Data Feeds

A comprehensive breakdown our Data Feeds.

Our Data feeds help with front and mid-office operations, business intelligence, and risk management. We offer Level 1 and Level 2 market data, alongside crypto reference insight.

Level 1 and Level 2 Data

Level 1 and Level 2 Data offers market insight for CefFi and DeFi ecosystems. Covering spot, derivatives, and lending protocols. Depending on your tier, you'll have access to different data types.

Level 1 Aggregations

Stream

OHLCV

OHLCV is an aggregated form of market data that stands for Open, High, Low, Close, and Volume

• Historical data: 72 hours on replay

• Live data: Yes

• Granularity: 1s

• Coverage: See Spot markets - centralized, Spot markets - decentralized, and Derivatives markets - centralized.

• Docs: OHLCV

VWAP

VWAP, or Volume Weighted Average Price, is the average price of an asset over a specific time period, weighted by the volume of trades. VWAP can be used to gauge market sentiment and momentum shifts.

• Historical data: 72 hours on replay

• Live data: Yes

• Granularity: 1-second, 1-minute, 1-hour

• Coverage: See Spot markets - centralized, Spot markets - decentralized, and Derivatives markets - centralized.

• Methodology: Proposal/Not based on an official paper, but it depicts on how we are doing. VWAP formula: ∑(Price * Volume) / ∑Volume.

• Docs: VWAP only

REST API

OHLCV

OHLCV is an aggregated form of market data that stands for Open, High, Low, Close, and Volume.

• Historical data: Since 2010

• Live data: Yes

• Granularity: Time periods between 1-second and 1-day

• Coverage: See Spot markets - centralized, Spot markets - decentralized, andDerivatives markets - centralized.

• Docs: OHLCV only

VWAP

VWAP, or Volume Weighted Average Price, is the average price of an asset over a specific time period, weighted by the volume of trades. VWAP can be used to gauge market sentiment and momentum shifts.

• Historical data: Since 2010

• Live data: Yes

• Granularity: Time periods between 1-minute and 1-day

  • Monthly-based: 1-minute, 5-minute, 10-minute, 15-minute, 30-minute

  • Yearly-based: 1-hour, 4-hour, 1-day

• Coverage: See Spot markets - centralized, Spot markets - decentralized, and Derivatives markets - centralized.

• Methodology: Proposal/Not based on an official paper, but it depicts on how we are doing. VWAP formula: ∑(Price * Volume) / ∑Volume.

• Docs: VWAP only

Trade Count

Trade Count is the number of trades that occurred over a period of time.

• Historical data: 1-month rolling

• Live data: Yes

• Granularity: Time periods between 1-second and 1-day

• Coverage: See Spot markets - centralized, Spot markets - decentralized, and Derivatives markets - centralized.

• Docs: Trade Count, OHLCV, & VWAP

BigQuery

OHLCV

OHLCV is an aggregated form of market data that stands for Open, High, Low, Close, and Volume.

• Historical data: Since 2010

• Live data: No

• Granularity: Time periods between 1-second and 1-day

• Coverage: See Spot markets - centralized

• Docs: BigQuery

VWAP

VWAP, or Volume Weighted Average Price, is the average price of an asset over a specific time period, weighted by the volume of trades. VWAP can be used to gauge market sentiment and momentum shifts.

• Historical data: Since 2010

• Live data: No

• Granularity: Time periods between 1-second and 1-day

• Coverage: See Spot markets - centralized

• Docs: BigQuery

CSV

OHLCV

• Historical data: Since 2010

• Live data: No

• Granularity: Time periods between 1-minute and 1-day

  • Monthly-based: 1-minute, 5-minute, 10-minute, 15-minute, 30-minute

  • Yearly-based: 1-hour, 4-hour, 1-day

• Coverage: See Spot markets - centralized, Spot markets - decentralized, and Derivatives markets - centralized.

• Docs: OHLCV Only

VWAP

• Historical data: Since 2010

• Live data: No

• Granularity: Time periods between 1-minute and 1-day

  • Monthly-based: 1-minute, 5-minute, 10-minute, 15-minute, 30-minute

  • Yearly-based: 1-hour, 4-hour, 1-day

• Coverage: See Spot markets - centralized

• Methodology: Proposal/Not based on an official paper, but it depicts on how we are doing. VWAP formula: ∑(Price * Volume) / ∑Volume.

