Derivatives pricing

Derivatives price endpoint.

What is this endpoint for?

This endpoint can be used to get pricing information related to derivatives contracts.

Endpoints

gRPC

gateway-v0-grpc.kaiko.ovh

http

API (testing)

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) . The instrument must be a derivative class. code (String) - The Kaiko code for the instrument. Explore instruments, codes and exchanges in the Instrument Explorer or Reference Data via API.	cbse option algo-btc
commodities	AlwaysSDICK_PRICE	SDICK_PRICE

Configuring a wildcard

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

For example, the configuration below would deliver all perpetual future contracts on OkEX. exchange: okex class: perpetual-future instrument: *

Response fields

Field	Description	Example
value	The value for the commodity (price, 24 hour volume etc) received in the message.	59583.2
legacySymbol	Exchange assigned Instrument identifier	btcusdcperpetual
exchange	Supported Exchanges	binc
commodity	The price of the underlying index, often as a weighted average across multiple exchanges' spot prices	index_price
	The mark price of the contract. It is used for calculating profit and loss (PnL) and liquidation price. Designed to be fair and avoid price manipulation.	mark_price
	Most recent traded price of derivative contract.	price
commodityKind	Always SDICK_PRICE	SDICK_PRICE
tsCollection	The timestamp for when Kaiko received the trade from the exchange.	2024-08-30T10:19:38.044166107Z
tsEvent	The timestamp for the interval.	2024-08-30T10:19:39.206955912Z

Request examples

Python

# 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
from kaikosdk.stream.derivatives_instrument_metrics_v1 import request_pb2 as pb_derivatives_instrument_metrics
from kaikosdk.stream.iv_svi_parameters_v1 import request_pb2 as pb_iv_svi_parameters



def derivatives_instrument_metrics_request(channel: grpc.Channel):
    try:
        with channel:
            stub = sdk_pb2_grpc.StreamDerivativesInstrumentMetricsServiceV1Stub(channel)

            responses = stub.Subscribe(pb_derivatives_instrument_metrics.StreamDerivativesInstrumentMetricsRequestV1(
                instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
                # Start of parameter configuration #
                    exchange = "okex",
                    instrument_class = "perpetual-future",
                    code = "btc-usdt"
                ),
                commodities = [
                "SDICK_PRICE"
            ]
            ))
                # End of parameter configuration #
            for response in responses:
                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)

    derivatives_instrument_metrics_request(channel)

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

``

cURL

BigQuery

Other examples

Response Example

{
  "value": "104741.3",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "index_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-12-18T12:57:14.310736661Z",
  "tsEvent": "2024-12-18T12:57:15.598328558Z"
}
{
  "value": "104780.2",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "mark_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-12-18T12:57:14.293738809Z",
  "tsEvent": "2024-12-18T12:57:15.599742192Z"
}
{
  "value": "104778.6",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-12-18T12:57:14.322458748Z",
  "tsEvent": "2024-12-18T12:57:15.610571665Z"
}