Derivatives Metrics

Derivatives Risk Endpoint

What is this endpoint for?

This endpoint can be used to analyze risk and price related to derivatives, such as open interest, funding rates, and mark price.

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	Can be either SDICK_RISK or SDICK_PRICE. If not specified in the parameters, both risk and price will be delivered.	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

Field	Description	Example
Value	The value for the commodity (price, 24 hour volume etc) received in the message.	59583.2
commodityKind	Explains whether the received message contains data on risk or price.	SDICK_RISK or SDICK_PRICE
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: 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)	5270648
commodity: open_interest	The total oustanding number of contracts (units in which open interest metrics are quoted vary by exchange)	1127623
commodity: funding_rate	perpetual-future only. The current funding rate.	-0.0000756735759807
commodity: predicted_funding_rate	perpetual-future only. The predicted funding rate for the next period.	-0.0000845044644161
commodity: time_to_expiry	future & option only. The number of minutes remaining before expiry.	41504
commodity: nearby	future & option only. The soonest expiring contract with the same base & quote asset on the specified exchange	boolean value
commodity: quarterly_nearby	future & option only. The soonest expiring quarterly contract with the same base & quote asset on the specified exchange	boolean value
commodity: ask_iv	option only. Implied volatility for the best ask.	57.5
commodity: bid_iv	option only. Implied volatility for the best bid.	65.4
commodity: mark_iv	option only. The implied volatility for the mark price.	69.42
commodity: delta	option only. The delta value for the option.	0.8841
commodity: gamma	option only. The gamma value for the option.	0.00003
commodity: rho	option only. The rho value for the option.	21.26122
commodity: theta	option only. The theta value for the option.	-26.18193
commodity: vega	option only. The vega value for the option.	2.36321
commodity: index_price	The price of the underlying index, often as a weighted average across multiple exchanges' spot prices	39713.3
commodity: mark_price	The mark price of the contract. It is used for calculating profit and loss (PnL) and liquidation price. Designed to be fair and avoid price manipulation.	39745.9
price	Most recent traded price of derivative contract	39767

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": "59583.2",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "bid",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.206163940Z"
}
Received message {
  "value": "59583.2",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.206955912Z"
}
Received message {
  "value": "11535825.5",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "24h_volume",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.207546652Z"
}
Received message {
  "value": "790.1",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "bid_amount",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.208695629Z"
}
Received message {
  "value": "897",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "ask_amount",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.210232016Z"
}
Received message {
  "value": "59583.3",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "ask",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.212439076Z"
}
Received message {
  "value": "59583.1",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "mark_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.185367876Z",
  "tsEvent": "2024-08-30T10:19:39.375230934Z"
}
Received message {
  "value": "59668.3",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "index_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.025248460Z",
  "tsEvent": "2024-08-30T10:19:39.399709655Z"
}
Received message {
  "value": "2271074.10000000232",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "open_interest",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.159174620Z",
  "tsEvent": "2024-08-30T10:19:39.412327615Z"
}
Received message {
  "value": "59642.8",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "index_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.183331628Z",
  "tsEvent": "2024-08-30T10:19:39.417789878Z"
}
Received message {
  "value": "59589.8",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "index_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.315614613Z",
  "tsEvent": "2024-08-30T10:19:39.453857128Z"
}
Received message {
  "value": "-0.0000001014222837",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "funding_rate",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.619825764Z",
  "tsEvent": "2024-08-30T10:19:39.571097601Z"
}
Received message {
  "value": "59616.3",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "index_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:48.040708744Z",
  "tsEvent": "2024-08-30T10:19:49.149310575Z"
}
Received message {
  "value": "792.1",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "ask_amount",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.192451006Z"
}
Received message {
  "value": "59604",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "ask",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.192734011Z"
}
Received message {
  "value": "59603.9",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.193612798Z"
}
Received message {
  "value": "11536472.4",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "24h_volume",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.193960504Z"
}
Received message {
  "value": "385.6",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "bid_amount",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.194482596Z"
}
Received message {
  "value": "59603.9",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "bid",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.195021257Z"
}
Received message {
  "value": "-0.0000001014222837",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "funding_rate",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.053370002Z",
  "tsEvent": "2024-08-30T10:19:49.230789712Z"
}