Exchange-provided metrics
Available in the "basic" pack of Derivatives Risk Indicators.
What is this endpoint for?
This endpoint is part of Derivatives Risk Indicators. It can be used to get risk information such as greeks and IV in real-time.
Endpoints
gateway-v0-grpc.kaiko.ovhParameters
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.
Explore instruments, codes and exchanges in the Instrument Explorer or Reference Data.
cbse
option
algo-btc
commodities
AlwaysSDICK_RISK
SDICK_RISK
Fields: Perpetual Future
Value
The value for the commodity in the received message.
eg: 24h_volume or price
59583.2
legacySymbol
Exchange assigned instrument identifier
BTCUSDC_PERP
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
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
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()
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"
}
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