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. For the v1, please refer to this page
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
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_asset1 |
Base asset. |
class |
spot, future, perpetual-future,... |
code2 |
Kaiko identifier for the instrument. Always base_asset-quote_asset for spot instruments. |
exchange_code |
Exchange code. |
exchange_pair_code2 |
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_asset1 |
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 APIdata_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 -- Rate limit exceeded. Contact us if you think you have a need for more. |
| 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_time1 |
No | Ending time in ISO 8601 (exclusive). |
exchange2 |
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_size1 |
No | See Pagination (min: 1, default: 100, max: 100000). |
start_time1 |
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 mid price), 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_time1 |
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_size1 |
No | Number of snapshots to return. See Pagination (default: 10, max: 100). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
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_time1 |
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_size1 |
No | Number of snapshots to return. See Pagination (default: 10, max: 100). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
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_time1 |
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_size1 |
No | Number of snapshots to return data for. See Pagination (default: 10, max: 100). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
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_time1 |
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_size1 |
No | Number of snapshots to return data for. See Pagination (default: 10, max: 100). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
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_time1 |
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_size1 |
No | Number of snapshots to return data for. See Pagination (default: 10, max: 100). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
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_time1 |
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_size1 |
No | Number of snapshots to return data for. See Pagination (default: 10, max: 100). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
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
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,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_time1 |
No | Ending time in ISO 8601 (exclusive). |
exchange2 |
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_size1 |
No | Number of snapshots to return data for. See Pagination (default: 10, max: 100). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
No | Starting time in ISO 8601 (inclusive). |
slippage |
No | Order size (in quote asset) for which to calculate the percentage of slippage. Default: 0. When null is returned, not enough volume is present on the order book to execute the order. |
slippage_ref |
No | Price point for which to calculate slippage from. Either from the mid price (mid_price) or from the best bid/ask (best). Default: mid_price. |
1: When paginating, these parameters should only be included in the first request. For subsequent requests, they are encoded in the continuation token. 2: This endpoint serves both data from centralized as well as decentralized exchanges.
Fields
| Field | Description |
|---|---|
poll_timestamp |
The timestamp at which the interval begins. |
ask_slippage |
The average percentage of price slippage for a market buy order over a specified interval. |
bid_slippage |
The average percentage of price slippage for a market sell order over a specified interval. |
Aggregates
OHLCV (Candles)
Request Example
curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/cbse/spot/btc-usd/aggregations/ohlcv'
Response Example
{
"query": {
"page_size": 100,
"exchange": "cbse",
"instrument_class": "spot",
"instrument": "btc-usd",
"interval": "1d",
"sort": "desc",
"aggregation": "ohlcv",
"data_version": "v1",
"commodity": "trades",
"request_time": "2020-05-26T17:25:56.221Z"
},
"time": "2020-05-26T17:26:00.160Z",
"timestamp": 1590513960160,
"data": [
{
"timestamp": 1590451200000,
"open": "8900.0",
"high": "9016.99",
"low": "8694.23",
"close": "8811.36",
"volume": "9014.60281966"
},
{
"timestamp": 1590364800000,
"open": "8715.69",
"high": "8977.0",
"low": "8632.93",
"close": "8899.31",
"volume": "12091.06145914"
},
/* ... */
],
"result": "success",
"continuation_token": "rbd2bcDp35GmDscQbvZ9YzQHZJkT3jdeFx9fSBDdVmcCZaHvQRTCTfmfQ6QCrvDNp5ciRRuGPTedVL5LMZv1qmSXhRpZFbpvBW2uA62RSYpfJ1hVykJKZfhtmXXrxz",
"next_url": "https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/krkn/spot/btc-usd/aggregations/ohlcv?continuation_token=rbd2bcDp35GmDqdfaz3fZJkT3jdeFx9fSBDdVmcCZaHvQRTCTfmfQ6QCrvDNp5ciRRuGPTedVL5LMZv1qmSXhRpZFbpvBW2uA62RSYpfJ1hVykJKZfhtmXXrxz",
"access": {
"access_range": {
"start_timestamp": null,
"end_timestamp": null
},
"data_range": {
"start_timestamp": null,
"end_timestamp": null
}
}
}
This endpoint retrieves the OHLCV history for an instrument on an exchange. The interval parameter is suffixed with s, m, h or d to specify seconds, minutes, hours or days, respectively. By making use of the sort parameter, data can be returned in ascending asc or descending desc order.
