Best bids and asks (top of book)

What is this endpoint for?

Top-of-Book is also known as best bids and asks. It offers the best bid and best asks on an order book, provided in real-time.

Endpoints

gateway-v0-grpc.kaiko.ovh

Request parameters

Parameter

Description

Examples

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

algo-btc

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

amount

When BEST-BID: The quantity of the base asset that the buyer is willing to purchase
When BEST-ASK: The quantity of the base asset the seller has available for sale

class

Instrument class, empty when not mapped.

code

Instrument code, empty when not mapped.

exchange

Instrument exchange code.

sequenceId

Sequence ID for event. Sortable in lexicographic order.

price

When BEST-BID: The price per unit of the base that the buyer is willing to pay in the quote asset, represented as a scientific notation

Example: algo-btc

base asset = algo
quote asset = btc price: 1.96e-06

For each unit of Algo, the buyer is willing to pay 1.96e-06 BTC, equal to 0.00000196 when converted to a decimal number

When BEST-ASK: The price per unit of the base that the seller is willing to accept in the quote asset, represented as a scientific notation

Example: algo-btc

base asset = algo
quote asset = btc price: 1.97e-06

For each unit of Algo, the buyer is willing to accept 1.97e-06 BTC, equal to 0.00000197 when converted to a decimal number

tsExchange

The timestamp provided by the exchange for the data. Where exchanges do not provide this data, we fill this with tsCollection. This applies to the following exchanges:

Bitfinex (bfnx) perpetual-future & spot
Binance US (bnus) spot
Bitvavo (bvav) spot

tsCollection

The timestamp for when Kaiko received the data from the exchange.

tsEvent

The timestamp the data became available in the Kaiko system.

updateType

BEST_BID - The current best bid BEST_ASK - The current best ask

additionalProperties

N/A. Always null

id

N/A. Always null

Request examples

# 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.market_update_v1 import request_pb2 as pb_market_update
from kaikosdk.stream.market_update_v1 import commodity_pb2 as pb_commodity

def market_update_request(channel: grpc.Channel):
    try:
        with channel:
            stub = sdk_pb2_grpc.StreamMarketUpdateServiceV1Stub(channel)
            # Globbing patterns are also supported on all fields. See http://sdk.kaiko.com/#instrument-selection for all supported patterns
            responses = stub.Subscribe(pb_market_update.StreamMarketUpdateRequestV1(
                instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
                    exchange = "cbse",
                    instrument_class = "spot",
                    code = "*"
                ),
                commodities=[pb_commodity.SMUC_TOP_OF_BOOK]
            ))
            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)
    market_update_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 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.market_update_v1 import request_pb2 as pb_market_update
from kaikosdk.stream.market_update_v1 import commodity_pb2 as pb_commodity

def market_update_request(channel: grpc.Channel):
    try:
        # start of date configuration #
        start = Timestamp()
        start.FromDatetime(datetime.utcnow() - timedelta(days=2))
        end = Timestamp()
        end.FromDatetime(datetime.utcnow() - timedelta(days=1))
        # end of date configuration #
        
        stub = sdk_pb2_grpc.StreamMarketUpdateServiceV1Stub(channel)
        # Globbing patterns are also supported on all fields. See http://sdk.kaiko.com/#instrument-selection for all supported patterns
        responses = stub.Subscribe(pb_market_update.StreamMarketUpdateRequestV1(
            instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
                exchange = "cbse",
                instrument_class = "spot",
                code = "*"
            ),
                commodities=[pb_commodity.SMUC_TOP_OF_BOOK],
                interval={
                    'start_time': start,
                    'end_time': end
                }
            ))
        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)
    market_update_request(channel)

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/market_update_v1" -H "accept: application/json" -H "X-Api-Key: $KAIKO_API_KEY" -H "Content-Type: application/json" -d "{ \"instrumentCriteria\": {  \"exchange\": \"cbse\",  \"instrumentClass\": \"spot",  \"code\": \"btx-usd\" }, \"commodities\": [\"SMUC_TOP_OF_BOOK\"]}"

Response Example

{
  "commodity": "SMUC_TOP_OF_BOOK",
  "amount": 6.835e-05,
  "class": "spot",
  "code": "btc-usd",
  "exchange": "cbse",
  "sequenceId": "cqr9icumv1b0afe4cg50",
  "price": 60763.73,
  "tsExchange": {
    "value": "2024-08-09T22:33:23.902971Z"
  },
  "tsCollection": {
    "value": "2024-08-09T22:33:23.916224545Z"
  },
  "tsEvent": "2024-08-09T22:33:23.978211823Z",
  "updateType": "BEST_BID",
  "id": "",
  "additionalProperties": {}
}

PreviousAll trades NextLevel 2 Tick-Level

Last updated 3 months ago

Was this helpful?

# 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.market_update_v1 import request_pb2 as pb_market_update from kaikosdk.stream.market_update_v1 import commodity_pb2 as pb_commodity def market_update_request(channel: grpc.Channel): try: # start of date configuration # start = Timestamp() start.FromDatetime(datetime.utcnow() - timedelta(days=2)) end = Timestamp() end.FromDatetime(datetime.utcnow() - timedelta(days=1)) # end of date configuration # stub = sdk_pb2_grpc.StreamMarketUpdateServiceV1Stub(channel) # Globbing patterns are also supported on all fields. See http://sdk.kaiko.com/#instrument-selection for all supported patterns responses = stub.Subscribe(pb_market_update.StreamMarketUpdateRequestV1( instrument_criteria = instrument_criteria_pb2.InstrumentCriteria( exchange = "cbse", instrument_class = "spot", code = "*" ), commodities=[pb_commodity.SMUC_TOP_OF_BOOK], interval={ 'start_time': start, 'end_time': end } )) 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) market_update_request(channel) if __name__ == '__main__': logging.basicConfig() run()

Good night