Price slippage (snapshot)
What is this endpoint for?
This endpoint uses our Raw order book snapshot as source data and enhances its raw data with the Price Slippage metric.
Price Slippage calculates the potential slippage for a market buy order if it were placed at the time the Order Book Snapshot was taken.
Endpoint
https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/{exchange}/{instrument_class}/{instrument}/snapshots/slippage
Path Parameters
region
Yes
Choose between eu
and us
.
Query Parameters
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.
end_time
No
Ending time in ISO 8601 (exclusive). 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 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.
ask_slippage
The percentage price slippage for a market buy order placed at the time that the order book snapshot was taken.
bid_slippage
The percentage price slippage for a market sell order placed at the time that the order book snapshot was taken.
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/slippage?end_time=2019-12-09T00:00:00Z&slippage_ref=best&start_time=2019-12-01T00:00:00Z&slippage=1000000&page_size=10'
Response example
{
"query": {
"page_size": 10,
"exchange": "krkn",
"instrument_class": "spot",
"instrument": "btc-usd",
"slippage": 100000,
"limit_orders": 0,
"slippage_ref": "best",
"sort": "desc",
"metric": "slippage",
"data_version": "v1",
"commodity": "order_book_snapshots",
"request_time": "2020-05-26T14:42:17.053Z"
},
"time": "2020-05-26T14:42:17.123Z",
"timestamp": 1590504137123,
"data": [
{
"poll_timestamp": 1590504124917,
"poll_date": "2020-05-26T14:42:04.917Z",
"timestamp": null,
"ask_slippage": "0.0001057219873253085790064266041007855",
"bid_slippage": "0.0001581287020485902479395059349031256"
},
{
"poll_timestamp": 1590504075786,
"poll_date": "2020-05-26T14:41:15.786Z",
"timestamp": null,
"ask_slippage": "0.00001534073225141691226479256404443437",
"bid_slippage": "0.0002555856086571344339622641509433962"
},
/* ... */
],
"result": "success",
"continuation_token": "Z8Fj1yUWjj3uvv1U2d8fASeGLm4jZ4iHCopdsZLKUyDJE8KrBaDXwQQWXHJQxm",
"next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/cbse/spot/btc-usd/snapshots/slippage?continuation_token=Z8Fj1yUWjj3uvv1U2d8fASeGLm4jZ4iHCopdsZLKUyDJE8KrBaDXwQQWXHJQxm",
"access": {
"access_range": {
"start_timestamp": null,
"end_timestamp": null
},
"data_range": {
"start_timestamp": null,
"end_timestamp": null
}
}
}
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