HTTP request
GET https://<eu|us>.market-api.kaiko.io/v2/data/{commodity}.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/aggregations/ohlcv{?interval,start_time,end_time,page_size,continuation_token}
Parameters
| Parameter | Required | Description |
|---|---|---|
commodity |
Yes | The data commodity. |
continuation_token |
No | See Pagination. |
data_version |
Yes | The data version. (v1, v2 ... or latest) |
end_time1 |
No | Ending time in ISO 8601 (exclusive). |
exchange2 |
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_size1 |
No | See Pagination (min: 1, default: 100, max: 100000). |
start_time1 |
No | Starting time in ISO 8601 (inclusive). |
sort1 |
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. 2: This endpoint serves both data from centralized as well as decentralized exchanges.
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_time1 |
No | Ending time in ISO 8601 (exclusive). |
exchange2 |
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_size1 |
No | See Pagination (min: 1, default: 100, max: 100000). |
start_time1 |
No | Starting time in ISO 8601 (inclusive). |
sort1 |
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. 2: This endpoint serves both data from centralized as well as decentralized exchanges.
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_time1 |
No | Ending time in ISO 8601 (exclusive). |
exchange2 |
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_size1 |
No | See Pagination (min: 1, default: 100, max: 100000). |
start_time1 |
No | Starting time in ISO 8601 (inclusive). |
sort1 |
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. 2: This endpoint serves both data from centralized as well as decentralized exchanges.
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_time1 |
No | Ending time in ISO 8601 (exclusive). |
exclude_exchanges1 |
No | List of exchanges' code to exclude from the calculation. See Instruments Reference Data Endpoint. Only available in API v2. |
interval1 |
No | Interval period. Default 1d. |
include_exchanges1 |
No | List of exchanges' code to include in the calculation. See Instruments Reference Data Endpoint. Only available in API v2. |
page_size1 |
No | See Pagination (min: 1, default: 100, max: 1000). |
quote_asset |
Yes | The desired quote asset code. See Instruments Reference Data Endpoint. |
start_time1 |
No | Starting time in ISO 8601 (inclusive). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default is asc in API v1, desc in API v2. |
sources1 |
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_time1 |
No | Ending time in ISO 8601 (exclusive). |
exclude_exchanges1 |
No | List of exchanges' code to exclude from the calculation. See Instruments Reference Data Endpoint. Only available in API v2. |
interval1 |
No | Interval period. Default 1d. |
include_exchanges1 |
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_size1 |
No | See Pagination (min: 1, default: 100, max: 1000). |
quote_asset |
Yes | The desired quote asset code. See Instruments Reference Data Endpoint. |
start_time1 |
No | Starting time in ISO 8601 (inclusive). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default is asc |
sources1 |
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"e=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
basesmust be less or equal to 5 - The number of
percentagesmust be less or equal to 5 weightsandbasesmust have the same length- The order of
basesand their respective weighting must match weightsmust sum up to 1- Each response will only contain maximum 7 days of data. To get more data, the
continuation_tokenshould be used. - The
intervalmust be greater than twice thesemi_length_window
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": "*",
"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": "1"
},
"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",
"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 |
|---|---|---|---|
exchange |
No | Should be one of the currently supported DEX | usp2 |
pool |
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 |
No | Block height. | 129876 |
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 |
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 |
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": "1"
},
"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 related to the liquidity event. | 0x14de8287adc90f0f95bf567c0707670de52e3813 |
start_block |
No | Starting block height. | 129876 |
end_block |
No | Ending block height. | 129886 |
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 |
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 |
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"e=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"e=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
basesmust be less or equal to 5 quantitiesandbasesmust have the same length- The order of
basesand their respective quantities must match - The pair
base-quoteshould exist for all base - The
risk_levelshould be between 0.9 (included) and 1 (excluded).
Derivatives (v1)
Derivatives-specific data unique to futures, options, and perpetual futures contracts. We currently provide historical derivatives data - beginning in August 2020 - updated one average once per minute. List of currently supported exchanges: BitMEX, Deribit, OKEx, Kraken Futures, Binance Futures, FTX and Bybit. More to be added soon.
