Value at risk calculation

What is this endpoint for?

Thuis endpoints helps you calculate value at risk. Computed by a proprietary and thoroughly backtested methodology that accounts for the idiosyncrasies of crypto market structure. By convention it's a forecasting VaR, i.e. the prediction of the potential loss for the next day.

Endpoint

https://us.market-api.kaiko.io/v2/data/analytics.v2/value_at_risk

Parameters

Parameter	Required	Description
bases	Yes	List of portfolio base components. See Instruments Total must match quantities below. The order of bases and their respective quantities must match in the request.
quote	Yes	The fiat currency.
quantities	Yes	Quantities list of base asset in the portfolio. Must match the number of bases. The order of quantities and their respective bases must match in the request.
risk_level	Yes	The Value at Risk confidence level. Min: 0.90 (included) Max: 1 (excluded)
start_time	Yes	First fixing of the calculation in ISO 8601 (inclusive).
end_time	Yes	Last fixing of the calculation in ISO 8601 (inclusive).
sources	No	boolean. If true, returns all pair prices which were used to compute the Value at Risk. Default: false

Fields

Parameter	Description
var_time	The time at which the VaR is computed.
value_at_risk	Composed of two fields: value and risk_level (the Value at Risk estimator at the specified risk_level.)
additional_vars	List of additional VaRs for standard risk levels.
pair	The constituent pair. (showing only when sources is set to be true)
ref_price	The reference price per asset. (showing only when sources is set to be true)
date	The date of the reference price. (showing only when sources is set to be true)

Request examples

cURL

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/analytics.v2/value_at_risk?bases=eth,btc,ltc&quantities=3,2,5&quote=usd&risk_level=0.95&start_time=2021-12-01T00:00:00.000Z&end_time=2022-01-31T00:00:00.000Z&sources=true'

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 = "/v2/data/analytics.v2/value_at_risk"
# Start of mandatory parameter configuration
mandatory_params = {
    "bases": "eth,btc,ltc",
    "quote": "usd",
    "quantities": "3,2,5",
    "risk_level": "0.95",
    "start_time": "2021-12-01T00:00:00.000Z",
    "end_time": "2022-01-31T00:00:00.000Z"
}
# End of mandatory parameter configuration
# Start of optional parameter configuration
optional_params = {
        "sources": "true",
}
# 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)

# Initial request
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

{"query": {
        "bases": "eth,btc,ltc",
        "quote": "usd",
        "quantities": "3,2,5",
        "risk_level": "0.95",
        "sources": true,
        "data_version": "v2",
        "commodity": "analytics",
        "request_time": "2024-12-02T14:57:10.523Z"
    },
    "time": "2024-12-02T14:57:11.037Z",
    "timestamp": 1733151431037,
    "data": [
        {
            "var_time": 1638316800000,
            "value_at_risk": {
                "value": 7348.431318368653,
                "risk_level": 0.95
            },
            "additional_vars": [
                {
                    "value": 6283.239075888689,
                    "risk_level": 0.9
                },
                {
                    "value": 7348.431318368653,
                    "risk_level": 0.95
                },
                {
                    "value": 10285.468412415725,
                    "risk_level": 0.975
                },
                {
                    "value": 10711.839781569755,
                    "risk_level": 0.99
                }
            ]
        },
        {
            "var_time": 1638403200000,
            "value_at_risk": {
                "value": 7300.740323399054,
                "risk_level": 0.95
            },
            "additional_vars": [
                {
                    "value": 6243.422441930624,
                    "risk_level": 0.9
                },
                /*...*/ 
            ]
        },,
    /*...*/ 
    ]
 "sources": {
        "prices": [
            {
                "pair": "eth-usd",
                "prices": [
                    {
                        "ref_price": 611.8140773650796,
                        "date": {
                            "seconds": 1606780800
                        }
                    },
                    /*...*/ 
                ]
            },
            {
                "pair": "btc-usd",
                "prices": [
                    {
                        "ref_price": 19588.910928118505,
                        "date": {
                            "seconds": 1606780800
                        }
                    },
                    /*...*/ 
                ]
            },
            /*...*/ 
        ]
    }
  "quantities": [3, 2, 5],
  "start_date": {"seconds": 1638403200},
  "end_date": {"seconds": 1643673600},
  "risk_level": 0.95,
  "additional_risk_levels": [0.9, 0.95, 0.975, 0.99],
  "decay": 30,
  "bases": ["eth", "btc", "ltc"]}