Raw order book snapshot

What is this endpoint for?

The raw data on which our Level 2 Aggregations such as market depth , bid/ask spread, and price slippage are built. Details a point-in-time view of the bids and asks on an exhange's order book to 10% depth. Used to build your own custom level 2 aggregations. The snapshot is produced every 30 seconds.

Endpoint

https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/{exchange}/{instrument_class}/{instrument}/snapshots/raw

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

limit_orders

Number of orders to return on bid and ask side per snapshot. To retreive the best bid/ask, set this parameter to 1 Default: 10

page_size

Number of snapshots to return data for. Default: 10Max: 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.

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.

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.

asks

The sell orders in the snapshot. If the limit_oders parameter is used, this will be reflected here. amount is the quantity of asset to sell, displayed in the base currency. price is displayed in the quote currency.

bids

The buy orders in the snapshot. If the limit_oders parameter is used, this will be reflected here. amount is the quantity of asset to buy, displayed in the base currency. price is displayed in the quote currency.

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/raw?page_size=10&limit_orders=2'

##### 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"
limit_orders = 10

# ---- 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, limit_orders: 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/raw'
    params = {
        "start_time": start_time,
        "end_time": end_time,
        "sort": sort,
        "page_size": page_size,
        "limit_orders": limit_orders
    }

    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), limit_orders=limit_orders)

Response example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "slippage": 0,
        "limit_orders": 2,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "metric": "raw",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:13:08.823Z"
    },
    "time": "2020-05-26T14:13:08.899Z",
    "timestamp": 1590502388899,
    "data": [
        {
            "poll_timestamp": 1590502335760,
            "poll_date": "2020-05-26T14:12:15.760Z",
            "timestamp": null,
            "asks": [
                {
                    "amount": "12",
                    "price": "8830"
                },
                {
                    "amount": "3.67",
                    "price": "8832.9"
                }
            ],
            "bids": [
                {
                    "amount": "13.316",
                    "price": "8829.9"
                },
                {
                    "amount": "0.097",
                    "price": "8829.4"
                }
            ]
        }
      /* ... */         
    ],
    "result": "success",
    "continuation_token": "Z8FjTagUoHd3UCqMvqmRJXlwzbTxSnSXpxxZpHWNCmrsrcnhSpMG2gdcmFKRPd88",
    "next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/cbse/spot/btc-usd/snapshots/raw?continuation_token=Z8FjTagUoHd3UCqMvqmRJXlwzbTxSnSXpxxZpHWNCmrsrcnhSpMG2gdcmFKRPd88",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

PreviousInterest rates, borrowed and deposited amounts NextRaw order book snapshot + market depth, bid/ask spread & price slippage

Last updated 11 months ago

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##### 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" limit_orders = 10 # ---- 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, limit_orders: 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/raw' params = { "start_time": start_time, "end_time": end_time, "sort": sort, "page_size": page_size, "limit_orders": limit_orders } 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), limit_orders=limit_orders)

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