# Raw order book snapshot + market depth, bid/ask spread & price slippage

## What is this endpoint for?

This endpoint returns raw order book used to calculate our aggregations, alongside the aggregations:

* **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.
* **Price Slippage** - calculates the potential slippage for a market buy order if it were placed at the time the Order Book Snapshot was taken.
* **Bid-ask Spread** - The bid-ask spread is the difference between the highest price that a buyer is willing to pay for an asset (the bid) and the lowest price that a seller is willing to accept (the ask). A smaller spread implies more liquidity.

### Endpoint

{% code overflow="wrap" %}

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

{% endcode %}

### Path Parameters

<table><thead><tr><th width="203">Parameter</th><th>Required?</th><th>Description</th></tr></thead><tbody><tr><td><code>region</code></td><td>Yes</td><td>Choose between <code>eu</code> and <code>us</code>.</td></tr><tr><td><code>exchange</code></td><td>Yes</td><td><p>Exchange <code>code.</code> </p><p><br>See <a data-mention href="../../../reference-data/basic-tier/exchange-codes">exchange-codes</a></p></td></tr><tr><td><code>instrument_class</code></td><td>Yes</td><td>Instrument <code>class</code>. <br><br>See <a data-mention href="../../../reference-data/basic-tier/exchange-trading-pair-codes-instruments">exchange-trading-pair-codes-instruments</a></td></tr><tr><td><code>instrument</code></td><td>Yes</td><td>Instrument <code>code</code>.<br><br>See <a data-mention href="../../../reference-data/basic-tier/exchange-trading-pair-codes-instruments">exchange-trading-pair-codes-instruments</a></td></tr></tbody></table>

### Query Parameters

<table><thead><tr><th width="239">Parameter</th><th width="95">Required</th><th>Description</th></tr></thead><tbody><tr><td><code>continuation_token</code></td><td>No</td><td>See <a data-mention href="../../../../general/getting-started/pagination">pagination</a></td></tr><tr><td><code>end_time</code></td><td>No</td><td>Ending time in ISO 8601 (exclusive).<br><br><em>Automatically included in continuation tokens.</em></td></tr><tr><td><code>limit_orders</code></td><td>No</td><td>Number of orders to return on bid and ask side per snapshot.<br><br>To retrieve the best bid/ask, set this parameter to <code>1</code> <br><br>Default: <code>10</code></td></tr><tr><td><code>page_size</code></td><td>No</td><td>Number of snapshots to return (default: 10, max: 100).<br><br>See <a data-mention href="../../../../general/getting-started/pagination">pagination</a><br><br><em>Automatically included in continuation tokens.</em></td></tr><tr><td><code>sort</code></td><td>No</td><td>Return the data in ascending <code>asc</code> or descending <code>desc</code> order. <br><br>Default: <code>desc.</code><br><br><em>Automatically included in continuation tokens.</em></td></tr><tr><td><code>start_time</code></td><td>No</td><td>Starting time in ISO 8601 (inclusive).<br><br><em>Automatically included in continuation tokens.</em></td></tr><tr><td><code>slippage</code></td><td>No</td><td>Order size (in quote asset) for which to calculate the percentage of slippage. <br><br>Default: <code>0</code>. <br><br>When <code>null</code> is returned, not enough volume is present on the order book to execute the order.</td></tr><tr><td><code>slippage_ref</code></td><td>No</td><td>Price point for which to calculate slippage from. Either from the mid-price (<code>mid_price</code>) or from the best bid/ask (<code>best</code>). <br><br>Default: <code>mid_price</code>.</td></tr></tbody></table>

### Fields

<table><thead><tr><th width="241">Field</th><th>Description</th></tr></thead><tbody><tr><td><code>poll_timestamp</code></td><td>The timestamp at which the raw data snapshot was taken.</td></tr><tr><td><code>poll_date</code></td><td>The date at which the raw data snapshot was taken.</td></tr><tr><td><code>timestamp</code></td><td>The timestamp provided by the exchange. <code>null</code> when not provided.</td></tr><tr><td><code>bid_volume_x</code></td><td>The volume of bids placed within 0 and x% of the best bid.<br><br>This is what we call "Market Depth"</td></tr><tr><td><code>ask_volume_x</code></td><td>The volume of asks placed within 0 and x% of the best ask.<br><br>This is what we call "Market Depth"</td></tr><tr><td><code>spread</code></td><td>The difference between the best bid and the best ask at the time the snapshot was taken.<br><br>This is what we call "Bid Ask Spread"</td></tr><tr><td><code>mid_price</code></td><td>The mid price between the best bid and the best ask.</td></tr><tr><td><code>ask_slippage</code></td><td>The percentage price slippage for a market buy order placed at the time that the order book snapshot was taken.</td></tr><tr><td><code>bid_slippage</code></td><td>The percentage price slippage for a market sell order placed at the time that the order book snapshot was taken.</td></tr><tr><td><code>asks</code></td><td>The sell orders in the snapshot. If the <code>limit_oders</code> parameter is used, this will be reflected here. <code>amount</code> is the quantity of asset to sell, displayed in the base currency. <code>price</code> is displayed in the quote currency.</td></tr><tr><td><code>bids</code></td><td>The buy orders in the snapshot. If the <code>limit_oders</code> parameter is used, this will be reflected here. <code>amount</code> is the quantity of asset to buy, displayed in the base currency. <code>price</code> is displayed in the quote currency.</td></tr></tbody></table>

