Market Depth

You can also get Market Depth from the Full Aggregation endpoint.

What is this endpoint for?

This endpoint returns the average market depth for the requested period. Read more about how the aggregation period works here: Order Book Aggregations.

We are unable to collect the full 10% snapshot from all exchanges we cover. Thus, for some exchanges, 'Market Depth' does not accurately portray the exchange's order book volume.

Endpoint

https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/{exchange}/{instrument_class}/{instrument}/ob_aggregations/depth

Parameters

Fields

Request examples

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/ob_aggregations/depth?page_size=10&interval=1h'

Response example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "interval": "1h",
        "slippage": 0,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "aggregation": "depth",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:58:55.582Z"
    },
    "time": "2020-05-26T14:58:56.395Z",
    "timestamp": 1590505136395,
    "data": [
        {
            "poll_timestamp": 1590501600000,
            "bid_volume0_1": "31.31635593220339",
            "bid_volume0_2": "90.78996610169492",
            "bid_volume0_3": "144.16212711864407",
            "bid_volume0_4": "182.9676525423729",
            "bid_volume0_5": "219.1858220338983",
            "bid_volume0_6": "263.02182203389833",
            "bid_volume0_7": "296.666686440678",
            "bid_volume0_8": "322.5334237288136",
            "bid_volume0_9": "340.6282881355932",
            "bid_volume1": "356.4558474576271",
            "bid_volume1_5": "427.1106949152542",
            "bid_volume2": "475.76238135593223",
            "bid_volume4": "863.1048559322035",
            "bid_volume6": "1137.2281271186441",
            "bid_volume8": "1137.5447796610172",
            "bid_volume10": "1137.5447796610172",
            "ask_volume0_1": "22.772533898305085",
            "ask_volume0_2": "36.96916101694915",
            "ask_volume0_3": "78.57454237288135",
            "ask_volume0_4": "144.87783898305085",
            "ask_volume0_5": "195.61884745762714",
            "ask_volume0_6": "237.96824576271186",
            "ask_volume0_7": "282.3425338983051",
            "ask_volume0_8": "314.0606779661017",
            "ask_volume0_9": "330.76757627118644",
            "ask_volume1": "344.3153644067797",
            "ask_volume1_5": "413.4595423728814",
            "ask_volume2": "475.48172033898305",
            "ask_volume4": "886.8459152542373",
            "ask_volume6": "1272.5998644067795",
            "ask_volume8": "1371.7920847457626",
            "ask_volume10": "1371.7920847457626"
        },
      /* ... */
    ],
    "result": "success",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

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