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.

You can find out more about our Customized Indices here.

Endpoints

gRPC

gateway-v0-grpc.kaiko.ovh

http

gateway-v0-http.kaiko.ovh

API (testing)

https://gateway-v0-http.kaiko.ovh/api/stream/constant_duration_indices_v1

Parameters

Parameter	Description	Examples
index_code	The Kaiko CDF Index tickers	KAIKO_CDF_BTCUSDT See the methodology for a full list of tickers.

Requesting multiple tickers at the same time To configure multiple tickers in the same stream, provide the indexCode as a comma separated list eg KAIKO_CDF_BTCUSDT,KAIKO_CDF_ETHUSDT Alternatively, use a wildcard by entering a * and you'll receive all tickers you have as part of you Kaiko subscription.

Fields

Field	Description
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

Python

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()

Python (Replay)

# 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:
        # start of date configuration #
        start = Timestamp()
        start.FromDatetime(datetime.utcnow() - timedelta(days=2))
        end = Timestamp()
        end.FromDatetime(datetime.utcnow() - timedelta(days=1))
        # end of date configuration #
        
        stub = sdk_pb2_grpc.StreamConstantDurationIndicesServiceV1Stub(channel)

        responses = stub.Subscribe(pb_constant_duration_indices.StreamConstantDurationIndicesServiceRequestV1(
            index_code = "KAIKO_CDF_BTCUSDT",
            interval={
                'start_time': start,
                'end_time': end
            }
        ))
        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()

cURL (Replay)

cURL requests are intended for testing purposes only.

curl -X POST "https://gateway-v0-http.kaiko.ovh/api/stream/constant_duration_indices_v1" -H "accept: application/json" -H "X-Api-Key: $KAIKO_API_KEY" -H "Content-Type: application/json" -d '{ "indexCode": "KAIKO_CDF_BTCUSDT", "interval": {"startTime": "2025-04-24T15:30:00.000Z", "endTime": "2025-04-24T15:31:00.000Z" } }'

Other examples

For more advanced users, you can access our full SDK here, where you'll find more coding languages, examples and guidance.

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"
   }
}