Bids and asks

What is this endpoint for?

All bids and asks on an exchange's order books. Use Kaiko Stream for real-time tick-level updates, or Rest API for snapshots at 30-second intervals. When you connect, you first receive a snapshot of the current order book, followed by continuous real-time updates for every change ("delta") that takes place.

When you subscribe, you'll initially receive a full snapshot within a few seconds, followed by all subsequent tick-level updates. If you receive another full snapshot, replace your local snapshot with the new one. This should happen infrequently and only occurs if we detect a consistency issue, such as a lost connection to the exchange or the exchange being down for some time.

If you receive an update with an amount of 0, you should remove the corresponding price level from your local order book. You'll occasionally receive a 0 message for a price level that doesn't exist in your local order book - this can be safely ignored and is due to various exchange limitations.

The order book should not be considered valid until all updates with the same tsExchange have been applied to your local order book, meaning all potential messages from the same update batch have been processed.

Endpoints

gRPC

gateway-v0-grpc.kaiko.ovh

http

gateway-v0-http.kaiko.ovh

API (testing)

https://gateway-v0-http.kaiko.ovh/api/stream/orderbookl2_v1
https://gateway-v0-http.kaiko.ovh/api/stream/orderbookl2_replay_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) . 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 spot algo-btc

Configuring a wildcard

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

For example, the configuration below would deliver trades for BTC/USD across all exchanges where it’s supported:

exchange: * class: spot instrument: btc-usd

Fields

Field	Description
class	Instrument class, empty when not mapped.
code	Instrument code, empty when not mapped.
exchange	Instrument exchange code.
sequenceId	Sequence ID for event. Sortable in lexicographic order.
updateType	SNAPSHOT - A new Snapshot of the order book UPDATED- A new batch of bids & asks since the snapshot
asks	Represents sell orders amount: the quantity of the base asset available for sale price: the price per unit of the base that the seller is willing to accept in the quote asset, represented as a scientific notation Example: algo-btc base asset = algo quote asset = btc amount : 42656.0 price: 1.97e-06 The asker has 42656.0 Algo available For each unit of Algo, the buyer is willing to accept 1.97e-06 BTC, equal to 0.00000197 when converted to a decimal number
bids	Represents buy orders. amount: the quantity of the base asset the buyer is willing to purchase price: the price per unit of the base that the buyer is willing to pay in the quote asset, represented as a scientific notation Example: algo-btc base asset = algo quote asset = btc amount : 80569.0 price: 1.96e-06 The buyer will purchase up to 80569.0 Algo For each unit of Algo, the buyer is willing to pay 1.96e-06 BTC, equal to 0.00000196 when converted to a decimal number
tsExchange	The timestamp provided by the exchange for the data.
tsCollection	The timestamp for when Kaiko received the data from the exchange.
tsEvent	The timestamp the data became available in the Kaiko system.

Request examples

Python

# This is a code example. Configure your parameters below #

from __future__ import print_function
from datetime import datetime, timedelta
import logging
import os

import grpc
from google.protobuf.timestamp_pb2 import Timestamp
from google.protobuf.json_format import MessageToJson


from kaikosdk import sdk_pb2_grpc
from kaikosdk.core import instrument_criteria_pb2
from kaikosdk.stream.orderbookl2_v1 import request_pb2 as pb_orderbookl2


def orderbookl2_v1_request(channel: grpc.Channel):
    try:
        with channel:
            stub = sdk_pb2_grpc.StreamOrderbookL2ServiceV1Stub(channel)

            responses = stub.Subscribe(
                pb_orderbookl2.StreamOrderBookL2RequestV1(
                    instrument_criteria=instrument_criteria_pb2.InstrumentCriteria(
                        exchange="cbse", instrument_class="spot", code="*"
                    ),
                )
            )

            for response in responses:
                # for debug purpose only, don't use MessageToJson in the reading loop in production
                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)
    orderbookl2_v1_request(channel)


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

Python (Replay)