Futures
Request Example
curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v1/data/instrument_metrics.v1/exchanges/okex/future/ethusd200626/full'
Response Example
{
"query": {
"exchange": "okex",
"instrument_class": "future",
"instrument": "ethusd200703",
"data_version": "v1",
"commodity": "instrument_metrics",
"request_time": "2020-07-01T15:33:17.738Z"
},
"time": "2020-07-01T15:33:17.748Z",
"timestamp": 1593617597748,
"data": {
"24h_volume": "1537502",
"ask": "229.154",
"bid": "229.153",
"index_price": "228.93861032",
"mark_price": "229.046",
"open_interest": "890327",
"expiry": "1593734400000",
"price": "229.07"
},
"result": "success",
"access": {
"access_range": {
"start_timestamp": null,
"end_timestamp": null
},
"data_range": {
"start_timestamp": null,
"end_timestamp": null
}
}
}
HTTP request
GET https://us.market-api.kaiko.io/v1/data/instrument_metrics.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/full
Parameters
| Parameter | Required | Description |
|---|---|---|
data_version |
Yes | The data version. (v1, v2 ... or latest) |
end_time1 |
No | Ending time in ISO 8601 (exclusive). |
exchange |
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. |
page_size1 |
No | See Pagination (min: 1, default: 100, max: 100000). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
No | Starting time in ISO 8601 (inclusive). |
Fields
| Field | Description |
|---|---|
24_volume |
The total 24h traded volume (Units in which volumes are quoted vary by exchange). |
ask |
The current best ask price. null when no asks are placed. |
bid |
The current best bid price. null when no asks are placed. |
index_price |
The price of the underlying index. |
mark_price |
The mark price of the contract. The mark price is calculated from the index price, often as a weighted average across multiple exchange's spot price, in order to avoid price manipulation. |
open_interest |
The total oustanding number of contracts (Units in which Open Interest metrics are quoted vary by exchange). |
expiry |
The contract expiry date. |
price |
The latest recorded spot price. |
Perpetual Futures
Request Example
curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v1/data/instrument_metrics.v1/exchanges/bybt/perpetual-future/btc-usd/full'
Response Example
{
"query": {
"exchange": "bybt",
"instrument_class": "perpetual-future",
"instrument": "btc-usd",
"data_version": "v1",
"commodity": "instrument_metrics",
"request_time": "2020-07-01T15:57:36.070Z"
},
"time": "2020-07-01T15:57:36.753Z",
"timestamp": 1593619056753,
"data": {
"24h_volume": "447675449",
"ask": "9217.5",
"bid": "9217",
"funding_rate": "0.0001",
"mark_price": "9224.82",
"open_interest": "231742782",
"predicted_funding_rate": "0.0001",
"price": "9217.50",
"index_price": "9224.69"
},
"result": "success",
"access": {
"access_range": {
"start_timestamp": null,
"end_timestamp": null
},
"data_range": {
"start_timestamp": null,
"end_timestamp": null
}
}
}
HTTP request
GET https://us.market-api.kaiko.io/v1/data/instrument_metrics.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/full
Parameters
| Parameter | Required | Description |
|---|---|---|
data_version |
Yes | The data version. (v1, v2 ... or latest) |
end_time1 |
No | Ending time in ISO 8601 (exclusive). |
exchange |
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. |
page_size1 |
No | See Pagination (min: 1, default: 100, max: 100000). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
No | Starting time in ISO 8601 (inclusive). |
Fields
| Field | Description |
|---|---|
24_volume |
The total 24h traded volume (Units in which volumes are quoted vary by exchange). |
ask |
The current best ask price. null when no asks are placed. |
bid |
The current best bid price. null when no asks are placed. |
funding_rate |
The current funding rate. |
mark_price |
The mark price of the contract. The mark price is calculated from the index price, often as a weighted average across multiple exchange's spot price, in order to avoid price manipulation. |
open_interest |
The total oustanding number of contracts (Units in which Open Interest metrics are quoted vary by exchange). |
predicted_funding_rate |
The predicted funding rate for the next period. |
price |
The latest recorded spot price. |
index_price |
The price of the underlying index. |
Options
Request Example
curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v1/data/instrument_metrics.v1/exchanges/okex/future/ethusd200626/full'
Response Example
{
"query": {
"exchange": "drbt",
"instrument_class": "option",
"instrument": "btc28aug209500c",
"data_version": "v1",
"commodity": "instrument_metrics",
"request_time": "2020-07-01T16:15:52.737Z"
},
"time": "2020-07-01T16:15:52.744Z",
"timestamp": 1593620152744,
"data": {
"ask_iv": "56.66",
"bid_iv": "54.45",
"ask_amount": "41.2",
"expiry": "1598572800000",
"index_price": "9252.56",
"delta": "0.50582",
"underlying_index": "SYN.BTC-28AUG20",
"bid": "0.077",
"gamma": "0.0002",
"bid_amount": "33",
"mark_iv": "55.05",
"strike_price": "9500",
"rho": "6.29082",
"open_interest": "122.2",
"ask": "0.0805",
"kind": "C",
"24h_volume": "0.1",
"price": "0.0785",
