Valour - CDF Index
What is this endpoint for?
This endpoint is a customized index made specifically for Valour, a Kaiko Indices client. It's designed to serve as an underlying price feed for leveraged financial instruments. The price is calculated by measuring the performance of live futures contracts with a constant time to expiry to effectively reflect a price, mitigating the volatility caused by rollovers.
Endpoints
gateway-v0-grpc.kaiko.ovh
Parameters
index_code
The Kaiko CDF Index tickers
KAIKO_CDF_BTCUSDT
See the methodology for a full list of tickers.
Fields
commodity
The type of publication. Either real-time or fixings
indexCode
The ticker identifying the rate.
base
Base asset of futures
quote
Quote asset of futures
computedCdf
Price of CDF index
exchange
The exchange code for underlying futures trade. Please find instrument explorer for a full name of exchange.
frontFuture
A nested object containing:
symbol
Instrument code of front future. Please find instrument explorer for detailed information.
price
1-min VWAP of front future (Relevant doc of VWAP can be found here.) If it's not available, last traded price
expiry
The timestamp of expiration of front future
timestamp
The timestamp of the price of front future.
If price is 1-min VWAP, endTime
of the calculation
if price is from the last trade, the timestamp of the trade
weight
Applied weight to the price of front future
backFuture
A nested object containing:
symbol
Instrument code of back future. Please find instrument explorer for detailed information.
price
1-min VWAP of back future (Relevant doc of VWAP can be found here.) If it's not available, last traded price
expiry
The timestamp of expiration of back future
timestamp
The timestamp of the price of back future.
If price is 1-min VWAP, endTime
of the calculation
if price is from the last trade, the timestamp of the trade
weight
Applied weight to the price of back future
constantDuration
Constant Duration
status
Status of the publication
CDF_SUCCESS
: Calculation succeeded
CDF_NO_FUTURE
: Cannot find the relevant front or back future
CDF_NO_PRICE
: Futures are available but prices are not available
rateQuoteConversion
A nested object containing:
index
Kaiko Reference Rate that is used to convert the currency. Detailed methodology of Kaiko Reference rate can be found here
value
Price of rateQuoteConversion
/ index
timestamp
Timestamp of rateQuoteConversion
/ index
interval_startTime
The start time for the interval.
interval_endTime
The end time for the interval.
tsEvent
The exact time of the publication.
Request examples
Make sure to read our Python quick-start guide before starting.
# This is a code example. Configure your parameters below #
from __future__ import print_function
from datetime import datetime, timedelta
import logging
import os
from google.protobuf.timestamp_pb2 import Timestamp
import grpc
from google.protobuf.json_format import MessageToJson
from kaikosdk import sdk_pb2_grpc
from kaikosdk.stream.constant_duration_indices_v1 import request_pb2 as pb_constant_duration_indices
def constant_duration_indices_v1_request(channel: grpc.Channel):
try:
with channel:
stub = sdk_pb2_grpc.StreamConstantDurationIndicesServiceV1Stub(channel)
responses = stub.Subscribe(pb_constant_duration_indices.StreamConstantDurationIndicesServiceRequestV1(
index_code = "KAIKO_CDF_BTCUSDT"
))
for response in responses:
print("Received message %s" % (MessageToJson(response, including_default_value_fields = True)))
except grpc.RpcError as e:
print(e.details(), e.code())
def run():
credentials = grpc.ssl_channel_credentials(root_certificates=None)
call_credentials = grpc.access_token_call_credentials(os.environ['KAIKO_API_KEY'])
composite_credentials = grpc.composite_channel_credentials(credentials, call_credentials)
channel = grpc.secure_channel('gateway-v0-grpc.kaiko.ovh', composite_credentials)
constant_duration_indices_v1_request(channel)
if __name__ == '__main__':
logging.basicConfig()
run()
Response Example
{
"result":{
"commodity":"SIC_REAL_TIME",
"indexCode":"KAIKO_CDF_BTCUSDT",
"composition":{
"base":"btc",
"quote":"usdt",
"data":[
{
"computedCdf":95024.52103689784,
"exchange":"binc",
"frontFuture":{
"symbol":"btcusdt_250627",
"price":94481.42295081966,
"expiry":"2025-06-27T08:00:00Z",
"timestamp":"2025-04-25T09:31:00Z",
"weight":0.6813186813186813
},
"backFuture":{
"symbol":"btcusdt_250926",
"price":96096.2,
"expiry":"2025-09-26T08:00:00Z",
"timestamp":"2025-04-25T09:29:41.131Z",
"weight":0.31868131868131866
},
"constantDuration":91,
"status":"CDF_SUCCESS",
"rateQuoteConversion":{
"index":"KK_RFR_USDTUSD",
"value":1.0003,
"timestamp":"2025-04-25T09:31:00Z"
}
}
]
},
"startTime":"2025-04-25T09:30:00Z",
"endTime":"2025-04-25T09:31:00Z",
"tsEvent":"2025-04-25T09:31:05.247126935Z"
}
}
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