Price slippage (aggregation)
What is this endpoint for?
This endpoint returns the average price slippage for the requested period. Read more about how the aggregation period works here: .
Endpoint
https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/{exchange}/{instrument_class}/{instrument}/ob_aggregations/slippage
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.
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
'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/ob_aggregations/slippage?page_size=10&slippage=100000&interval=1h'
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": "slippage",
"data_version": "v1",
"commodity": "order_book_snapshots",
"request_time": "2020-05-26T15:07:06.840Z"
},
"time": "2020-05-26T15:07:07.260Z",
"timestamp": 1590505627260,
"data": [
{
"poll_timestamp": 1590505200000,
"ask_slippage": "0.00012513598764468878",
"bid_slippage": "0.0003678539692963374"
},
{
"poll_timestamp": 1590501600000,
"ask_slippage": "0.00030969034268815156",
"bid_slippage": "0.00024353107110561094"
},
/* ... */
],
"result": "success",
"access": {
"access_range": {
"start_timestamp": null,
"end_timestamp": null
},
"data_range": {
"start_timestamp": null,
"end_timestamp": null
}
}
}
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