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  • What is this endpoint for?
  • Endpoints
  • Parameters
  • Fields: Perpetual Future
  • Fields: Future
  • Fields: Option
  • Request examples
  • Response Example

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  1. Analytics Solutions
  2. Kaiko Derivatives Risk Indicators

Exchange-provided metrics

Available in the "basic" pack of Derivatives Risk Indicators.

PreviousKaiko Derivatives Risk IndicatorsNextAggregated Quotes (v1)

Last updated 2 months ago

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What is this endpoint for?

This endpoint is part of . It can be used to get risk information such as greeks and IV in real-time.

Endpoints

gateway-v0-grpc.kaiko.ovh
gateway-v0-http.kaiko.ovh
https://gateway-v0-http.kaiko.ovh/api/stream/derivatives_instrument_metrics_v1

Parameters

Parameter
Description
Examples

instrumentCriteria

A nested object to configure following properties for your stream:

  • exchange (String) - The code(s) for the exchange(s)

  • instrument_class (String) - The class(es) of the instrument(s) . The instrument must be a derivative class.

  • code (String) - The Kaiko code for the instrument.

cbse

option

algo-btc

commodities

AlwaysSDICK_RISK

SDICK_RISK

Configuring a wildcard

A wildcard allows you to request all information we have on a specific instrument or exchange in the same stream. Use a * in place of the relevant exchange or class parameter.

For example, the configuration below would deliver all perpetual future contracts on OkEX. exchange: okex class: perpetual-future instrument: *

Fields: Perpetual Future

Field
Description
Example

Value

The value for the commodity in the received message. eg: 24h_volume or price

59583.2

legacySymbol

Exchange assigned instrument identifier

BTCUSDC_PERP

exchange

binc

commodityKind

Always SDICK_RISK

SDICK_RISK

tsCollection

The timestamp for when Kaiko received the trade from the exchange.

2024-08-30T10:19:38.044166107Z

tsEvent

The timestamp for the interval.

2024-08-30T10:19:39.206955912Z

commodity:funding rate

The current funding rate.

-0.0000756735759807

comodity: predicted_funding_rate

The predicted funding rate for the next period.

-0.0000845044644161

commodity: ask

The best ask price from the order book at the time of funding rate calculation.

101937.0

commodity: ask_amount

The size of the best ask order from the order book at the time of funding rate calculation.

0.552

commodity: bid

The best bid price from the order book at the time of the funding rate calculation.

101936.0

commodity: bid_amount

The size of the best bid order from the order book at the time of funding rate calculation.

0.396

commodity: 24h_volume

The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)

140.235

commodity: open_interest

The total outstanding number of contracts (units in which open interest metrics are quoted vary by exchange)

144.817

Fields: Future

Field
Description
Example

Value

The value for the commodity in the received message. eg: 24h_volume or price

59583.2

commodityKind

Always SDICK_RISK

SDICK_RISK

tsCollection

The timestamp for when Kaiko received the trade from the exchange.

2024-08-30T10:19:38.044166107Z

tsEvent

The timestamp for the interval.

2024-08-30T10:19:39.206955912Z

commodity: time_to_expiry

The number of minutes remaining before expiry.

41504

commodity: nearby

The soonest expiring contract with the same base & quote asset on the specified exchange

boolean value

commodity: quarterly_nearby

The soonest expiring quarterly contract with the same base & quote asset on the specified exchange

boolean value

commodity: expiry

Expiration date of the contract

1737072000000000000

commodity: 24h_volume

The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)

2047.3

commodity: open_interest

The total outstanding number of contracts (units in which open interest metrics are quoted vary by exchange)

6813.4

commodity: ask

The price level of the best ask order from the order book at the time of message receipt.

97890.1

commodity: ask_amount

The size of the best ask order from the order book at the time of the message.

0.552

commodity: bid

The price level of the best bid order from the order book at the time of message receipt.

97878.4

commodity: bid_amount

The size of the best bid order from the order book at the time of the message.

0.396

Fields: Option

Field
Description
Example

Value

The value for the commodity (price, 24 hour volume etc) received in the message.

59583.2

commodityKind

Always SDICK_RISK

SDICK_RISK

tsCollection

The timestamp for when Kaiko received the trade from the exchange.

2024-08-30T10:19:38.044166107Z

tsEvent

The timestamp for the interval.

2024-08-30T10:19:39.206955912Z

commodity: time_to_expiry

The number of minutes remaining before expiry.

41504

commodity: nearby

The soonest expiring contract with the same base & quote asset on the specified exchange

boolean value

commodity: quarterly_nearby

The soonest expiring quarterly contract with the same base & quote asset on the specified exchange

boolean value

commodity: ask_iv

Implied volatility for the best ask.

