Market Data solutions
A comprehensive breakdown of Kaiko's Market Data endpoints.
Last updated
A comprehensive breakdown of Kaiko's Market Data endpoints.
Last updated
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.
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.
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
Trade Count is the number of trades that occurred over a period of time.
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.
An order book snapshot lists all buy and sell orders (within 10% of the mid-price), offering level 2 insight into market liquidity. Order Book Snapshots are requested for a specific instrument on a particular exchange. The snapshots are taken twice a minute and can come as either "bids and asks", which simply contain the raw data, or as "full snapshots", which are enhanced with the following:
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.
Market Depth - The "deeper" an order book is, the larger the quantity of bids and asks on either side of the mid-price. For example, an order book with a large number of bids and asks that are within 1% of either side of the midprice could be considered “deep” suggesting higher liquidity.
Price Slippage - 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.
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.
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).
Order Book Aggregations Contain:
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.
Top-of-Book is also knows as best bids and asks. It offers the best bid and best asks on order book, provided in real-time. This information is obtained from our detailed Tick-Level-Updates data. The top of the book represents the most competitive prices at which buyers and sellers are willing to transact at that moment. It shows the prevailing market sentiment and the prices at which orders are most likely to be executed.
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.
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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.
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.