• Docs: VWAP Only

Level 1 Tick-level

Stream

All trades

The most granular level of trading data, and contains every single trade that occurs or centralized and decentralized exchanges.

• Historical data: 72 hours on replay

• Live data: Yes

• Granularity: Tick-level

• Coverage: See Spot markets - centralized and Spot markets - decentralized

• Docs: All trades

Best bids and asks (top of book)

Best bids and asks, also known as top of book shows the best bid and best asks on order book, provided in real-time. The top of the book represents the most competitive prices at which buyers and sellers are willing to transact at that moment.

• Historical data: 72 hours on replay

• Live data: Yes

• Granularity: Tick-level

• Coverage: See Spot markets - centralized and Derivatives markets - centralized

• Docs: Best bids and asks (top of book)

REST API

All trades

The most granular level of trading data, and contains every single trade that occurs or centralized and decentralized exchanges.

• Historical data: Since 2010

• Live data: Yes

• Granularity: Tick-level

• Coverage: See Spot markets - centralized and Spot markets - decentralized

• Docs: All trades

Borrows, repayments, liquidations, and withdrawals

All events on a decentralized lending protocol.

• Historical data: Since Genesis

• Live data: Yes

• Granularity: Tick-level

• Coverage: See Lending and borrowing protocols

• Docs: Borrows, repayments, liquidations, and withdrawals

CSV

All trades

The most granular level of trading data, and contains every single trade that occurs or centralized and decentralized exchanges.

• Historical data: Since 2010

• Live data: No

• Granularity: Tick-level

• Coverage: See Spot markets - centralized and Spot markets - decentralized

• Docs: All trades

Best bids and asks (top of book)

Best bids and asks, also known as top of book shows the best bid and best asks on order book, provided in real-time. The top of the book represents the most competitive prices at which buyers and sellers are willing to transact at that moment.

• Historical data: Since August 2023

• Live data: No

• Granularity: Tick-level

• Coverage: See Spot markets - centralized and Derivatives markets - centralized

• Docs: Best bids and asks (top of book)

Borrows, repayments, liquidations, and withdrawals

All events on a decentralized lending protocol.

• Historical data: Since Genesis

• Live data: No

• Granularity: Tick-level

• Coverage: See Lending and borrowing protocols

• Docs: Borrows, repayments, liquidations, and withdrawals

Private Network

All trades

The most granular level of trading data, and contains every single trade that occurs or centralized and decentralized exchanges.

• Historical data: Since 2010

• Live data: Yes

• Granularity: Tick-level

• Coverage: See Spot markets - centralized and Spot markets - decentralized

Contact us about setting up a private network.

BigQuery

Best bids and asks (top of book)

Best bids and asks, also known as top of book shows the best bid and best asks on order book, provided in real-time. The top of the book represents the most competitive prices at which buyers and sellers are willing to transact at that moment.

• Historical data: Since August 2023

• Live data: No

• Granularity: Tick-level

• Coverage: See Spot markets - centralized and Derivatives markets - centralized

• Docs: Best bids and asks (top of book)

Level 2 Aggregations

REST API

Market depth (snapshot)

The number of orders at each price level either side of the mid price of an order book. The higher the order volume, the deeper and more liquid the market is. Shown as a point-in-time view generated every 30 seconds.

• Historical data: 1-month rolling

• Live data: No

• Granularity: At least one snapshot per minute.

• Coverage: See Spot markets - centralized and Derivatives markets - centralized

• Docs: Market depth (snapshot)

Market depth (aggregation)

The number of orders at each price level either side of the mid price of an order book. The higher the order volume, the deeper and more liquid the market is. Shown as an aggregation of all 30-second snapshots from the period requested.

• Historical data: 1-month rolling

• Live data: No

• Granularity: An aggregation of all snapshots from the requested period.

• Coverage: See Spot markets - centralized and Derivatives markets - centralized

• Docs: Market depth (aggregation)

Bid-ask spread (aggregation)

The difference between the best bid and the best ask on an instrument’s order book is an indicator of liquidity.

• Historical data: 1-month rolling

• Live data: No

• Granularity: An aggregation of all snapshots from the requested period.

• Coverage: See Spot markets - centralized and Derivatives markets - centralized

• Docs: Bids-ask spread (aggregation)

Price slippage (snapshot)

The difference between the expected price for a trade and the executed price. High slippage can be a sign of low liquidity on the exchange. Shown as a point-in-time view generated every 30 seconds.

