VWAP
What is this endpoint for?
This endpoint delivers VWAP (volume-weighted average price) for an instrument on an exchange in real-time.
Parameters
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 itâs supported:
exchange: *
class: spot
instrument: btc-usd
Fields
Request examples
Make sure to read our Python quick-start guide before starting.
# 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
def vwap_request(channel: grpc.Channel):
try:
with channel:
stub = sdk_pb2_grpc.StreamAggregatesVWAPServiceV1Stub(channel)
responses = stub.Subscribe(pb_vwap.StreamAggregatesVWAPRequestV1(
# start of parameter configuration #
aggregate='1m',
instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
exchange = "binc",
instrument_class = "spot",
code = "eth-usdt"
)
))
# end of parameter configuration #
for response in responses:
print("Received message %s" % (MessageToJson(response, including_default_value_fields = True)))
# print("Received message %s" % list(map(lambda o: o.string_value, response.data.values)))
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)
vwap_request(channel)
if __name__ == '__main__':
logging.basicConfig()
run()
This example demonstrates how to request historical data using replay. The maximum amount of data you can request for one replay cannot exceed a total of 24 hours in hours
, seconds
, and minutes
.
Replay data is available on a 72-hour rolling basis and should only be used to retrieve missed data. If full history is required, please use Rest API or CSV deployment methods.
# This is a code example. Configure your parameters and dates in each section #
from __future__ import print_function
import logging
import grpc
import os
from google.protobuf.json_format import MessageToJson
from google.protobuf.timestamp_pb2 import Timestamp
import grpc
from google.protobuf.json_format import MessageToJson
from google.protobuf.timestamp_pb2 import Timestamp
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
def vwap_request(channel: grpc.Channel):
try:
# start of date configuration #
start = Timestamp()
start.FromJsonString('2024-09-25T05:00:00Z')
end = Timestamp()
end.FromJsonString('2024-09-26T06:00:00Z')
# end of date configuration #
stub = sdk_pb2_grpc.StreamMarketUpdateServiceV1Stub(channel)
responses = stub.Subscribe(pb_market_update.StreamMarketUpdateRequestV1(
instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
# start of parameter configuration #
exchange = "binc",
instrument_class = "spot",
code = "eth-usdt"),
# end of parameter configuration #
interval={
'start_time': start,
'end_time' : end
}
))
for response in responses:
print("Received message %s" % (MessageToJson(response, including_default_value_fields = True)))
# print("Received message %s" % list(map(lambda o: o.string_value, response.data.values)))
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)
res = vwap_request(channel)
print("Response: %s" % res)
channel.close()
if __name__ == '__main__':
logging.basicConfig()
run()
cURL requests are intended for testing purposes only.
curl -X POST "https://gateway-v0-http.kaiko.ovh/api/stream/aggregates_vwap_v1" -H "accept: application/json" -H "X-Api-Key: $KAIKO_API_KEY" -H "Content-Type: application/json" -d "{ \"instrumentCriteria\": { \"exchange\": \"binc\", \"instrumentClass\": \"spot\", \"code\": \"eth-usdt\" }, \"aggregate\": \"1m\"}"
Information from this endpoint can be accessed through Google BigQuery. To get started, read our guide.
For more advanced users, you can access our full SDK here, where you'll find more coding languages, examples and guidance.
Response Example
"aggregate": "1s",
"class": "spot",
"code": "eth-usdt",
"exchange": "binc",
"price": 2591.3221372276307,
"tsEvent": "2024-08-09T13:47:20.689338450Z",
"uid": "2024-08-09T13:47:19Z",
"sequenceId": ""
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