VWAP only

This data is included in the following Kaiko packages

• Level 1 & Level 2 Data [Level 1 Aggregations Tier]
• Level 1 & Level 2 Data [Level 1 Tick-Level Tier]
• Level 1 & Level 2 Data [Level 2 Aggregations Tier]
• Level 1 & Level 2 Data [Level 2 Tick-Level Tier]

CeFi spot ticker packs.

What is this endpoint for?

This endpoint retrieves aggregated VWAP (volume-weighted average price) history for an instrument on an exchange.

You can use this same endpoint to get data for all market types. Kaiko subscriptions are sold per market type.

Endpoint

https://<eu|us>.market-api.kaiko.io/v2/data/trades.v2/exchanges/{exchange}/spot/{instrument}/aggregations/vwap

Path Parameters

Parameter	Required?	Description
region	Yes	Choose between eu and us.
exchange	Yes	Exchange code. See
instrument_class	Yes	Instrument class. See
instrument	Yes	Instrument code. See

Query Parameters

Parameter	Required	Description
continuation_token	No	See Pagination
end_time	No	Ending time in ISO 8601 (exclusive). Automatically included in continuation tokens.
interval	No	The interval parameter is suffixed with s, m, h or d to specify seconds, minutes, hours or days, respectively. Any arbitrary value between one second and one day can be used, as long as it sums up to a maximum of 1 day. The suffixes are s (second), m (minute), h (hour) and d (day). Default 1d.
page_size	No	(min: 1, default: 100, max: 100000). See Pagination Automatically included in continuation tokens.
start_time	No	Starting time in ISO 8601 (inclusive). Automatically included in continuation tokens.
sort	No	Return the data in ascending (asc) or descending (desc) order. Default: desc Automatically included in continuation tokens.

Fields

Field	Description
timestamp	Timestamp at which the interval begins.
price	VWAP. null when no trades reported.

Request examples

cURL

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/cbse/spot/btc-usd/aggregations/vwap'

Python

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

##### 2. Choose the value of the query's parameters #####
# ---- Required parameters ---- #
exchange = "cbse" 
instrument_class = "spot"
pair = "btc-usd" #called "instrument" in the documentation

# ---- Optional parameters ---- #
interval = "1d"  
sort = "desc"
page_size = 100
start_time= "2023-01-01T00:00:00Z"
end_time= "2023-12-31T23:59:59Z"

# ---- 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, exchange: str, pair: str, instrument_class: str, start_time: str, end_time: str, interval: str, sort: str, page_size: int):
    headers = {'Accept': 'application/json', 'X-Api-Key': api_key}
    
    url = f'https://us.market-api.kaiko.io/v2/data/trades.v1/exchanges/{exchange}/{instrument_class}/{pair}/aggregations/vwap'
    params = {
        "start_time": start_time,
        "end_time": end_time,
        "sort": sort,
        "page_size": page_size,
        "interval": interval
    }

    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, exchange=exchange, pair=pair, instrument_class=instrument_class, start_time=start_time, end_time=end_time ,interval=interval, sort=sort, page_size=page_size)

Response example

{
    "query": {
        "page_size": 100,
        "exchange": "cbse",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "interval": "1d",
        "sort": "desc",
        "aggregation": "vwap",
        "data_version": "v1",
        "commodity": "trades",
        "request_time": "2020-11-12T16:52:36.988Z"
    },
    "time": "2020-11-12T16:52:37.114Z",
    "timestamp": 1605199957114,
    "data": [
        {
            "timestamp": 1605139200000,
            "price": "15879.385939106618"
        },
        {
            "timestamp": 1605052800000,
            "price": "15664.643871798791"
        },
    /* ... */
  ],
  "result": "success",
  "continuation_token": "55qoNvASfrVdCIjrF8Ygw6TVJ4yamzUyeL9QXAmvWZZur3iaKoPcVBW1V4unNJi2zMjojbsYr9Pgt9XFCUpnAiuBiECm8X4cedvYc9t2WxHXnHKjgAp2wRAeV8ZPUSj8WNgpWTCBVymGaQZPj3oMDZwVeCPyuTLFdVPfTXVjZA94BtHeBmghoPv92JtWxN3yRvCkrw79hJBu",
  "next_url": "https://<eu|us>.market-api.kaiko.io/v2/data/trades.v1/exchanges/cbse/spot/btc-usd/aggregations/vwap?continuation_token=55qoNvASfrVdCIjrF8Ygw6TVJ4yamzUyeL9QXAmvWZZur3iaKoPcVBW1V4unNJi2zMjojbsYr9Pgt9XFCUpnAiuBiECm8X4cedvYc9t2WxHXnHKjgAp2wRAeV8ZPUSj8WNgpWTCBVymGaQZPj3oMDZwVeCPyuTLFdVPfTXVjZA94BtHeBmghoPv92JtWxN3yRvCkrw79hJBu",
  "access": {
    "access_range": {
      "start_timestamp": 1546300800000,
      "end_timestamp": 1577836800000
    },
    "data_range": {
      "start_timestamp": 1417391000000,
      "end_timestamp": 1577836800000
    }
  }
}