Market depth (aggregation)
What is this endpoint for?
This endpoint returns the average market depth for the requested period.
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/depth
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.
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.
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/depth?page_size=10&interval=1h'
Response example
{
"query": {
"page_size": 10,
"exchange": "krkn",
"instrument_class": "spot",
"instrument": "btc-usd",
"interval": "1h",
"slippage": 0,
"slippage_ref": "mid_price",
"sort": "desc",
"aggregation": "depth",
"data_version": "v1",
"commodity": "order_book_snapshots",
"request_time": "2020-05-26T14:58:55.582Z"
},
"time": "2020-05-26T14:58:56.395Z",
"timestamp": 1590505136395,
"data": [
{
"poll_timestamp": 1590501600000,
"bid_volume0_1": "31.31635593220339",
"bid_volume0_2": "90.78996610169492",
"bid_volume0_3": "144.16212711864407",
"bid_volume0_4": "182.9676525423729",
"bid_volume0_5": "219.1858220338983",
"bid_volume0_6": "263.02182203389833",
"bid_volume0_7": "296.666686440678",
"bid_volume0_8": "322.5334237288136",
"bid_volume0_9": "340.6282881355932",
"bid_volume1": "356.4558474576271",
"bid_volume1_5": "427.1106949152542",
"bid_volume2": "475.76238135593223",
"bid_volume4": "863.1048559322035",
"bid_volume6": "1137.2281271186441",
"bid_volume8": "1137.5447796610172",
"bid_volume10": "1137.5447796610172",
"ask_volume0_1": "22.772533898305085",
"ask_volume0_2": "36.96916101694915",
"ask_volume0_3": "78.57454237288135",
"ask_volume0_4": "144.87783898305085",
"ask_volume0_5": "195.61884745762714",
"ask_volume0_6": "237.96824576271186",
"ask_volume0_7": "282.3425338983051",
"ask_volume0_8": "314.0606779661017",
"ask_volume0_9": "330.76757627118644",
"ask_volume1": "344.3153644067797",
"ask_volume1_5": "413.4595423728814",
"ask_volume2": "475.48172033898305",
"ask_volume4": "886.8459152542373",
"ask_volume6": "1272.5998644067795",
"ask_volume8": "1371.7920847457626",
"ask_volume10": "1371.7920847457626"
},
/* ... */
],
"result": "success",
"access": {
"access_range": {
"start_timestamp": null,
"end_timestamp": null
},
"data_range": {
"start_timestamp": null,
"end_timestamp": null
}
}
}
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