Introduction

Kaiko provides live and historical institutional quality market data for digital assets. Our service retrieves and validates millions of trades each day from the world's leading cryptocurrency exchanges to deliver robust and reliable market data to financial institutions globally.

This is the documentation for the v2 of our REST API.

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

2023-01-26

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

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

Making Requests

When interacting with Kaiko HTTP APIs, you are expected to pass two headers:

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>'

Timestamps

Input

import pandas as pd
pd.to_datetime(<timestamp>, unit='ms')

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.

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.

Data Dictionary

Kaiko's Data Dictionary includes schemas, methodologies, data samples, and additional information about all data types we provide and the delivery channels they are accessible through. You can access the Data Dictionary here.

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.

"taker_side_sell" Explained

We created the variable taker_side_sell to account for the variety of ways in which exchanges report trade direction. While the majority of exchanges report trade direction from the perspective of a "taker", some exchanges report from the perspective of a "maker", and others opt to exclude a buy/sell field entirely from their transaction data. We researched every single exchange that we cover to determine from which perspective they report trade direction. The result is a normalized variable called taker_side_sell which takes the value of either true or false.

We have built this variable under the assumption that a taker’s sell order will always be filled by a maker’s buy order and a taker’s buy order will always be filled by a maker’s sell order. Thus, it is possible to create a single binary variable that indicates whether a taker was on the sell side or buy side of a transaction, no matter from which perspective an exchange reports trade direction. 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.

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.io²	`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

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.

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

Historical Trades

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; ascendingly in v1, descendingly in v2. Note that taker_side_sell can be null in the cases where this information was not available at collection.

HTTP request

GET https://<eu|us>.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/trades{?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 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	See Pagination (min: 1, default: 100, max: 100000).
`start_time`¹	No	Starting time in ISO 8601 (inclusive).

Fields

Field	Description
`timestamp`	The timestamp provided by the exchange.
`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, displayed in base currency.
`taker_side_sell`	See Taker Side Sell

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.

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`.

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.

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 and Valuation Services

Asset 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/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.

Cross 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/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`

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

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.

Valuation

The 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

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": {
    "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": [
    {
      "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
`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
`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)	`187`
`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":
  {
    "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": [
    {
      "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
`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
`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": 
  {
    "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": [
    {
      "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`
`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
`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.	`0.002857788744308444`
`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.	`0`
`amount1`	The amount of token1 in the specified tick range.	`26.438107860682372`
`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`

Lending Protocols

Lending and 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": {
        "block_number": "*",
        "blockchain": "*",
        "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`

Risk Management

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).

Instruments of perpetual futures are normalized to have the same name format (base_asset-quote_asset) across exchanges, while instruments of futures and options are not normalized. In other words, you should use the instrument names given by exchanges to download futures/options data from Kaiko derivatives API endpoints. (e.g. Bitmex future: xbtu21, Binance future: btcusd220930, Deribit option: btc7oct2231000p)

There are 2 important points to note about Kraken. Firstly, to access the derivatives data of Kraken, please use the exchange code crfl (Crypto Facilities) instead of krkn. Secondly, 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).

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 7 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`
`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`

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 7 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 total 24h traded volume (units in which volumes are quoted vary by exchange)	`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 7 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.

For now, only the exchange Deribit is supported due to liquidity constraints linked to the computation.

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=2022-12-30T08:00:00.000Z&strikes=10000,15000,20000,40000'

Response Example

{
    "query": {
        "base": "btc",
        "quote": "usd",
        "exchange": "drbt",
        "time": "2022-11-28T16:15:00.000Z",
        "expiry": "2022-12-30T08:00:00.000Z",
        "data_version": "v2",
        "commodity": "analytics",
        "request_time": "2022-12-06T09:34:30.239Z"
    },
    "time": "2022-11-28T16:15:00.000Z",
    "expiry": "2022-12-30T08:00:00.000Z",
    "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=2022-12-30T08:00:00.000Z&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`	Yes	The desired exchange as source of options data.	`drbt` only 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`	No	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`	No	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	`2022-12-30T08:00:00.000Z`
`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}, {"strike": 20000, "forward_log_moneyness": 0.041708399804875465, "implied_volatility": 0.6670092468551713},...]`
`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`

CSV Files

Tick By Tick Full 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: [exchange_kaiko_legacy_symbol][instrument_symbol][date].csv
- Files are created 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 us the websocket data. 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.
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.

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

Open https://s3.console.aws.amazon.com/s3/buckets/
Create a new bucket. We suggest calling the bucket kaiko-delivery-nameofyourcompany
We suggest you use the us-east-1 (N. Virginia) region unless you are already using a different region as your main presence.
Uncheck 'Block all public access' and acknowledge the warning by ticking the checkbox.
Leave all other properties on the default settings and click 'Create bucket'.
After creating the bucket, click on it and navigate to the 'Permissions' tab. Click on 'Edit' in the 'Access control list (ACL)' section to set the right permissions.
Under Access for other AWS accounts, press Add grantee and use the following id: 4d6be087cf0b9ee7af2f8d8c51469c81bc711e68ee9c6be386aee2322abc8175
Check all the checkboxes for permissions and press Save changes.
Ensure that the permissions dialog resembles the following:
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.

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!