Value at risk calculation

What is this endpoint for?

Thuis endpoints helps you calculate value at risk. Computed by a proprietary and thoroughly backtested methodology that accounts for the idiosyncrasies of crypto market structure. By convention it's a forecasting VaR, i.e. the prediction of the potential loss for the next day.

Endpoint

https://us.market-api.kaiko.io/v2/data/analytics.v2/value_at_risk

Parameters

Parameter	Required	Description
bases	Yes	List of portfolio base components. See Asset codes Total must match quantities below. The order of bases and their respective quantities must match in the request.
quote	Yes	The fiat currency. Asset codes
quantities	Yes	Quantities list of base asset in the portfolio. Must match the number of bases. The order of quantities and their respective bases must match in the request.
risk_level	Yes	The Value at Risk confidence level. Min: 0.90 (included) Max: 1 (excluded)
start_time	Yes	First fixing of the calculation in ISO 8601 (inclusive).
end_time	Yes	Last fixing of the calculation in ISO 8601 (inclusive).
sources	No	boolean. If true, returns all pair prices which were used to compute the Value at Risk. Default: false

Fields

Parameter	Description
var_time	The time at which the VaR is computed.
value_at_risk	Composed of two fields: value and risk_level (the Value at Risk estimator at the specified risk_level.)
additional_vars	List of additional VaRs for standard risk levels.
pair	The constituent pair. (showing only when sources is set to be true)
ref_price	The reference price per asset. (showing only when sources is set to be true)
date	The date of the reference price. (showing only when sources is set to be true)

Request examples

cURL

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/analytics.v2/value_at_risk?bases=eth,btc,ltc&quantities=3,2,5&quote=usd&risk_level=0.95&start_time=2021-12-01T00:00:00.000Z&end_time=2022-01-31T00:00:00.000Z&sources=true'

Python

##### 1. Import dependencies #####
import requests
import pandas as pd

##### 2. Choose the value of the query's parameters #####
# ---- Required parameters ---- #
bases = "btc,eth"
quote = "usd"
quantities = "1,10"
risk_level = "0.95"
start_time = "2021-12-01T00:00:00.000Z"
end_time = "2022-01-31T00:00:00.000Z"

# ---- Optional parameters ---- #
sources = None

# ---- API key configuration ---- #
api_key = "YOUR_API_KEY"

##### 3. Get the data #####
# ---- Function to run an API call ---- # 
# Get the data in a dataframe --------- # 

def get_kaiko_data(api_key: str, bases: str, quote: str, quantities: str, risk_level: str, start_time: str, end_time: str, sources: bool = None):
    headers = {'Accept': 'application/json', 'X-Api-Key': api_key}
    
    url = f'https://us.market-api.kaiko.io/v2/data/analytics.v2/value_at_risk'
    params = {
        "bases": bases,
        "quote": quote,
        "quantities": quantities,
        "risk_level": risk_level,
        "start_time": start_time,
        "end_time": end_time,
        "sources": sources
    }

    try:
        res = requests.get(url, headers=headers, params=params)
        res.raise_for_status() 
        data = res.json()
        if 'data' not in data:
            print("No data returned.")
            return pd.DataFrame() 
        df = pd.DataFrame(data['data'])

        # Handle pagination with continuation token
        while 'next_url' in data:
            next_url = data['next_url']
            if next_url is None:
                break
            res = requests.get(next_url, headers=headers)
            res.raise_for_status()
            data = res.json()
            if 'data' in data:
                df = pd.concat([df, pd.DataFrame(data['data'])], ignore_index=True)
        return df

    except requests.exceptions.RequestException as e:
        print(f"API request error: {e}")
        return pd.DataFrame() 

# ---- Get the data ---- #
df = get_kaiko_data(api_key=api_key, bases=bases, quote=quote, quantities=quantities, risk_level=risk_level, start_time=start_time, end_time=end_time, sources=sources)
print (df)

Response example

{"query": {
        "bases": "eth,btc,ltc",
        "quote": "usd",
        "quantities": "3,2,5",
        "risk_level": "0.95",
        "sources": true,
        "data_version": "v2",
        "commodity": "analytics",
        "request_time": "2024-12-02T14:57:10.523Z"
    },
    "time": "2024-12-02T14:57:11.037Z",
    "timestamp": 1733151431037,
    "data": [
        {
            "var_time": 1638316800000,
            "value_at_risk": {
                "value": 7348.431318368653,
                "risk_level": 0.95
            },
            "additional_vars": [
                {
                    "value": 6283.239075888689,
                    "risk_level": 0.9
                },
                {
                    "value": 7348.431318368653,
                    "risk_level": 0.95
                },
                {
                    "value": 10285.468412415725,
                    "risk_level": 0.975
                },
                {
                    "value": 10711.839781569755,
                    "risk_level": 0.99
                }
            ]
        },
        {
            "var_time": 1638403200000,
            "value_at_risk": {
                "value": 7300.740323399054,
                "risk_level": 0.95
            },
            "additional_vars": [
                {
                    "value": 6243.422441930624,
                    "risk_level": 0.9
                },
                /*...*/ 
            ]
        },,
    /*...*/ 
    ]
 "sources": {
        "prices": [
            {
                "pair": "eth-usd",
                "prices": [
                    {
                        "ref_price": 611.8140773650796,
                        "date": {
                            "seconds": 1606780800
                        }
                    },
                    /*...*/ 
                ]
            },
            {
                "pair": "btc-usd",
                "prices": [
                    {
                        "ref_price": 19588.910928118505,
                        "date": {
                            "seconds": 1606780800
                        }
                    },
                    /*...*/ 
                ]
            },
            /*...*/ 
        ]
    }
  "quantities": [3, 2, 5],
  "start_date": {"seconds": 1638403200},
  "end_date": {"seconds": 1643673600},
  "risk_level": 0.95,
  "additional_risk_levels": [0.9, 0.95, 0.975, 0.99],
  "decay": 30,
  "bases": ["eth", "btc", "ltc"]}