Full Snapshot

What is this endpoint for?

This endpoint uses our Bids and Asks as source data and enhances its raw data with the following metrics:

Market Depth - provides insight into the "depth" of an exchange's order book by aggregating the volume of bids and asks within 0-10% of the best bid or ask, respectively. A higher volume of bids and asks at each level implies more liquidity.
Price Slippage - calculates the potential slippage for a market buy order if it were placed at the time the Order Book Snapshot was taken.
Bid-ask Spread - The bid-ask spread is the difference between the highest price that a buyer is willing to pay for an asset (the bid) and the lowest price that a seller is willing to accept (the ask). A smaller spread implies more liquidity.

Endpoint

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

Path Parameters

Parameter Required? Description

Parameter	Required?	Description
`region`	Yes	Choose between `eu` and `us`.
`exchange`	Yes	Exchange `code.` See
`instrument_class`	Yes	Instrument `class`. See
`instrument`	Yes	Instrument `code`. See

region

Yes

Choose between eu and us.

exchange

Yes

Exchange code.

See

instrument_class

Yes

Instrument class. See

instrument

Yes

Instrument code. See

Query Parameters

Parameter Required Description

Parameter	Required	Description
`continuation_token`	No	See Pagination
`end_time`	No	Ending time in ISO 8601 (exclusive). Automatically included in continuation tokens.
`limit_orders`	No	Number of orders to return on bid and ask side per snapshot. To retrieve the best bid/ask, set this parameter to `1` Default: `10`
`page_size`	No	Number of snapshots to return (default: 10, max: 100). See Pagination Automatically included in continuation tokens.
`sort`	No	Return the data in ascending `asc` or descending `desc` order. Default: `desc.` Automatically included in continuation tokens.
`start_time`	No	Starting time in ISO 8601 (inclusive). Automatically included in continuation tokens.
`slippage`	No	Order size (in quote asset) for which to calculate the percentage of slippage. Default: `0`. When `null` is returned, not enough volume is present on the order book to execute the order.
`slippage_ref`	No	Price point for which to calculate slippage from. Either from the mid-price (`mid_price`) or from the best bid/ask (`best`). Default: `mid_price`.

continuation_token

See Pagination

end_time

Ending time in ISO 8601 (exclusive). Automatically included in continuation tokens.

limit_orders

Number of orders to return on bid and ask side per snapshot. To retrieve the best bid/ask, set this parameter to 1 Default: 10

page_size

Number of snapshots to return (default: 10, max: 100). See Pagination Automatically included in continuation tokens.

sort

Return the data in ascending asc or descending desc order. Default: desc. Automatically included in continuation tokens.

start_time

Starting time in ISO 8601 (inclusive). Automatically included in continuation tokens.

slippage

Order size (in quote asset) for which to calculate the percentage of slippage. Default: 0. When null is returned, not enough volume is present on the order book to execute the order.

slippage_ref

Price point for which to calculate slippage from. Either from the mid-price (mid_price) or from the best bid/ask (best). Default: mid_price.

Fields

Field Description

Field	Description
`poll_timestamp`	The timestamp at which the raw data snapshot was taken.
`poll_date`	The date at which the raw data snapshot was taken.
`timestamp`	The timestamp provided by the exchange. `null` when not provided.
`bid_volume_x`	The volume of bids placed within 0 and x% of the best bid. This is what we call "Market Depth"
`ask_volume_x`	The volume of asks placed within 0 and x% of the best ask. This is what we call "Market Depth"
`spread`	The difference between the best bid and the best ask at the time the snapshot was taken. This is what we call "Bid Ask Spread"
`mid_price`	The mid price between the best bid and the best ask.
`ask_slippage`	The percentage price slippage for a market buy order placed at the time that the order book snapshot was taken.
`bid_slippage`	The percentage price slippage for a market sell order placed at the time that the order book snapshot was taken.
`asks`	The sell orders in the snapshot. If the `limit_oders` parameter is used, this will be reflected here. `amount` is the quantity of asset to sell, displayed in the base currency. `price` is displayed in the quote currency.
`bids`	The buy orders in the snapshot. If the `limit_oders` parameter is used, this will be reflected here. `amount` is the quantity of asset to buy, displayed in the base currency. `price` is displayed in the quote currency.

poll_timestamp

The timestamp at which the raw data snapshot was taken.

poll_date

The date at which the raw data snapshot was taken.

timestamp

The timestamp provided by the exchange. null when not provided.

bid_volume_x

The volume of bids placed within 0 and x% of the best bid. This is what we call "Market Depth"

ask_volume_x

The volume of asks placed within 0 and x% of the best ask. This is what we call "Market Depth"

spread

The difference between the best bid and the best ask at the time the snapshot was taken. This is what we call "Bid Ask Spread"

mid_price

The mid price between the best bid and the best ask.

ask_slippage

The percentage price slippage for a market buy order placed at the time that the order book snapshot was taken.

bid_slippage

The percentage price slippage for a market sell order placed at the time that the order book snapshot was taken.

asks

The sell orders in the snapshot. If the limit_oders parameter is used, this will be reflected here. amount is the quantity of asset to sell, displayed in the base currency. price is displayed in the quote currency.

bids

The buy orders in the snapshot. If the limit_oders parameter is used, this will be reflected here. amount is the quantity of asset to buy, displayed in the base currency. price is displayed in the quote currency.