# This is a code example. Configure your parameters below #

from __future__ import print_function
from datetime import datetime, timedelta, timezone
import logging
import os

import grpc
from google.protobuf.timestamp_pb2 import Timestamp
from google.protobuf.json_format import MessageToJson

from kaikosdk import sdk_pb2_grpc
from kaikosdk.core import instrument_criteria_pb2
from kaikosdk.stream.orderbookl2_v1 import request_pb2 as pb_orderbookl2


def orderbookl2replay_v1_request(channel: grpc.Channel):
    try:
        with channel:
            # start of date configuration #
            start = Timestamp()
            start.FromDatetime(datetime.now(timezone.utc) - timedelta(days=2))
            end = Timestamp()
            end.FromDatetime(datetime.now(timezone.utc) - timedelta(days=1))
            # end of date configuration #
            stub = sdk_pb2_grpc.StreamOrderbookL2ReplayServiceV1Stub(channel)

            responses = stub.Subscribe(
                pb_orderbookl2.StreamOrderBookL2ReplayRequestV1(
                    instrument_criteria=instrument_criteria_pb2.InstrumentCriteria(
                        exchange="cbse", instrument_class="spot", code="*"
                    ),
                    interval={"start_time": start, "end_time": end},
                )
            )

            for response in responses:
                # for debug purpose only, don't use MessageToJson in the reading loop in production
                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)
    orderbookl2replay_v1_request(channel)


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

cURL

cURL requests are intended for testing purposes only.

#Live

curl -X POST "https://gateway-v0-http.kaiko.ovh/api/stream/orderbookl2_v1" -H "accept: application/json" -H "X-Api-Key: $KAIKO_API_KEY" -H "Content-Type: application/json" -d "{ \"instrumentCriteria\": { \"exchange\": \"cbse\", \"instrumentClass\": \"spot\", \"code\": \"algo-btc\"}}"


#Replay/Historical Data

curl -X POST "https://gateway-v0-http.kaiko.ovh/api/stream/orderbookl2_replay_v1" -H "accept: application/json" -H "X-Api-Key: $KAIKO_API_KEY" -H "Content-Type: application/json" -d "{ \"instrumentCriteria\": {  \"exchange\": \"cbse\",  \"instrumentClass\": \"spot\",  \"code\": \"algo-btc\" }, \"interval\": { \"startTime\": \"2025-01-14T12:00:00.000Z\", \"endTime\": \"2025-01-14T18:00:00.000Z\" }}"

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

Received message {"class":"spot",
"code":"bch-eur",
"exchange":"cbse",
"sequenceId":"cu2o2sokocas72q8rkq0",
"updateType":"SNAPSHOT",
"asks":[
  {
    "amount":0.02778327,
    "price":414.07
  },
  {
    "amount":0.4,
    "price":414.08
  }
],
"bids":[
  {
    "amount":0.4,
    "price":413.93
  },
  {
    "amount":0.0277962,
    "price":413.85
  } ],
"tsExchange":{
  "value":"2025-01-13T21:11:15.064Z"
},
"tsCollection":{
  "value":"2025-01-13T21:11:15.064284559Z"
},
"tsEvent":"2025-01-13T21:11:15.260258142Z",
"additionalProperties":{}
}

Received message {"class":"spot",
"code":"bch-eur",
"exchange":"cbse",
"sequenceId":"cu2o2sokocas72q8rla0",
"updateType":"UPDATE",
"asks":[
  {
    "amount":4,
    "price":414.42
  }
  ],
"bids":[],
"tsExchange":{
  "value":"2025-01-13T21:11:15.016291Z"
},
"tsCollection":{
  "value":"2025-01-13T21:11:15.086529551Z"
},
"tsEvent":"2025-01-13T21:11:15.277722255Z",
"additionalProperties":{}
}

Received message {"class":"spot",
"code":"bch-eur",
"exchange":"cbse",
"sequenceId":"cu2o2sokocas72q8t9q0",
"updateType":"UPDATE",
"asks":[],
"bids":[
  {
    "amount":0,
    "price":413.85
  },
  {
    "amount":0.02779016,
    "price":413.94
  }
  ],
"tsExchange":{
  "value":"2025-01-13T21:11:15.235251Z"
  },
"tsCollection":{
  "value":"2025-01-13T21:11:15.248921649Z"
  },
"tsEvent":"2025-01-13T21:11:15.635226002Z",
"additionalProperties":{}
}