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.
When you subscribe, you'll initially receive a full snapshot within a few seconds, followed by all subsequent tick-level updates. If you receive another full snapshot, replace your local snapshot with the new one. This should happen infrequently and only occurs if we detect a consistency issue, such as a lost connection to the exchange or the exchange being down for some time.
If you receive an update with an amount of 0, you should remove the corresponding price level from your local order book. You'll occasionally receive a 0 message for a price level that doesn't exist in your local order book - this can be safely ignored and is due to various exchange limitations.
The order book should not be considered valid until all updates with the same tsExchange have been applied to your local order book, meaning all potential messages from the same update batch have been processed.
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
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
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 : 42656.0price: 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 : 80569.0price: 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
import grpc
from google.protobuf.timestamp_pb2 import Timestamp
from google.protobuf.json_format import MessageToJson
from kaikosdk import sdk_pb2_grpc
from kaikosdk.core import instrument_criteria_pb2
from kaikosdk.stream.orderbookl2_v1 import request_pb2 as pb_orderbookl2
def orderbookl2_v1_request(channel: grpc.Channel):
try:
with channel:
stub = sdk_pb2_grpc.StreamOrderbookL2ServiceV1Stub(channel)
responses = stub.Subscribe(
pb_orderbookl2.StreamOrderBookL2RequestV1(
instrument_criteria=instrument_criteria_pb2.InstrumentCriteria(
exchange="cbse", instrument_class="spot", code="*"
),
)
)
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)
orderbookl2_v1_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, timezone
import logging
import os
import grpc
from google.protobuf.timestamp_pb2 import Timestamp
from google.protobuf.json_format import MessageToJson
from kaikosdk import sdk_pb2_grpc
from kaikosdk.core import instrument_criteria_pb2
from kaikosdk.stream.orderbookl2_v1 import request_pb2 as pb_orderbookl2
def orderbookl2replay_v1_request(channel: grpc.Channel):
try:
with channel:
# start of date configuration #
start = Timestamp()
start.FromDatetime(datetime.now(timezone.utc) - timedelta(days=2))
end = Timestamp()
end.FromDatetime(datetime.now(timezone.utc) - timedelta(days=1))
# end of date configuration #
stub = sdk_pb2_grpc.StreamOrderbookL2ReplayServiceV1Stub(channel)
responses = stub.Subscribe(
pb_orderbookl2.StreamOrderBookL2ReplayRequestV1(
instrument_criteria=instrument_criteria_pb2.InstrumentCriteria(
exchange="cbse", instrument_class="spot", code="*"
),
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)
orderbookl2replay_v1_request(channel)
if __name__ == "__main__":
logging.basicConfig()
run()
cURL requests are intended for testing purposes only.