Request example

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/snapshots/full?slippage=100000&page_size=10&limit_orders=2&slippage_ref=best'

import http.client
import json

# Enter your Kaiko API Key
api_key = "KAIK0_API_KEY"
api_host = "us.market-api.kaiko.io"
api_base_endpoint = "/v2/data/order_book_snapshots.v1/exchanges/{exchange}/{instrument_class}/{instrument}/snapshots/full"

# Start of mandatory parameter configuration
exchange = "krkn"
instrument_class = "spot"
instrument = "btc-usd"
# End of mandatory parameter configuration

# Start of optional parameter configuration
optional_params = {
    "slippage": "100000",
    "limit_orders": "2",
    "slippage_ref": "best",

}
# End of optional parameter configuration

conn = http.client.HTTPSConnection(api_host)
headers = {
    "X-Api-Key": api_key,
    "Accept": "application/json"
}

api_endpoint = api_base_endpoint.format(exchange=exchange, instrument_class=instrument_class, instrument=instrument)

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

# Initial request
endpoint_with_params = f"{api_endpoint}?{url_params}"

# Pagination for next pages
all_trades = []
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_trades.extend(data.get("data", []))
    print(f"Fetched {len(data.get('data', []))} datapoints. Total: {len(all_trades)}")
    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_trades)}")

Response example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "slippage": 100000,
        "limit_orders": 2,
        "slippage_ref": "best",
        "sort": "desc",
        "metric": "full",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:10:06.320Z"
    },
    "time": "2020-05-26T14:10:06.418Z",
    "timestamp": 1590502206418,
    "data": [
        {
            "poll_timestamp": 1590502155757,
            "poll_date": "2020-05-26T14:09:15.757Z",
            "timestamp": null,
            "bid_volume0_1": "46.595",
            "bid_volume0_2": "110.570",
            "bid_volume0_3": "167.920",
            "bid_volume0_4": "198.416",
            "bid_volume0_5": "243.554",
            "bid_volume0_6": "346.467",
            "bid_volume0_7": "354.090",
            "bid_volume0_8": "359.058",
            "bid_volume0_9": "381.422",
            "bid_volume1": "384.066",
            "bid_volume1_5": "467.014",
            "bid_volume2": "522.441",
            "bid_volume4": "918.911",
            "bid_volume6": "1187.306",
            "bid_volume8": "1187.306",
            "bid_volume10": "1187.306",
            "ask_volume0_1": "13.158",
            "ask_volume0_2": "40.072",
            "ask_volume0_3": "71.129",
            "ask_volume0_4": "179.463",
            "ask_volume0_5": "259.140",
            "ask_volume0_6": "266.315",
            "ask_volume0_7": "324.288",
            "ask_volume0_8": "353.024",
            "ask_volume0_9": "376.738",
            "ask_volume1": "405.965",
            "ask_volume1_5": "467.665",
            "ask_volume2": "506.326",
            "ask_volume4": "862.843",
            "ask_volume6": "1322.553",
            "ask_volume8": "1428.856",
            "ask_volume10": "1428.856",
            "spread": "0.1",
            "mid_price": "8819.95",
            "ask_slippage": "0.0002782477139043083900226757369614512",
            "bid_slippage": "0.0",
            "asks": [
                {
                    "amount": "5.914",
                    "price": "8820"
                },
                {
                    "amount": "0.08",
                    "price": "8821"
                }
            ],
            "bids": [
                {
                    "amount": "11.814",
                    "price": "8819.9"
                },
                {
                    "amount": "4.197",
                    "price": "8819.8"
                }
            ]
        },
      /* ... */
],
    "result": "success",
    "continuation_token": "Ehad6pjoEpvpZSkvbtsyx8WxTj9vgc4s5VSow1USG8pXP1UGFSxSF7fTacxA54rYoqebnMTdCpE3ZxB3nSTM5CYNModkKRASDWMHymPFHNXnGL73RdkHSVUv6UYa4YwrRinH7JbwRqbB5HwmZdxWaonnaVkeZZc1wZiuK2oR4ePQdotGEnvKY8spPjYwnX8s3D6w1bCqZqL6ENaNH5Pa6b53MdbmyQBjE8F",
    "next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/snapshots/full?continuation_token=Ehad6pjoEpvpZSkvbtsyx8WxTjvgc4s5VSow1USG8pXP1UGFSxSF7fTacxA54rYoqebnMTdCpE3ZxB3nSTM5CYNModkKRASDWMHymPFHNXnGL73RdkHSVUv6UYa4YwrRinH7JbwRqbB5HwmZdxWaonnaVkeZZc1wZiuK2oR4ePQdotGEnvKY8spPjYwnX8s3D6w1bCqZqL6ENaNH5Pa6b53MdbmyQBjE8F",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

PreviousBids and Asks NextMarket Depth

Last updated 7 days ago