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: Bid-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: Download here.
• 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: Download here.
• Docs: Tokens in a liquidity pool (Uniswap v3)

Raw order book snapshot

The raw data on which our Level 2 Aggregations such as market depth , bid/ask spread, and price slippage are built. Details a point-in-time view of the bids and asks on an exhange's order book to 10% depth. Used to build your own custom level 2 aggregations. The snapshot is produced 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: Raw order book snapshot

Cloud delivery

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)

Raw order book snapshot

The raw data on which our Level 2 Aggregations such as market depth , bid/ask spread, and price slippage are built. Details a point-in-time view of the bids and asks on an exhange's order book to 10% depth. Used to build your own custom level 2 aggregations.

• Historical data: Varies per exchange. Data from 2015.

• Live data: No.

• Granularity: At least one snapshot per minute

• Coverage: See - Spot markets - centralized

• Docs: Bids and asks

  Raw order book snapshot

  A point-in-time view of the bids and asks on an exhange's order book to 10% depth. For building your own custom level 2 aggregations.

  • Historical data: Varies per exchange. Data from 2015.

  • Live data: No.

  • Granularity: At least one snapshot per minute

  • Coverage: See - Spot markets - centralized

  • Docs: Bids and asks