Bids and asks

What is this endpoint for?

All bids and asks on an exchange's order book. Use Kaiko Stream for real-time tick-level updates, or CSV for backdated information. When you connect, you first receive a full snapshot of the current order book with every bid and ask, followed by continuous real-time updates for every change ("delta") that takes place.

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

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.

updateType

SNAPSHOT - A new Snapshot of the order book UPDATED- A new batch of bids & asks since the snapshot

asks

Represents sell orders

amount: the quantity of the base asset available for sale

price: 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 amount : 42656.0 price: 1.97e-06

  • The asker has 42656.0 Algo available

  • 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

bids

Represents buy orders.

amount: the quantity of the base asset the buyer is willing to purchase

price: 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 amount : 80569.0 price: 1.96e-06

  • The buyer will purchase up to 80569.0 Algo

  • 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

tsExchange

The timestamp provided by the exchange for the data.

tsCollection

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

tsEvent

The timestamp the data became available in the Kaiko system.

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_FULL_ORDER_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()

Response Example

Received message {"class":"spot",
"code":"bch-eur",
"exchange":"cbse",
"sequenceId":"cu2o2sokocas72q8rkq0",
"updateType":"SNAPSHOT",
"asks":[
  {
    "amount":0.02778327,
    "price":414.07
  },
  {
    "amount":0.4,
    "price":414.08
  }
],
"bids":[
  {
    "amount":0.4,
    "price":413.93
  },
  {
    "amount":0.0277962,
    "price":413.85
  } ],
"tsExchange":{
  "value":"2025-01-13T21:11:15.064Z"
},
"tsCollection":{
  "value":"2025-01-13T21:11:15.064284559Z"
},
"tsEvent":"2025-01-13T21:11:15.260258142Z",
"additionalProperties":{}
}

Received message {"class":"spot",
"code":"bch-eur",
"exchange":"cbse",
"sequenceId":"cu2o2sokocas72q8rla0",
"updateType":"UPDATE",
"asks":[
  {
    "amount":4,
    "price":414.42
  }
  ],
"bids":[],
"tsExchange":{
  "value":"2025-01-13T21:11:15.016291Z"
},
"tsCollection":{
  "value":"2025-01-13T21:11:15.086529551Z"
},
"tsEvent":"2025-01-13T21:11:15.277722255Z",
"additionalProperties":{}
}

Received message {"class":"spot",
"code":"bch-eur",
"exchange":"cbse",
"sequenceId":"cu2o2sokocas72q8t9q0",
"updateType":"UPDATE",
"asks":[],
"bids":[
  {
    "amount":0,
    "price":413.85
  },
  {
    "amount":0.02779016,
    "price":413.94
  }
  ],
"tsExchange":{
  "value":"2025-01-13T21:11:15.235251Z"
  },
"tsCollection":{
  "value":"2025-01-13T21:11:15.248921649Z"
  },
"tsEvent":"2025-01-13T21:11:15.635226002Z",
"additionalProperties":{}
}

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