Cross Prices calculates a synthetic price when there is no liquidity (historic trades) between two assets (fiat or digital). The methodology is developed with global tax and accounting standards in mind. Additionally, our robust price aggregation method reduces the impact of outliers in terms of volume and price, meaning you can trust the price returned.
The calculation works as follows:
Retrieve last available optimal liquidity path
Listen to trades for all intermediary pairs from all covered exchanges where the instrument is actively traded
Compute RWM price for each intermediary pair
Compute the product of intermediary pairs based on liquidity path
The calculation considers all instruments traded across all exchanges covered by Kaiko.
The window on which you would like your Cross Price to be calculated.
Available windows: 1s, 5s, 15s, 30s, 1m, 5m
15s
update_frequency
How regularly you would like to receive your pricing updates.
Available frequencies: 1s, 5s, 10s, 30s, and 1m
1s
assets
A nested object to configure following properties for your stream:
base - the base asset you'd like your price to be based on
quote - the asset you'd like the price to be quoted in
btceur
extrapolate_missing_values
This parameter is set to false by default. Setting it to true means that if there is no trade price available from the calculation window you configured, the last available price (from outside the window) will be used.
false
Exchanges that send their trades late may not be captured in the given sliding window.
Fields
Field
Description
assets
The base and quote assets as configured above.
price
The calculated Cross Price.
timestamp
The time the Cross Price was calculated.
window
A nested object containing the following fields:
startTime - The start of the calculation window for this Cross Price
endTime - The end of the calculation window for this Cross Price
Duration - The window as configured above
noTrade
If false a price was able to be calculated within the window provided. If true the extrapolate_missing_values parameter was needed to calculate a price.