Bid-ask spread (aggregation)
What is this endpoint for?
This endpoint returns the following metrics, averaged for the requested period.
Bid volume
Ask volume
Bid-ask spread
Price Slippage
We are unable to collect the full 10% snapshot from all exchanges we cover. Thus, for some exchanges, 'Market Depth' does not accurately portray the exchange's order book volume.
Endpoint
https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/{exchange}/{instrument_class}/{instrument}/ob_aggregations/full
Path Parameters
region
Yes
Choose between eu
and us
.
Query Parameters
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 1h
.
page_size
No
Number of snapshots to return data for. (default: 10, max: 100). See Pagination Automatically included in continuation tokens.
sort
No
Return the data in ascending asc
or descending desc
order. Default desc
Automatically included in continuation tokens.
start_time
No
Starting time in ISO 8601 (inclusive). Automatically included in continuation tokens.
slippage
No
Order size (in quote asset) for which to calculate the percentage of slippage. Default: 0. When null
is returned, not enough volume is present on the order book to execute the order.
slippage_ref
No
Price point for which to calculate slippage from. Either from the mid price (mid_price
) or from the best bid/ask (best
). Default: mid_price
.
Fields
poll_timestamp
The timestamp at which the interval begins.
bid_volume_x
The average volume of bids placed within 0 and x% of the best bid over a specified interval.
ask_volume_x
The average volume of asks placed within 0 and x% of the best ask over a specified interval.
spread
The average difference between the best bid and the best ask over a specified interval.
mid_price
The average mid price between the best bid and the best ask over a specified interval
ask_slippage
The average percentage of price slippage for a market buy order over a specified interval.
bid_slippage
The average percentage of price slippage for a market sell order over a specified interval.
Request examples
curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/ob_aggregations/full?page_size=10&slippage=100000&interval=1h&start_time=2019-12-04T00:00:00Z&end_time=2019-12-06T00:00:00Z'
Response example
{
"query": {
"page_size": 10,
"exchange": "krkn",
"instrument_class": "spot",
"instrument": "btc-usd",
"interval": "1h",
"slippage": 100000,
"slippage_ref": "mid_price",
"sort": "desc",
"aggregation": "full",
"data_version": "v1",
"commodity": "order_book_snapshots",
"request_time": "2020-05-26T14:46:00.561Z"
},
"time": "2020-05-26T14:46:03.776Z",
"timestamp": 1590504363776,
"data": [
{
"poll_timestamp": 1590501600000,
"ask_slippage": "0.00032766083806437735",
"bid_slippage": "0.0002206511273162024",
"bid_volume0_1": "31.751239130434783",
"bid_volume0_2": "87.33763043478261",
"bid_volume0_3": "139.32403260869566",
"bid_volume0_4": "177.62314130434783",
"bid_volume0_5": "206.71984782608695",
"bid_volume0_6": "251.4888043478261",
"bid_volume0_7": "287.1503043478261",
"bid_volume0_8": "317.3515869565217",
"bid_volume0_9": "335.79671739130436",
"bid_volume1": "352.03117391304346",
"bid_volume1_5": "419.0988260869565",
"bid_volume2": "470.6285",
"bid_volume4": "859.7884347826086",
"bid_volume6": "1134.0595760869564",
"bid_volume8": "1134.4657173913045",
"bid_volume10": "1134.4657173913045",
"ask_volume0_1": "21.558043478260867",
"ask_volume0_2": "37.20532608695652",
"ask_volume0_3": "78.02648913043478",
"ask_volume0_4": "143.83753260869565",
"ask_volume0_5": "192.98572826086954",
"ask_volume0_6": "235.31961956521738",
"ask_volume0_7": "280.5659565217391",
"ask_volume0_8": "309.4857717391304",
"ask_volume0_9": "327.8923152173913",
"ask_volume1": "341.79707608695657",
"ask_volume1_5": "411.3568043478261",
"ask_volume2": "475.6048586956521",
"ask_volume4": "885.1007826086956",
"ask_volume6": "1263.1216413043478",
"ask_volume8": "1364.2838369565218",
"ask_volume10": "1364.2838369565218",
"mid_price": "8830.427717391303",
"spread": "1.175"
}
/* ... */
],
"result": "success",
"access": {
"access_range": {
"start_timestamp": null,
"end_timestamp": null
},
"data_range": {
"start_timestamp": null,
"end_timestamp": null
}
}
}
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