Replication data

Identify the underlying trades used to calculate each rate publication

What is this endpoint for?

Kaiko Reference Rates are available exclusively through our Stream Service. This helps you identify the underlying trades used to calculate each publication. Simply take the sequence_id field from any published rate you receive via Stream, and query this endpoint. The endpoint then generates a URL to query our Tick-Level Trades endpoint where you'll see all the trades.

We support publications for up to 72 hours using this endpoint. If you require the trades for a rate published more than 72 hours ago, contact our operations team.

Endpoint

https://us.market-api.kaiko.io/v1/data/index_replication.v1/rates

Request parameters

Parameter	Required	Description	Example
sequence_id	Yes	List of publication ID to explore. A publication is defined by event occurring on a specific instrument at a given point in time. Publication IDs can be retrieved from your index response.	cmrqt2dugrtbh9jbhlk0,cmt40b74tfbpmrtbk180
sort	No	If asc, sort time-series in ascending. If desc, sort time-series in descending.	asc
page_size	No	See Min: 1 Max: 100 Default: 10	100

Response fields

Field	Description	Example
index_code	Ticker identifying the rate.	KK_PR_BTCUSD
index_type	Type of publication: real-time or fixings.	SIC_REAL_TIME
sequenceID	The publication ID to explore. A publication is defined by event occurring on a specific instrument at a given point in time. Publication IDs can be retrieved from publication stream response.	cnb0k3vvavm8ib6863qg
underlying_data	List of links to specific pre-filtered queries on the Rest API trades endpoint for the selected SequenceID.	[ "https://us.market-api.kaiko.io/v3/data/trades.v1/exchanges/bfnx/spot/btc-usd/trades?start_time=2024-02-21T14:29:55.000Z&end_time=2024-02-21T14:34:55.000Z&index_inserted_at=2024-02-21T14:34:50.863ZZ&sort=asc", "https://us.market-api.kaiko.io/v3/data/trades.v1/exchanges/cbse/spot/btc-usd/trades?start_time=2024-02-21T14:29:55.000Z&end_time=2024-02-21T14:34:55.000Z&index_inserted_at=2024-02-21T14:34:50.863ZZ&sort=asc"]

Request example

cURL

curl --compressed \
  -H 'Accept: application/json' \
  -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v1/data/index_replication.v1/rates?sequence_id=csibfhkth8ejovmc3fcg'

Python

import http.client
import json

# Enter your Kaiko API Key
api_key = "KAIKO_API_KEY"
api_host = "us.market-api.kaiko.io"
api_base_endpoint = "/v1/data/index_replication.v1/rates"
# Start of mandatory parameter configuration
mandatory_params = {
    "sequence_id": "csibfhkth8ejovmc3fcg",
}
# End of mandatory parameter configuration
# Start of optional parameter configuration
optional_params = {
        "sort": "asc",
}
# End of optional parameter configuration
conn = http.client.HTTPSConnection(api_host)
headers = {
    "X-Api-Key": api_key,
    "Accept": "application/json"
}

all_params = {**mandatory_params, **optional_params}

url_params = []
for param, value in all_params.items():
    url_params.append(f"{param}={value}")
url_params = '&'.join(url_params)

endpoint_with_params = f"{api_base_endpoint}?{url_params}"

# Pagination for next pages
all_data = []
next_url = endpoint_with_params
while next_url:
    conn.request("GET", next_url, headers=headers)
    response = conn.getresponse()
    data = json.loads(response.read().decode("utf-8"))
    all_data.extend(data.get("data", []))
    print(f"Fetched {len(data.get('data', []))} datapoints. Total: {len(all_data)}")
    next_url = data.get("next_url", "").replace("https://us.market-api.kaiko.io", "")
    if not next_url:
        break
conn.close()
print(f" datapoints fetched: {(all_data)}")

Response example

{
    "time": "2024-11-01T11:18:09.931Z",
    "timestamp": 1730459889931,
    "data": [
        {
            "index_code": "KK_BRR_BTCUSD",
            "index_type": "SIC_REAL_TIME",
            "sequence_id": "csibfhkth8ejovmc3fcg",
            "underlying_data": [
                "https://us.market-api.kaiko.io/v3/data/trades.v1/exchanges/cbse/spot/btc-usd/trades?start_time=2024-11-01T11:12:55Z&end_time=2024-11-01T11:13:10Z&index_inserted_at=2024-11-01T11:13:09.839473378Z&sort=asc",
                "https://us.market-api.kaiko.io/v3/data/trades.v1/exchanges/gmni/spot/btc-usd/trades?start_time=2024-11-01T11:12:55Z&end_time=2024-11-01T11:13:10Z&index_inserted_at=2024-11-01T11:13:09.839473378Z&sort=asc",
                "https://us.market-api.kaiko.io/v3/data/trades.v1/exchanges/krkn/spot/btc-usd/trades?start_time=2024-11-01T11:12:55Z&end_time=2024-11-01T11:13:10Z&index_inserted_at=2024-11-01T11:13:09.839473378Z&sort=asc",
                "https://us.market-api.kaiko.io/v3/data/trades.v1/exchanges/lmax/spot/btc-usd/trades?start_time=2024-11-01T11:12:55Z&end_time=2024-11-01T11:13:10Z&index_inserted_at=2024-11-01T11:13:09.839473378Z&sort=asc",
                "https://us.market-api.kaiko.io/v3/data/trades.v1/exchanges/stmp/spot/btc-usd/trades?start_time=2024-11-01T11:12:55Z&end_time=2024-11-01T11:13:10Z&index_inserted_at=2024-11-01T11:13:09.839473378Z&sort=asc"
            ]
        }
    ],
    "result": "success",
    "continuation_token": "",
    "next_url": "",
    "access": {
        "access_range": {
            "start_timestamp": 1454284800000,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}