Exchange-provided metrics

Available in the "basic" pack of Derivatives Risk Indicators.

What is this endpoint for?

This endpoint is part of Derivatives Risk Indicators. It can be used to get risk information such as greeks and IV in real-time.

Endpoints

gRPC

gateway-v0-grpc.kaiko.ovh

http

gateway-v0-http.kaiko.ovh

API (testing)

https://gateway-v0-http.kaiko.ovh/api/stream/derivatives_instrument_metrics_v1

Parameters

Parameter	Description	Examples
instrumentCriteria	A nested object to configure following properties for your stream: exchange (String) - The code(s) for the exchange(s) instrument_class (String) - The class(es) of the instrument(s) . The instrument must be a derivative class. code (String) - The Kaiko code for the instrument. Explore instruments, codes and exchanges in the Instrument Explorer or by using the Reference API endpoint.	cbse option algo-btc
commodities	AlwaysSDICK_RISK	SDICK_RISK

Configuring a wildcard

A wildcard allows you to request all information we have on a specific instrument or exchange in the same stream. Use a * in place of the relevant exchange or class parameter.

For example, the configuration below would deliver all perpetual future contracts on OkEX. exchange: okex class: perpetual-future instrument: *

Fields: Perpetual Future

Field	Description	Example
Value	The value for the commodity in the received message. eg: 24h_volume or price	59583.2
legacySymbol	Exchange assigned instrument identifier	BTCUSDC_PERP
exchange	Supported Exchanges	binc
commodityKind	Always SDICK_RISK	SDICK_RISK
tsCollection	The timestamp for when Kaiko received the trade from the exchange.	2024-08-30T10:19:38.044166107Z
tsEvent	The timestamp for the interval.	2024-08-30T10:19:39.206955912Z
commodity:funding rate	The current funding rate.	-0.0000756735759807
comodity: predicted_funding_rate	The predicted funding rate for the next period.	-0.0000845044644161
commodity: ask	The best ask price from the order book at the time of funding rate calculation.	101937.0
commodity: ask_amount	The size of the best ask order from the order book at the time of funding rate calculation.	0.552
commodity: bid	The best bid price from the order book at the time of the funding rate calculation.	101936.0
commodity: bid_amount	The size of the best bid order from the order book at the time of funding rate calculation.	0.396
commodity: 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)	140.235
commodity: open_interest	The total outstanding number of contracts (units in which open interest metrics are quoted vary by exchange)	144.817

Fields: Future

Field	Description	Example
Value	The value for the commodity in the received message. eg: 24h_volume or price	59583.2
commodityKind	Always SDICK_RISK	SDICK_RISK
tsCollection	The timestamp for when Kaiko received the trade from the exchange.	2024-08-30T10:19:38.044166107Z
tsEvent	The timestamp for the interval.	2024-08-30T10:19:39.206955912Z
commodity: time_to_expiry	The number of minutes remaining before expiry.	41504
commodity: nearby	The soonest expiring contract with the same base & quote asset on the specified exchange	boolean value
commodity: quarterly_nearby	The soonest expiring quarterly contract with the same base & quote asset on the specified exchange	boolean value
commodity: expiry	Expiration date of the contract	1737072000000000000
commodity: 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)	2047.3
commodity: open_interest	The total outstanding number of contracts (units in which open interest metrics are quoted vary by exchange)	6813.4
commodity: ask	The price level of the best ask order from the order book at the time of message receipt.	97890.1
commodity: ask_amount	The size of the best ask order from the order book at the time of the message.	0.552
commodity: bid	The price level of the best bid order from the order book at the time of message receipt.	97878.4
commodity: bid_amount	The size of the best bid order from the order book at the time of the message.	0.396

Fields: Option

Field	Description	Example
Value	The value for the commodity (price, 24 hour volume etc) received in the message.	59583.2
commodityKind	Always SDICK_RISK	SDICK_RISK
tsCollection	The timestamp for when Kaiko received the trade from the exchange.	2024-08-30T10:19:38.044166107Z
tsEvent	The timestamp for the interval.	2024-08-30T10:19:39.206955912Z
commodity: time_to_expiry	The number of minutes remaining before expiry.	41504
commodity: nearby	The soonest expiring contract with the same base & quote asset on the specified exchange	boolean value
commodity: quarterly_nearby	The soonest expiring quarterly contract with the same base & quote asset on the specified exchange	boolean value
commodity: ask_iv	Implied volatility for the best ask.	0.8166587
commodity: bid_iv	Implied volatility for the best bid.	0.6817713
commodity: mark_iv	The implied volatility for the mark price.	0.7418202
commodity: delta	The delta value for the option.	-1.6532715362206545
commodity: gamma	The gamma value for the option.	3.7235607858486044
commodity: rho	The rho value for the option.	16.74149
commodity: theta	The theta value for the option.	0.0002888
commodity: vega	The vega value for the option.	0.0006550
commodity: strike_price	The strike price of the contract in USD	90000
commodity: underlying_index	Name of the underlying index	BTC-31JAN25
commodity: kind	Put or Call	C
commodity: expiry	Expiry	1738281600000000000

