979c46c045`
`token_symbol`	Symbol of the token or coin transfered	`ETH`
`token_address`	The address of the token or coin transfered.	`0xeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee`
`direction`	Inflow or outflow from the user_address.	`out`
`amount`	Amount of asset transfered.	`0.16`
`balance_after`	Wallet balance for the user_address for this asset.	`0.4814735188`
`amount_usd`	Amount of asset transferred in usd.	`23.863262042004745`
`balance_after_usd`	Wallet balance for the user_address for this asset is usd.	`71.80955465881561`

All possible values for the field transaction_type:

Value	Description
`unknown`	Unknown balance_change reason, only happens for the chain’s coin.
`reward_mine_uncle`	Uncle block rewards are awarded to miners who generate an uncle block that gets included in a valid block added to the chain. These uncle blocks are analogous to stale blocks in Bitcoin. However, rather than being disregarded, uncle blocks receive rewards dependent on their novelty. Example.
`reward_mine_block`	Rewards granted to the miner who mines the current block.
`dao_refund_contract`	This is related to the execution of the DAO hard-fork, an event that occurred as a response to the notorious DAO hack in 2016. This hard-fork moved all the Ether initially stored in The DAO (and its child DAOs) to a refund contract. From this contract, original DAO token holders could claim their proportional share of the funds.
`dao_adjust_balance`	Refers to any adjustment made to an account’s balance in relation to DAO-related hard-fork or operations.
`coin_transfer`	A coin transfer operation.
`genesis_balance`	Refers to the balance attributed to addresses during the genesis block.
`gas_buy`	The amount of gas purchased by the initiator to execute the transaction.
`reward_transaction_fee`	Reward earned by the miner for including the transaction in the block.
`reward_fee_reset`
`gas_refund`	The process of refunding gas to the initiator when the state store is cleared.
`touch_account`	Refers to the process of interacting with an account in some way, such as updating its nonce.
`suicide_refund`	The process of refunding gas to a contract owner when the SELFDESTRUCT operation is called, as it clears the store.
`suicide_withdraw`	This action allows the withdrawal of the remaining coin (ex: ETH) in a self-destructed account to a specific address.
`call_balance_override`	This operation overrides the default balance of an account.
`burn`	Burning coins in chains where this process occurs.
`withdrawal`	Allows the withdrawal of rewards or stake for validators.
`token_transfer`	This operation involves the transfer of (ERC20) tokens.
`wrap_coin`	This operation mints WETH tokens after a coin (ex: ETH) deposit.
`unwrap_coin`	This operation burns WETH tokens before a coin (ex: ETH) withdrawal.
`token_deposit`	This operation allows the deposit of (ERC20) tokens into staking contracts or escrow.
`token_withdrawal`	This operation allows the withdrawal of (ERC20) tokens from the staking contracts or escrow.

Data Feed

Receive historical and on-going data directly to your cloud provider. If you purchased a monthly subscription of Trade Data, 10% Order Books, OHLCV or VWAP, your data will be delivered once a day to your cloud bucket. We currently support Amazon Web Services S3 and Google storage. Cloud storage services allow us to easily synchronize our data with you once a day.

Cloud providers offer extensive storage services that will help you store large amounts of data. This eases the integration setup to feed whatever system you choose to integrate the data with.

If you do not already have a cloud provider, we suggest working with Amazon Web Services which is a major provider with a strong track record.

AWS S3 - How to receive our data through

You will need to have access to an AWS account, which can be created here https://aws.amazon.com/resources/create-account/
You will also need to retrieve your AWS account ID, as well as your AWS canonical ID, the instructions regarding this step can be found here: https://docs.aws.amazon.com/accounts/latest/reference/manage-acct-identifiers.html
The AWS account ID as well as the canonical ID should be sent to: support@kaiko.com.
Our team will create an AWS bucket to which you have all the needed permissions to access its objects and will contact you to confirm the details. If you have any questions regarding this process, you can contact: support@kaiko.com

GCS - How to receive our data through

Open https://console.cloud.google.com/storage/
We suggest calling the bucket kaiko-delivery-nameofyourcompany
Once created, click on the "3 dots" on the right side of the corresponding bucket
Click on Edit bucket permissions:
Press Add members and add our service account kaiko-facteur@kaiko-facteur.iam.gserviceaccount.com
Press on Select a role, select Storage, then select Storage Admin as follows:
Press on Add to validate the changes
Enter the details into this form
You should receive a confirmation email within a few working days confirming that the integration was set up correctly

For other cloud providers

Please contact us at support@kaiko.com.

Future development

We are continously extending the feature set across all our products. We are very happy to receive your feedback on our services and documentation. Do you have a proposal on how we can make your day better? Give us a shout!

Introduction

Change Log

API Input

Header

Timestamp Input

Exchange Code

Instrument Code

Spot

Future

Perpetual-future

Option

API Output

"taker_side_sell" Explained

Market Open and Close

Timestamp Output

Reference Data API

General

Assets

HTTP request

Parameters

Fields

Exchanges

HTTP request

Parameters

Fields

Instruments

HTTP request

Parameters

Fields

Pools

HTTP request

Parameters

Fields

Blockchains

HTTP request

Fields

Market Data API

General

Base endpoints

Usage

Authentication

Data versioning

Envelope

Pagination

Errors

Trade data

Real-time & Historical Trade Data

HTTP request

Parameters

Fields

Order Book data

Order Book Snapshots: Full

HTTP request

Parameters

Fields

Order Book Snapshots: Raw

HTTP request

Parameters

Fields

Order Book Snapshots: Depth

HTTP request

Parameters

Fields

Order Book Snapshots: Slippage

HTTP request

Parameters

Fields

Order Book Aggregations: Full

HTTP request

Parameters

Order Book Aggregations: Depth

HTTP request

Parameters

Fields

Order Book Aggregations: Slippage

HTTP request

Parameters

Fields

Aggregates

OHLCV (Candles)