Implied Volatility SVI (Closed Beta)
This is a closed beta. Please contact your account manager if you'd like to be included in the program.
What is this endpoint for?
IV SVI stands for Implied Volatility Surface for Vanilla Instruments. This endpoint distributes the raw data we use to calculate our IV Smile solution.
Endpoints
gateway-v0-grpc.kaiko.ovhParameters
assets
A nested object to configure following properties for your stream:
base(String) - The desired base as the underlying of the options.quote(String) - The desired quote as the underlying of the options.
Explore codes and exchanges in the Instrument Explorer or by using the Reference API endpoint.
btc
usd
exchanges
The desired exchange as source of options data.
Explore codes and exchanges in the Instrument Explorer or by using the Reference API endpoint.
drbt
Fields
dataStartTime
Start time of the calculation window used.
dataEndTime
End time of the calculation window used.
expiry
Expiry date of the instrument.
exchanges
Exchanges included.
timeToExpiry
Time to expiry.
atmImpliedVariance
ATM implied variance.
atmSkew
ATM skew.
leftSlope
Left slope of IV smile.
rightSlope
Right slope of IV smile.
minImpliedVariance
Min implied variance.
currentSpot
Current spot.
interestRate
Interest rate.
tsEvent
Event generation timestamp (event created by Kaiko), after normalization.
Request examples
Make sure to read our Python quick-start guide before starting.
# 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 iv_svi_parameters_v1_request(channel: grpc.Channel):
try:
with channel:
stub = sdk_pb2_grpc.StreamIvSviParametersServiceV1Stub(channel)
responses = stub.Subscribe(pb_iv_svi_parameters.StreamIvSviParametersRequestV1(
assets = assets_pb2.Assets(
base = "btc",
quote = "usd"
),
exchanges = "drbt"
))
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)
iv_svi_parameters_v1_request(channel)
if __name__ == '__main__':
logging.basicConfig()
run()
Response Example
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