Risk

Derivatives risk endpoint

What is this endpoint for?

This endpoint can be used to analyze risks related with derivatives, such as open interest, funding rates, and option greeks.

Endpoint

https://eu.market-api.kaiko.io/v2/data/derivatives.v2/risk

Parameters

ParameterRequiredDescriptionExample

exchange

Yes

Should be one of the exchanges currently supported

okex

instrument_class

Yes

future, perpetual-future, or option

future

instrument

Yes

btcusd220624

interval

No

Interval period (can be one of 1m, 1h, 4h, and 1d). Default 1m When you query data using aninterval greater than one minute, we'll return the data from the last minute of that time period. For example, if you query data for 09:00 with the interval set at 1h, we'll return data from 09:59 (since that's the last minute of the 09:00-10:00 hour period).

1h

page_size

No

10

sort

No

Return the data in ascending (asc) or descending (desc) order. Default desc

asc

start_time

No

Starting time in ISO 8601 (inclusive).

2022-04-20T00:03:00.000Z

end_time

No

Ending time in ISO 8601 (exclusive).

2022-04-20T08:05:00.000Z

Fields

FieldDescriptionExample

timestamp

Timestamp at which the interval begins. In milliseconds.

1650441900000

24h_volume

The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)

5270648

open_interest

The total oustanding number of contracts (units in which open interest metrics are quoted vary by exchange)

1127623

funding_rate

perpetual-future only. The current funding rate.

-0.0000756735759807

predicted_funding_rate

perpetual-future only. The predicted funding rate for the next period.

-0.0000845044644161

time_to_expiry

future & option only. The number of minutes remaining before expiry.

41504

nearby

future & option only. The soonest expiring contract with the same base & quote asset on the specified exchange

boolean value

quarterly_nearby

future & option only. The soonest expiring quarterly contract with the same base & quote asset on the specified exchange

boolean value

ask_iv

option only. Implied volatility for the best ask.

57.5

bid_iv

option only. Implied volatility for the best bid.

65.4

mark_iv

option only. The implied volatility for the mark price.

69.42

delta

option only. The delta value for the option.

0.8841

gamma

option only. The gamma value for the option.

0.00003

rho

option only. The rho value for the option.

21.26122

theta

option only. The theta value for the option.

-26.18193

vega

option only. The vega value for the option.

2.36321

Request examples

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/derivatives.v2/risk?exchange=okex&instrument_class=perpetual-future&instrument=btc-usdt&page_size=2'

Response example

{
    "query": {
        "page_size": "2",
        "exchange": "okex",
        "instrument_class": "perpetual-future",
        "instrument": "btc-usdt",
        "sort": "desc",
        "data_version": "v2",
        "commodity": "derivatives",
        "request_time": "2022-04-28T10:17:48.180Z"
    },
    "time": "2022-04-28T10:17:48.698Z",
    "timestamp": 1651141068698,
    "data": [
        {
            "timestamp": 1651141020000,
            "24h_volume": "10428503",
            "open_interest": "1084816",
            "funding_rate": "-0.0001225804461251",
            "predicted_funding_rate": "-0.0000652655998942"
        },
        {
            "timestamp": 1651140960000,
            "24h_volume": "10423219",
            "open_interest": "1086823",
            "funding_rate": "-0.0001225804461251",
            "predicted_funding_rate": "-0.0000654154039082"
        },

    ],

    /* ... */

    "access": {
        "access_range": {
            "start_timestamp": 1646006400,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

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