Request examples

Python

# This is a code example. Configure your parameters in the parameter configuration section #

from __future__ import print_function
import logging
import os

import grpc
from google.protobuf.json_format import MessageToJson
from google.protobuf import duration_pb2

from kaikosdk import sdk_pb2_grpc
from kaikosdk.core import instrument_criteria_pb2, assets_pb2
from kaikosdk.stream.aggregates_ohlcv_v1 import request_pb2 as pb_ohlcv
from kaikosdk.stream.aggregates_vwap_v1 import request_pb2 as pb_vwap
from kaikosdk.stream.market_update_v1 import request_pb2 as pb_market_update
from kaikosdk.stream.market_update_v1 import commodity_pb2 as pb_commodity
from kaikosdk.stream.trades_v1 import request_pb2 as pb_trades
from kaikosdk.stream.index_v1 import request_pb2 as pb_index
from kaikosdk.stream.index_multi_assets_v1 import request_pb2 as pb_index_multi_assets
from kaikosdk.stream.index_forex_rate_v1 import request_pb2 as pb_index_forex_rate
from kaikosdk.stream.aggregated_quote_v2 import request_pb2 as pb_aggregated_quote
from kaikosdk.stream.aggregates_spot_exchange_rate_v2 import request_pb2 as pb_spot_exchange_rate
from kaikosdk.stream.aggregates_direct_exchange_rate_v2 import request_pb2 as pb_direct_exchange_rate
from kaikosdk.stream.derivatives_instrument_metrics_v1 import request_pb2 as pb_derivatives_instrument_metrics
from kaikosdk.stream.iv_svi_parameters_v1 import request_pb2 as pb_iv_svi_parameters



def derivatives_instrument_metrics_request(channel: grpc.Channel):
    try:
        with channel:
            stub = sdk_pb2_grpc.StreamDerivativesInstrumentMetricsServiceV1Stub(channel)

            responses = stub.Subscribe(pb_derivatives_instrument_metrics.StreamDerivativesInstrumentMetricsRequestV1(
                instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
                # Start of parameter configuration #
                    exchange = "okex",
                    instrument_class = "perpetual-future",
                    code = "btc-usdt"
                ),
                commodities = [
                "SDICK_RISK"
            ]
            ))
                # End of parameter configuration #
            for response in responses:
                print("Received message %s" % (MessageToJson(response, including_default_value_fields = True)))
    except grpc.RpcError as e:
        print(e.details(), e.code())


def run():
    credentials = grpc.ssl_channel_credentials(root_certificates=None)
    call_credentials = grpc.access_token_call_credentials(os.environ['KAIKO_API_KEY'])
    composite_credentials = grpc.composite_channel_credentials(credentials, call_credentials)
    channel = grpc.secure_channel('gateway-v0-grpc.kaiko.ovh', composite_credentials)

    derivatives_instrument_metrics_request(channel)

if __name__ == '__main__':
    logging.basicConfig()
    run()

cURL

cURL requests are intended for testing purposes only.

curl -X POST "https://gateway-v0-http.kaiko.ovh/api/stream/derivatives_instrument_metrics_v1" \
-H "accept: application/json" \
-H "X-Api-Key: $kaiko_api_key" \
-H "Content-Type: application/json" \
-d "{ \"instrumentCriteria\": {  \"exchange\": \"okex\",  \"instrumentClass\": \"perpetual-future\",  \"code\": \"btc-usdt\" }}"

BigQuery

Information from this endpoint can be accessed through Google BigQuery. To get started, read our guide.

Other examples

For more advanced users, you can access our full SDK here, where you'll find more coding languages, examples, and guidance.

Response Example

{
  "value": "-0.0000345359072087",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "funding_rate",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-12-18T13:15:43.861660474Z",
  "tsEvent": "2024-12-18T13:15:45.456011570Z"
}