VWAP Only
What is this dataset?
This dataset offers aggregated VWAP (volume-weighted average price) history for an instrument on an exchange.
Update frequencies
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
and30min
for monthly grouped CSV files, while1hour
,4hour
and1day
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
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.
cbse
BigQuery and Snowflake only
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
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