Market Data solutions

A comprehensive breakdown of Kaiko's Market Data endpoints.

Our Market Data solutions offer insight into over 100 centralized spot and derivatives exchanges, providing a detailed view of the trades taking place, the state of the order books, and insight into open derivatives contracts. Track the real-time and historical performance and monitor current market trends.

We gather our Market Data from all the centralized exchanges we cover by accessing their REST and WebSocket APIs, which are publicly available as per the exchange's API documentation. As soon as we receive the data, we remove any duplicates and convert the data into our own standardized format to ensure consistency across all exchanges.

Aggregated Quotes

Aggregated Quotes provides a computed real-time price that considers the bids and best asks across a highly-vetted selection of exchanges, meaning you can get a comprehensive view of demand, without the need to monitor exchanges individually.

Kaiko Stream
  • Historical data: 72 hours via replay

  • Live data: Yes

  • Granularity: Every second

  • Coverage: The top 10 exchanges on the Kaiko Exchange Ranking

  • Limitations: Pricing is for specific trading pairs. If the pair doesn't belong to one of our vetted Exchanges (Top 10), the “unvetted” parameter needs to be set to “true” to get a price.

  • Methodology: 10s. Aggregation Period MidPrice + VWAP

Derivatives Metrics

Derivatives Metrics gives the information you need to identify derivatives, such as futures, vanilla (call/put) options, or perpetual futures. It covers risk factors such as funding rates and prices. Derivatives metrics is broken down into three sections: Reference Data: Information on the contract size, expiry, strike price, underlying index, and listing times. Risk Data: Open interest, volumes, funding rates (current and predicted), expiry dates, greeks and nearby contracts. Price Data: Index price, mark price, and contract price.

Kaiko Rest API
  • Historical data: Since July 2020

  • Live data: Yes

  • Granularity: 1-minute, 1-hour, 4-hour, 1-day

  • Coverage: See Derivatives (Derivatives Data)

Kaiko CSV
  • Historical data: Since July 2020

  • Live data: No

  • Granularity: 1-minute, 1-hour, 4-hour, 1-day

  • Coverage: See Derivatives (Derivatives Data)

OHLCV Candlesticks

OHLCV is an aggregated form of market data that stands for Open, High, Low, Close, and Volume. The data includes five data points from a time period you define:

  • Open and close - the first and last price

  • High and low - the highest and lowest price

  • Volume - the total amount traded

BigQuery
Kaiko CSV
  • 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 Centralized exchanges

Kaiko Rest API
  • Historical data: Since 2010

  • Live data: Yes

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

  • Coverage: See Centralized exchanges

Kaiko Stream
  • Historical data: 72 hours via replay

  • Live data: Yes

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

  • Coverage: See Centralized exchanges

Order Book Snapshots

An order book is a list that contains all the buy and sell orders for a particular asset on an exchange, organized by price and time priority. When someone wants to buy an asset, they place a "bid" order, and when someone wants to sell an asset, they place an "ask" order. The exchange's system matches these orders with market buy and sell orders, resulting in a trade.

Order Book Snapshots offers a Level 2 view of exchanges order books from a specific moment in time. These snapshots are taken twice per minute for all the instruments (asset combinations). The order book snapshots include the best bid and ask prices, as well as the prices that are 10% higher or lower than the best bid and ask prices at the time the snapshot was taken. Users have the option of using a full snapshot, which includes all information, or accessing specific metrics separately: Market Depth: The "deeper" an order book is, the larger the quantity of bids and asks either side of the mid-price. For example, an order book with a large quantity of bids and asks that are within 1% of either side of the midprice could be considered “deep” suggesting higher liquidity.

Price Slippage: Price slippage is the difference between the expected price for a trade and the executed price. Slippage can happen for two reasons: either the bid/ask spread (the difference between the highest price a buyer is willing to pay and the lowest price a seller is willing to accept) changes between the time you place the order and when it's completed, or there aren't enough buyers or sellers in the market to fulfill your order.

Price Slippage calculates slippage for orders (bids or asks) of any size. For instance, you can use it to simulate the slippage for a $50,000 market buy order. It results in a percentage that represents the difference between the expected price at the time of the simulated trade and the average price required to fill the entire $50k order.

Bid-Ask-Spread: Calculates the difference between the best bid and the best ask on an instrument’s order book as an indicator of liquidity.

Kaiko CSV
Kaiko Rest API
  • Historical data: 1-month rolling

  • Live data: Yes

  • Granularity: Two snapshots a minute

  • Coverage: See Centralized exchanges

Order Book Aggregations

An Order Book Aggregation is derived from an Order Book Snapshot, but instead of giving a point in-time view of each metric (depth, slippage, or bid-ask spread), it aggregates the metrics from each Order Book Snapshot from the time period requested. For example:

  • A 5-minute period would aggregate the depth, slippage, and bid-asp-spread from 10 Order Book Snapshots (2 snapshots a minute for the 5-minute period requested).

  • A 10-minute period would aggregate the depth, slippage, and bid-asp-spread from 20 Order Book Snapshots (2 snapshots a minute for the 10-minute period requested).

Kaiko Rest API
  • Historical data: 1-month rolling

  • Live data: Yes

  • Granularity: Up to two snapshots a minute aggregated to a maximum of 1-day by s, m, h, d

  • Coverage: See Centralized exchanges

Tick-level Trades

Tick-level data is the most granular level of trading data, and contains every single trade that occurs or centralized and decentralized exchanges .The data is normalized and timestamped and contains information such as the price and volume of each trade. For DEX’s specifically, we also provide additional information on the user address, the blockchain, the pool adddress and transaction hash related to the trade.

BigQuery
Kaiko CSV
Kaiko Private Network

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Kaiko Rest API
Kaiko Stream

Tick-level Updates

A Tick-level Update offers an efficient approach for accessing order book information of an exchange. When a client connects, they first receive a snapshot of the current order book, followed by continuous real-time updates for every change ("delta") that takes place. These updates cover any new, altered, or removed price levels and their corresponding volumes, as well as the associated timestamps and sequence IDs.

To maintain uniformity, all order book data from top-tier exchanges is normalized into a single format, allowing effortless comparison of order book feeds for thousands of instruments.

Kaiko CSV
  • Historical data: Since August 2023

  • Live data: No

  • Granularity: Tick-level

  • Coverage: Over 20 centralized exchanges

Kaiko Stream

Top-of-Book

Top of Book is Level 1 category market data, and includes bids and asks. This information is obtained from our detailed Tick-Level-Updates data.

Kaiko CSV
Kaiko Stream

Trade Count

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

Kaiko Rest API

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.

BigQuery
  • Historical data: Since 2010

  • Live data: Yes

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

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

  • Docs: BigQuery

Kaiko CSV
  • 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

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

  • Docs: VWAP

Kaiko Rest API
  • 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

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

Kaiko Stream
  • Historical data: 72 hours on replay

  • Live data: Yes

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

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

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