VWAP

What is this endpoint for?

This endpoint delivers VWAP (volume-weighted average price) for an instrument on an exchange in real time.

Endpoints

gRPC

gateway-v0-grpc.kaiko.ovh

http

API (testing)

Request parameters

Parameter	Description	Examples
aggregate	The period you would like the VWAP aggregation to be calculated over.	1m
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) . code (String) - The Kaiko code for the instrument. Explore instruments, codes and exchanges in the Instrument Explorer or Reference Data.	cbse spot btc-usd

Configuring a wildcard

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

For example, the configuration below would deliver trades for BTC/USD across all exchanges where it’s supported:

exchange: * class: spot instrument: btc-usd

Response fields

Field	Description
aggregate	The period of calculation.
class	The class of instrument.
code	The instrument code.
price	The price for the peirod (USD).
exchange	The exchange the VWAP is referencing.
tsEvent	The timestamp for the interval.
uid	The unique ID for this delivery.
volume	Volume traded in interval. 0 when no trades reported.
sequenceId	Not applicable. Null

Request examples

Python

# This is a code example. Configure your parameters below #

from __future__ import print_function
from datetime import datetime, timedelta
import logging
import os
from google.protobuf.timestamp_pb2 import Timestamp
import grpc
from google.protobuf.json_format import MessageToJson
from kaikosdk import sdk_pb2_grpc
from kaikosdk.core import instrument_criteria_pb2
from kaikosdk.stream.aggregates_vwap_v1 import request_pb2 as pb_vwap

def vwap_request(channel: grpc.Channel):
    try:
        with channel:
            stub = sdk_pb2_grpc.StreamAggregatesVWAPServiceV1Stub(channel)
            responses = stub.Subscribe(pb_vwap.StreamAggregatesVWAPRequestV1(
                aggregate='1s',
                instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
                    exchange = "binc",
                    instrument_class = "spot",
                    code = "eth-usdt"
                )
            ))
            for response in responses:
                # for debug purpose only, don't use MessageToJson in the reading loop in production
                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)
    vwap_request(channel)

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

cURL

BigQuery

Other examples

Response Example

"aggregate": "1s",
  "class": "spot",
  "code": "eth-usdt",
  "exchange": "binc",
  "price": 2591.3221372276307,
  "tsEvent": "2024-08-09T13:47:20.689338450Z",
  "uid": "2024-08-09T13:47:19Z",
  "sequenceId": ""