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  1. Data Feeds
  2. Level 1 & Level 2 Data
  3. Level 1 Aggregations

VWAP

What is this endpoint for?

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

Endpoints

gateway-v0-grpc.kaiko.ovh
gateway-v0-http.kaiko.ovh
https://gateway-v0-http.kaiko.ovh/api/stream/aggregates_vwap_v1

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.

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 itโ€™s supported:

exchange: * class: spot instrument: btc-usd

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

# 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


def vwap_request(channel: grpc.Channel):
    try:
        with channel:
            stub = sdk_pb2_grpc.StreamAggregatesVWAPServiceV1Stub(channel)
            responses = stub.Subscribe(pb_vwap.StreamAggregatesVWAPRequestV1(
           
             # start of parameter configuration #
                aggregate='1m',
                instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
                    exchange = "binc",
                    instrument_class = "spot",
                    code = "eth-usdt"
                )
            ))
            # end of parameter configuration #
            for response in responses:
                print("Received message %s" % (MessageToJson(response, including_default_value_fields = True)))
                # print("Received message %s" % list(map(lambda o: o.string_value, response.data.values)))
    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()

This example demonstrates how to request historical data using replay. The maximum amount of data you can request for one replay cannot exceed a total of 24 hours in hours, seconds, and minutes. Replay data is available on a 72-hour rolling basis and should only be used to retrieve missed data. If full history is required, please use Rest API or CSV deployment methods.

# This is a code example. Configure your parameters and dates in each section #

from __future__ import print_function
import logging
import grpc
import os

from google.protobuf.json_format import MessageToJson
from google.protobuf.timestamp_pb2 import Timestamp
import grpc
from google.protobuf.json_format import MessageToJson
from google.protobuf.timestamp_pb2 import Timestamp

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

def vwap_request(channel: grpc.Channel):
    try:
         # start of date configuration #
        start = Timestamp()
        start.FromJsonString('2024-09-25T05:00:00Z')
        end = Timestamp()
        end.FromJsonString('2024-09-26T06:00:00Z')
        # end of date configuration #

        stub = sdk_pb2_grpc.StreamMarketUpdateServiceV1Stub(channel)
        responses = stub.Subscribe(pb_market_update.StreamMarketUpdateRequestV1(
            instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
                     # start of parameter configuration #
                    exchange = "binc",
                    instrument_class = "spot",
                    code = "eth-usdt"),
                     # end of parameter configuration #
            interval={
                'start_time': start,
                'end_time' : end
            }
        ))
        for response in responses:
                print("Received message %s" % (MessageToJson(response, including_default_value_fields = True)))
                # print("Received message %s" % list(map(lambda o: o.string_value, response.data.values)))
    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)

    res = vwap_request(channel)
    print("Response: %s" % res)
    channel.close()

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/aggregates_vwap_v1" -H "accept: application/json" -H "X-Api-Key: $KAIKO_API_KEY" -H "Content-Type: application/json" -d "{ \"instrumentCriteria\": {  \"exchange\": \"binc\",  \"instrumentClass\": \"spot\",  \"code\": \"eth-usdt\" }, \"aggregate\": \"1m\"}"

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": ""
PreviousOHLCVNextLevel 1 Tick-Level

Last updated 2 months ago

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