• Historical data: 1-month rolling

• Live data: No

• Granularity: At least one snapshot per minute.

• Coverage: See Spot markets - centralized and Derivatives markets - centralized

• Docs: Price slippage (snapshot)

Price slippage (aggregation)

The difference between the expected price for a trade and the executed price. High slippage can be a sign of low liquidity on the exchange. Shown as an aggregation of all 30-second snapshots from the period requested.

• Historical data: 1-month rolling

• Live data: No

• Granularity: An aggregation of all snapshots from the requested period.

• Coverage: See Spot markets - centralized and Derivatives markets - centralized

• Docs: Price slippage (aggregation)

Interest rates, borrowed and deposited amounts

Block-by-block supply and times series for supply and borrow interest rates.

• Historical data: Since Genesis

• Live data: Yes

• Granularity: Tick-level

• Coverage: See Lending and borrowing protocols

• Docs: Interest rates, borrowed and deposited amounts

Tokens in a liquidity pool

The total total value locked (TVL) in a liquidity pool, as well as the unit of tokens available. A large number suggests the pool can handle large trades while maintaining low slippage.

• Historical data: Since Genesis

• Live data: Yes

• Granularity: Block-by-block

• Coverage: See Spot markets - decentralized

• Methodology: https://www.kaiko.com/reports/the-dex-data-handbook

• Docs: Tokens in a liquidity pool

Tokens in a liquidity pool (uniswap only)

• Historical data: Since Genesis

• Live data: Yes

• Granularity: Block-by-block

• Coverage: Uniswap only. See - Spot markets - decentralized

• Methodology: https://www.kaiko.com/reports/the-dex-data-handbook

• Docs: Tokens in a liquidity pool (Uniswap)

CSV

Interest rates, borrowed and deposited amounts

Block-by-block supply and times series for supply and borrow interest rates.

• Historical data: Since Genesis

• Live data: No

• Granularity:

  • Block-by-block

    or

  • Time periods between 1-second and 1-day

  • Coverage: See Lending and borrowing protocols

• Docs: Interest rates, borrowed and deposited amounts

Tokens in a liquidity pool

The total total value locked (TVL) in a liquidity pool, as well as the unit of tokens available. A large number suggests the pool can handle large trades while maintaining low slippage.

• Historical data: Since Genesis

• Live data: No

• Granularity: Block-by-block

• Coverage: See Spot markets - decentralized

• Methodology: https://www.kaiko.com/reports/the-dex-data-handbook

• Docs: Tokens in a liquidity pool

Tokens in a liquidity pool (uniswap only)

• Historical data: Since Genesis

• Live data: No

• Granularity: Block-by-block

• Coverage: Uniswap only. See - Spot markets - decentralized

• Methodology: https://www.kaiko.com/reports/the-dex-data-handbook

• Docs: Tokens in a liquidity pool (Uniswap v3)

Level 2 Tick-Level

Stream

Bids and asks (real-time tick-level)

Every single bid and ask on an exchange's order book, delivered in real-time.

• Historical data: 72 hours on replay

• Live data: Yes

• Granularity: Tick-level

• Coverage: Over 20 centralized exchanges

• Docs: Bids and asks

Rest API

Bids and asks (snapshots)

Point-in-time views of every bid and ask on an exchange's order book at a given time.

• Historical data: 1-month rolling

• Live data: No

• Granularity: At least one snapshot per minute.

• Coverage: See Spot markets - centralized and Derivatives markets - centralized

• Docs: Bids and asks (snapshot)

Mints and burns

Mints and Burns data provides detailed information about the tokens that are added (minted) or removed (burned) from a liquidity pool, and the user addresses doing it.

• Historical data: Since Genesis

• Live data: Yes

• Granularity: Tick-level

• Coverage: See Spot markets - decentralized

• Methodology: https://www.kaiko.com/reports/the-dex-data-handbook

• Docs:Mints and burns

CSV

Mints and burns

Mints and Burns data provides detailed information about the tokens that are added (minted) or removed (burned) from a liquidity pool, and the user addresses doing it.

• Historical data: Since Genesis

• Live data: Yes

• Granularity: Tick-level

• Coverage: See Spot markets - decentralized

• Methodology: https://www.kaiko.com/reports/the-dex-data-handbook

• Docs:Mints and burns