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

gRPC

gateway-v0-grpc.kaiko.ovh

http

API (testing)

Parameters

Parameter	Description	Examples
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

Field	Description
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

Python

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()

cURL

Other examples

Response Example