VWAP Only

What is this dataset?

This dataset offers aggregated VWAP (volume-weighted average price) history for an instrument on an exchange.

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	Data refreshes once a day Also available in near real-time
BigQuery	Data refreshes once a day Also available in near real-time

File structure details

• The time granularity that we provide through CSV files is 1min, 5min, 10min, 15min and 30min for monthly grouped CSV files, while 1hour, 4hour and 1day for yearly grouped CSV files.

• File Name: [kaiko_legacy_slug]_[data_feed_code]_vwap_[time_granularity]_[date].csv

  • Files are created on a daily basis, but complete as a month or year ends

  • example: bw_btcusdt_perp_vwap_5m_2023_02.csv, bw_atomusdt_perp_vwap_1h_2023.csv

• Cut-off datetime:

  • Monthly grouped files: The mid-night of the last day of the month

  • Yearly grouped files: The mid-night of the last day of the year

• Column Delimeter: , (comma)

• Decimal Mark (in numbers): . (dot)

• There are no column headers in the CSV files, so I will present the columns in order from left to right.

Fields

Column	Description	Example
timestamp	The starting timestamp of the time interval, expressed in Unix Timestamp (in milliseconds)	1672531200000
vwap	The volume weighted price during the time interval. null when no trades reported.	0.4935
exchange BigQuery and Snowflake only	Exchange code. See Exchange codes	cbse
BigQuery and Snowflake only	Instrument code. Exchange trading pair codes (instruments)	btc-usd
interval BigQuery and Snowflake only	The interval parameter is suffixed with s, m, h or d to specify seconds, minutes, hours or days, respectively.	1h