Exchange-provided metrics

What is this dataset for?

Data from Derivatives Risk Indicators, with the data for risk and price.

Update frequencies

Channel	Update frequency
AWS	New CSV once a day
Azure	New CSV once a day
Google Cloud Platform	New CSV once a day
Snowflake	Not available
BigQuery	Not available

File Structure Details

• File Name: [kaiko_exchange_code]_[instrument_symbol]_derivatives_full_[date].csv

  • Files are created on a daily basis.

  • example: bbit_xrpusdt_derivatives_full_2023_05_30.csv

• Cut-off time: 00:00:00 UTC

  • A file contains the minutely data from the mid-night (00:00:00) to the 1 mintue before the mid-night (23:59:00).

• Column Delimeter: , (comma)

• Decimal Mark (in numbers): . (dot)

Fields: Perpetual-Future

Column	Description	Example
timestamp	The starting timestamp of the time interval, expressed in Unix Timestamp (in seconds)	1736121600
24h_volume	The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)	1849370
open_interest	The total outstanding number of contracts (units in which open interest metrics are quoted vary by exchange)	18.154
ask	The price of the best ask within one minute interval	0.4941
bid	The price of the best bid within one minute interval	0.4940
ask_amount	The amount of the best ask, associated with the best ask price.	8.2
bid_amount	The amount of the best bid, associated with the best bid price.	4.4
funding_rate	perpetual-future only. The current funding rate.	0.00020546
mark_price	The mark price of the contract. It is used for calculating profit and loss (PnL) and liquidation price. Designed to be fair and avoid price manipulation.	39713.5
predicted_funding_rate	perpetual-future only. The predicted funding rate for the next period.	0.00010447
price	Most recent traded price of derivative contract	39767
index_price	The price of the underlying index, often as a weighted average across multiple exchanges' spot prices	39745.9

Fields: Future

Column	Description	Example
timestamp	The starting timestamp of the time interval, expressed in Unix Timestamp (in seconds)	1685405460
24h_volume	The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)	1849370
ask	The price of the best ask within one minute interval	0.4941
bid	The price of the best bid within one minute interval	0.4940
funding_rate	perpetual-future only. The current funding rate.	0.00020546
mark_price	The mark price of the contract. It is used for calculating profit and loss (PnL) and liquidation price. Designed to be fair and avoid price manipulation.	39713.5
predicted_funding_rate	perpetual-future only. The predicted funding rate for the next period.	0.00010447
price	Most recent traded price of derivative contract	39767
index_price	The price of the underlying index, often as a weighted average across multiple exchanges' spot prices	39745.9
settlement_price	Settlement price calculated at the end of the trading day for the contract.	106610
settlement_timestamp	Time of calculated settlement price	2025-01-06T22:37:40.863147599Z

Fields: Option

Column	Description	Example
timestamp	The starting timestamp of the time interval, expressed in Unix Timestamp (in seconds)	1736121600
ask_iv	Implied volatility for the best ask.	51.08
bid_iv	Implied volatility for the best bid.	48.73
mark_iv	The implied volatility for the mark price.	50.03
expiry	Expiration date of the contract	1736467200000000000
strike_price	The strike price of the contract in USD	100000
24h_volume	The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)	1849370
ask	The price of the best ask within one minute interval	0.4941
bid	The price of the best bid within one minute interval	0.4940
ask_amount	The amount of the best ask, associated with the best ask price.	50.6
bid_amount	The amount of the best bid, associated with the best bid price.	41.9
funding_rate	perpetual-future only. The current funding rate.	0.00020546
mark_price	The mark price of the contract. It is used for calculating profit and loss (PnL) and liquidation price. Designed to be fair and avoid price manipulation.	39713.5
predicted_funding_rate	perpetual-future only. The predicted funding rate for the next period.	0.00010447
price	Most recent traded price of derivative contract	39767
index_price	The price of the underlying index, often as a weighted average across multiple exchanges' spot prices	39745.9
delta	The delta value for the option.	0.41797
gamma	The gamma value for the option.	0.00007
rho	The rho value for the option.	4.7103
theta	The theta value for the option.	-242.50719
vega	The vega value for the option.	42.00295
underlying_index	Name of the underlying asset	BTC-10JAN25
settlement_price	Settlement price calculated at the end of the trading day for the contract.	24.5
settlement_timestamp	Time of calculated settlement price	2025-01-06T22:37:14.785498411Z