| Parameter | Required? | Description |
|---|---|---|
region | Yes | Choose between eu and us. |
exchange | Yes | Exchange |
instrument_class | Yes | Instrument class. See /pages/8ywkQXfxfv1FjtyspEaU |
instrument | Yes | Instrument code.See /pages/8ywkQXfxfv1FjtyspEaU |
| Parameter | Required | Description |
|---|---|---|
end_time | No | Ending time in ISO 8601 (exclusive). Automatically included in continuation tokens. |
continuation_token | No | See /pages/mP3amLsYqKTsrRBoblxX |
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 /pages/mP3amLsYqKTsrRBoblxX Automatically included in continuation tokens. |
sort | No | Return the data in ascending asc or descending desc order. Default descAutomatically 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. |
| Field | Description |
|---|---|
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. |
##### 1. Import dependencies #####
import requests
import pandas as pd
##### 2. Choose the value of the query's parameters #####
# ---- Required parameters ---- #
exchange = "krkn"
instrument_class = "spot"
pair = "btc-usd" #called "instrument" in the documentation
# ---- Optional parameters ---- #
sort = "desc"
page_size = 100
start_time= "2025-03-03T00:00:00Z"
end_time= "2025-03-05T00:00:00Z"
# ---- 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, sort: str, page_size: int):
headers = {'Accept': 'application/json', 'X-Api-Key': api_key}
url = f'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/{exchange}/{instrument_class}/{pair}/snapshots/slippage'
params = {
"start_time": start_time,
"end_time": end_time,
"sort": sort,
"page_size": page_size
}
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 ,sort=sort, page_size=int(page_size))