Market depth (snapshot)

"Snapshots" show a point-in-time view generated every 30 seconds, whereas "aggregations" show an aggregation of all 30-second snapshots from the period requested.

What is this endpoint for?

This endpoint uses our Raw order book snapshot as source data and enhances its raw data with the Market Depth metric.

Market Depth provides insight into the "depth" of an exchange's order book by aggregating the volume of bids and asks within 0-10% of the best bid or ask, respectively. A higher volume of bids and asks at each level implies more liquidity.

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}/snapshots/depth

Path Parameters

Parameter

Required?

Description

region

Yes

Choose between eu and us.

exchange

Yes

Exchange code.

See Exchange codes

instrument_class

Yes

Instrument class. See Exchange trading pair codes (instruments)

instrument

Yes

Instrument code. See Exchange trading pair codes (instruments)

Query Parameters

Parameter

Required

Description

continuation_token

See Pagination

start_time

Starting time in ISO 8601 (inclusive). Automatically included in continuation tokens.

end_time

Ending time in ISO 8601 (exclusive). Automatically included in continuation tokens.

page_size

Number of snapshots to return data for. (default: 10, max: 100). See Pagination Automatically included in continuation tokens.

sort

Return the data in ascending asc or descending desc order. Default: desc. Automatically included in continuation tokens.

Fields

Field

Description

poll_timestamp

The timestamp at which the raw data snapshot was taken.

poll_date

The date at which the raw data snapshot was taken.

timestamp

The timestamp provided by the exchange. null when not provided.

bid_volume_x

The volume of bids placed within 0 and x% of the best bid. This is what we call "Market Depth".

ask_volume_x

The volume of asks placed within 0 and x% of the best ask. This is what we call "Market Depth"

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/snapshots/depth?page_size=10'

##### 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/depth'
    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))

Response example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "slippage": 0,
        "limit_orders": 0,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "metric": "depth",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:29:44.757Z"
    },
    "time": "2020-05-26T14:29:44.816Z",
    "timestamp": 1590503384816,
    "data": [
        {
            "poll_timestamp": 1590503344916,
            "poll_date": "2020-05-26T14:29:04.916Z",
            "timestamp": null,
            "bid_volume0_1": "37.606",
            "bid_volume0_2": "102.304",
            "bid_volume0_3": "141.907",
            "bid_volume0_4": "177.446",
            "bid_volume0_5": "203.634",
            "bid_volume0_6": "218.450",
            "bid_volume0_7": "283.128",
            "bid_volume0_8": "293.533",
            "bid_volume0_9": "321.986",
            "bid_volume1": "348.213",
            "bid_volume1_5": "405.080",
            "bid_volume2": "444.782",
            "bid_volume4": "837.949",
            "bid_volume6": "1110.065",
            "bid_volume8": "1110.065",
            "bid_volume10": "1110.065",
            "ask_volume0_1": "7.401",
            "ask_volume0_2": "13.744",
            "ask_volume0_3": "58.917",
            "ask_volume0_4": "131.104",
            "ask_volume0_5": "165.971",
            "ask_volume0_6": "193.786",
            "ask_volume0_7": "257.001",
            "ask_volume0_8": "286.384",
            "ask_volume0_9": "312.040",
            "ask_volume1": "319.040",
            "ask_volume1_5": "382.927",
            "ask_volume2": "475.467",
            "ask_volume4": "909.144",
            "ask_volume6": "1229.664",
            "ask_volume8": "1323.505",
            "ask_volume10": "1323.505"
        },
      /* ... */
],
    "result": "success",
    "continuation_token": "Z8FjYwcAjf7MZEG382e5MpmZx7wkuziQTyy2k5fVgSrcF8jAYqUpRgPH5cbQ9MhJiFaxGRbwiERMp3cWhXJshy",
    "next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/cbse/spot/btc-usd/snapshots/depth?continuation_token=Z8FjYwcAjf7MZEG382e5MpmZx7wkuziQTyy2k5fVgSrcF8jAYqUpRgPH5cbQ9MhJiFaxGRbwiERMp3cWhXJshy",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

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