### Request example

{% tabs %}
{% tab title="cURL" %}
{% code overflow="wrap" %}

```url
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/full?slippage=100000&page_size=10&limit_orders=2&slippage_ref=best'
```

{% endcode %}
{% endtab %}

{% tab title="Python" %}
{% code overflow="wrap" %}

```python
##### 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
slippage= 0
slippage_ref= "mid_price"

# ---- 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, slippage: int, slippage_ref: str):
    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/full'
    params = {
        "start_time": start_time,
        "end_time": end_time,
        "sort": sort,
        "page_size": page_size,
        "limit_orders": limit_orders,
        "slippage": slippage,
        "slippage_ref": slippage_ref
    }

    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, slippage=slippage, slippage_ref=slippage_ref)
```

{% endcode %}
{% endtab %}
{% endtabs %}

### Response example

{% tabs %}
{% tab title="JSON" %}

```json
{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "slippage": 100000,
        "limit_orders": 2,
        "slippage_ref": "best",
        "sort": "desc",
        "metric": "full",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:10:06.320Z"
    },
    "time": "2020-05-26T14:10:06.418Z",
    "timestamp": 1590502206418,
    "data": [
        {
            "poll_timestamp": 1590502155757,
            "poll_date": "2020-05-26T14:09:15.757Z",
            "timestamp": null,
            "bid_volume0_1": "46.595",
            "bid_volume0_2": "110.570",
            "bid_volume0_3": "167.920",
            "bid_volume0_4": "198.416",
            "bid_volume0_5": "243.554",
            "bid_volume0_6": "346.467",
            "bid_volume0_7": "354.090",
            "bid_volume0_8": "359.058",
            "bid_volume0_9": "381.422",
            "bid_volume1": "384.066",
            "bid_volume1_5": "467.014",
            "bid_volume2": "522.441",
            "bid_volume4": "918.911",
            "bid_volume6": "1187.306",
            "bid_volume8": "1187.306",
            "bid_volume10": "1187.306",
            "ask_volume0_1": "13.158",
            "ask_volume0_2": "40.072",
            "ask_volume0_3": "71.129",
            "ask_volume0_4": "179.463",
            "ask_volume0_5": "259.140",
            "ask_volume0_6": "266.315",
            "ask_volume0_7": "324.288",
            "ask_volume0_8": "353.024",
            "ask_volume0_9": "376.738",
            "ask_volume1": "405.965",
            "ask_volume1_5": "467.665",
            "ask_volume2": "506.326",
            "ask_volume4": "862.843",
            "ask_volume6": "1322.553",
            "ask_volume8": "1428.856",
            "ask_volume10": "1428.856",
            "spread": "0.1",
            "mid_price": "8819.95",
            "ask_slippage": "0.0002782477139043083900226757369614512",
            "bid_slippage": "0.0",
            "asks": [
                {
                    "amount": "5.914",
                    "price": "8820"
                },
                {
                    "amount": "0.08",
                    "price": "8821"
                }
            ],
            "bids": [
                {
                    "amount": "11.814",
                    "price": "8819.9"
                },
                {
                    "amount": "4.197",
                    "price": "8819.8"
                }
            ]
        },
      /* ... */
],
    "result": "success",
    "continuation_token": "Ehad6pjoEpvpZSkvbtsyx8WxTj9vgc4s5VSow1USG8pXP1UGFSxSF7fTacxA54rYoqebnMTdCpE3ZxB3nSTM5CYNModkKRASDWMHymPFHNXnGL73RdkHSVUv6UYa4YwrRinH7JbwRqbB5HwmZdxWaonnaVkeZZc1wZiuK2oR4ePQdotGEnvKY8spPjYwnX8s3D6w1bCqZqL6ENaNH5Pa6b53MdbmyQBjE8F",
    "next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/snapshots/full?continuation_token=Ehad6pjoEpvpZSkvbtsyx8WxTjvgc4s5VSow1USG8pXP1UGFSxSF7fTacxA54rYoqebnMTdCpE3ZxB3nSTM5CYNModkKRASDWMHymPFHNXnGL73RdkHSVUv6UYa4YwrRinH7JbwRqbB5HwmZdxWaonnaVkeZZc1wZiuK2oR4ePQdotGEnvKY8spPjYwnX8s3D6w1bCqZqL6ENaNH5Pa6b53MdbmyQBjE8F",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}
```

{% endtab %}
{% endtabs %}


---

# Agent Instructions: Querying This Documentation

If you need additional information that is not directly available in this page, you can query the documentation dynamically by asking a question.

Perform an HTTP GET request on the current page URL with the `ask` query parameter:

```
GET https://docs.kaiko.com/rest-api/data-feeds/level-1-and-level-2-data/level-2-aggregations/raw-order-book-snapshot/raw-order-book-snapshot-+-market-depth-bid-ask-spread-and-price-slippage.md?ask=<question>
```

The question should be specific, self-contained, and written in natural language.
The response will contain a direct answer to the question and relevant excerpts and sources from the documentation.

Use this mechanism when the answer is not explicitly present in the current page, you need clarification or additional context, or you want to retrieve related documentation sections.