"theta": "-7.04133",
"vega": "14.75422",
"mark_price": "0.07795004"
},
"result": "success",
"access": {
"access_range": {
"start_timestamp": null,
"end_timestamp": null
},
"data_range": {
"start_timestamp": null,
"end_timestamp": null
}
}
}
HTTP request
GET https://us.market-api.kaiko.io/v1/data/instrument_metrics.{data_version}/exchanges/{exchange}/{instrument_class}/{instrument}/full
Parameters
| Parameter | Required | Description |
|---|---|---|
data_version |
Yes | The data version. (v1, v2 ... or latest) |
exchange |
Yes | Exchange code.See Instruments Reference Data Endpoint. |
end_time1 |
No | Ending time in ISO 8601 (exclusive). |
instrument_class |
Yes | Instrument class. See Instruments Reference Data Endpoint. |
instrument |
Yes | Instrument code. See Instruments Reference Data Endpoint. |
page_size1 |
No | See Pagination (min: 1, default: 100, max: 100000). |
sort1 |
No | Return the data in ascending (asc) or descending (desc) order. Default desc |
start_time1 |
No | Starting time in ISO 8601 (inclusive). |
Fields
| Field | Description |
|---|---|
ask_iv |
Implied volatility for the best ask. |
bid_iv |
Implied volatility for the best bid. |
ask_amount |
Size of the best ask. |
expiry |
The contract expiry date. |
index_price |
The price of the underlying index. |
delta |
The delta value for the option. |
underlying_index |
The name of the underlying index. |
bid |
The current best bid price. null when no bids are placed. |
gamma |
The gamma value for the option. |
bid_amount |
Size of the best bid. |
mark_iv |
The implied volatility for the mark price. |
strike_price |
The strike price of the contract in USD. |
rho |
The rho value for the option. |
open_interest |
The total oustanding number of contracts (Units in which Open Interest metrics are quoted vary by exchange). |
ask |
The current best ask price. null when no asks are placed. |
kind |
The kind of contract: "C" for call, "P" for put. |
24h_volume |
The total 24h traded volume (Units in which volumes are quoted vary by exchange). |
price |
The latest recorded contract price. |
theta |
The theta value for the option. |
vega |
The vega value for the option. |
mark_price |
The mark price of the contract. The mark price is calculated from the index price, often as a weighted average across multiple exchange's spot price, in order to avoid price manipulation. |
Derivatives (v2)
This API endpoint provides derivatives-specific data unique to futures, options, and perpetual futures contracts. We currently provide historical derivatives data - beginning in July 2020 - updated once per minute. List of currently 7 supported exchanges are as follows: BitMEX, Deribit, OKEx, Kraken Futures, Binance, FTX 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, expiry and strike price. The risk endpoint indicates data that can be used to analyze risks related with derivatives, such as open interest, funidng rates, and option greeks. The price endpoint shows the mark price, index price, and price (last traded price).
Reference
The reference API endpoint provides details of a contract, which is the smallest unit of derivatives trading in most cases. The details include base asset, quote asset, contract size, contract size unit for all the types of derivatives, expiry for futures and options, and strike price for options. You can find a list of instruments using a wildcard (*) in instrument. For example, using *-usdt as an instrument and perpetual-future as an instrument_class lets you find any pereptual future instrument whose base asset is usdt.
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/reference?exchange=okex&instrument_class=future&instrument=ethusd220624'
Response Example
{
"query": {
"exchange": "okex",
"instrument_class": "perpetual-future",
"instrument": [
"btc-usdt"
],
"base_assets": [],
"quote_assets": [],
"data_version": "v2",
"commodity": "derivatives",
"request_time": "2022-04-26T12:52:14.831Z"
},
"time": "2022-04-26T12:52:14.892Z",
"timestamp": 1650977534892,
"data": [
{
"exchange": "okex",
"instrument_class": "perpetual-future",
"instrument": "btc-usdt",
"base": "btc",
"quote": "usdt",
"contract_size": "0.01",
"contract_size_unit": "btc",
"funding_rate_frequency": "8h"
}
]
"result": "success",
"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/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, btc*220624, *usdt, btc*may22* |
latest_expiry |
No | future & option only. Used to retrieve futures and options that expire before this date and time |
2022-06-23T00:01:00.000Z |
earliest_expiry |
No | future & option only. Used to retrieve futures and options that expire after this date and time |
2022-06-25T23:59:00.000Z |
type |
No | option only. 'C' for call options and 'P' for put options |
C, P |
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 (inclusive). | 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 |
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: 100000). | 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 (inclusive). | 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 |
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!