0.8166587

commodity: bid_iv

Implied volatility for the best bid.

0.6817713

commodity: mark_iv

The implied volatility for the mark price.

0.7418202

commodity: delta

The delta value for the option.

-1.6532715362206545

commodity: gamma

The gamma value for the option.

3.7235607858486044

commodity: rho

The rho value for the option.

16.74149

commodity: theta

The theta value for the option.

0.0002888

commodity: vega

The vega value for the option.

0.0006550

commodity: strike_price

The strike price of the contract in USD

90000

commodity: underlying_index

Name of the underlying index

BTC-31JAN25

commodity: kind

Put or Call

C

commodity: expiry

Expiry

1738281600000000000

Request examples

# This is a code example. Configure your parameters in the parameter configuration section #

from __future__ import print_function
import logging
import os

import grpc
from google.protobuf.json_format import MessageToJson
from google.protobuf import duration_pb2

from kaikosdk import sdk_pb2_grpc
from kaikosdk.core import instrument_criteria_pb2, assets_pb2
from kaikosdk.stream.aggregates_ohlcv_v1 import request_pb2 as pb_ohlcv
from kaikosdk.stream.aggregates_vwap_v1 import request_pb2 as pb_vwap
from kaikosdk.stream.market_update_v1 import request_pb2 as pb_market_update
from kaikosdk.stream.market_update_v1 import commodity_pb2 as pb_commodity
from kaikosdk.stream.trades_v1 import request_pb2 as pb_trades
from kaikosdk.stream.index_v1 import request_pb2 as pb_index
from kaikosdk.stream.index_multi_assets_v1 import request_pb2 as pb_index_multi_assets
from kaikosdk.stream.index_forex_rate_v1 import request_pb2 as pb_index_forex_rate
from kaikosdk.stream.aggregated_quote_v2 import request_pb2 as pb_aggregated_quote
from kaikosdk.stream.aggregates_spot_exchange_rate_v2 import request_pb2 as pb_spot_exchange_rate
from kaikosdk.stream.aggregates_direct_exchange_rate_v2 import request_pb2 as pb_direct_exchange_rate
from kaikosdk.stream.derivatives_instrument_metrics_v1 import request_pb2 as pb_derivatives_instrument_metrics
from kaikosdk.stream.iv_svi_parameters_v1 import request_pb2 as pb_iv_svi_parameters



def derivatives_instrument_metrics_request(channel: grpc.Channel):
    try:
        with channel:
            stub = sdk_pb2_grpc.StreamDerivativesInstrumentMetricsServiceV1Stub(channel)

            responses = stub.Subscribe(pb_derivatives_instrument_metrics.StreamDerivativesInstrumentMetricsRequestV1(
                instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
                # Start of parameter configuration #
                    exchange = "okex",
                    instrument_class = "perpetual-future",
                    code = "btc-usdt"
                ),
                commodities = [
                "SDICK_RISK"
            ]
            ))
                # End of parameter configuration #
            for response in responses:
                print("Received message %s" % (MessageToJson(response, including_default_value_fields = True)))
    except grpc.RpcError as e:
        print(e.details(), e.code())


def run():
    credentials = grpc.ssl_channel_credentials(root_certificates=None)
    call_credentials = grpc.access_token_call_credentials(os.environ['KAIKO_API_KEY'])
    composite_credentials = grpc.composite_channel_credentials(credentials, call_credentials)
    channel = grpc.secure_channel('gateway-v0-grpc.kaiko.ovh', composite_credentials)

    derivatives_instrument_metrics_request(channel)

if __name__ == '__main__':
    logging.basicConfig()
    run()

cURL requests are intended for testing purposes only.

curl -X POST "https://gateway-v0-http.kaiko.ovh/api/stream/derivatives_instrument_metrics_v1" \
-H "accept: application/json" \
-H "X-Api-Key: $kaiko_api_key" \
-H "Content-Type: application/json" \
-d "{ \"instrumentCriteria\": {  \"exchange\": \"okex\",  \"instrumentClass\": \"perpetual-future\",  \"code\": \"btc-usdt\" }}"

Response Example

{
  "value": "-0.0000345359072087",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "funding_rate",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-12-18T13:15:43.861660474Z",
  "tsEvent": "2024-12-18T13:15:45.456011570Z"
}

Explore instruments, codes and exchanges in the or .

Information from this endpoint can be accessed through Google BigQuery. To get started, read our .

For more advanced users, you can access our full SDK , where you'll find more coding languages, examples, and guidance.

Derivatives Risk Indicators
here
Supported Exchanges
Instrument Explorer
guide
Reference Data