VAR Estimator

What is this endpoint for?

The Daily Value at Risk (VaR) estimator endpoints helps you calculate values for single and multi-asset portfolios. Computed by a proprietary and thoroughly backtested methodology that accounts for the idiosyncrasies of crypto market structure.

Endpoint

https://us.market-api.kaiko.io/v2/data/analytics.v2/value_at_risk

Parameters

Parameter	Required	Description
bases	Yes	List of portfolio base components. Min: 1 Max: 5 See Instruments Total must match quantities below. The order of bases and their respective quantities must match in the request.
quote	Yes	The fiat currency.
quantities	Yes	Quantities list of base asset in the portfolio. Must match the number of bases. The order of quantities and their respective bases must match in the request.
risk_level	Yes	The Value at Risk confidence level. Min: 0.90 (included) Max: 1 (excluded)
start_time	Yes	First fixing of the calculation in ISO 8601 (inclusive).
end_time	Yes	Last fixing of the calculation in ISO 8601 (inclusive).
exchanges	Yes	List of exchanges to source data from. See Exchanges
sources	No	boolean. If true, returns all pair prices which were used to compute the Value at Risk. Default: false
data_version	Yes	The data version. (v1, v2 ... or latest)

Fields

Parameter	Description
var_time	The time at which the VaR is computed.
value_at_risk	Composed of two fields: value and risk_level (the Value at Risk estimator at the specified risk_level.)
additional_vars	List of additional VaRs for standard risk levels.
pair	The constituent pair. (showing only when sources is set to be true)
ref_price	The reference price per asset. (showing only when sources is set to be true)
date	The date of the reference price. (showing only when sources is set to be true)

Request example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/analytics.v2/value_at_risk?bases=eth,btc,ltc&exchanges=krkn,bfnx,cbse&quantities=3,2,5&quote=usd&risk_level=0.95&start_time=2021-12-01T00:00:00.000Z&end_time=2022-01-31T00:00:00.000Z&sources=true'

Response example

JSON

{"query": {
        "bases": "eth,btc,ltc",
        "quote": "usd",
        "quantities": "3,2,5",
        "exchanges": "krkn,bfnx,cbse",
        "risk_level": "0.95",
        "sources": true,
        "data_version": "v2",
        "commodity": "analytics",
        "request_time": "2023-12-04T14:14:34.900Z"
    },
    "time": "2023-12-04T14:15:04.006Z",
    "timestamp": 1701699304006,
    "data": [
        {
            "var_time": 1638316800000,
            "value_at_risk": {
                "value": 7648.7047074783195,
                "risk_level": 0.95
            },
            "additional_vars": [
                {
                    "value": 5216.766810005925,
                    "risk_level": 0.9
                },
                {
                    "value": 7648.7047074783195,
                    "risk_level": 0.95
                },
                {
                    "value": 10695.15881312369,
                    "risk_level": 0.975
                },
                {
                    "value": 11521.662805074642,
                    "risk_level": 0.99
                }
            ]
        },
        {
            "var_time": 1638403200000,
            "value_at_risk": {
                "value": 7608.531141127444,
                "risk_level": 0.95
            },
            "additional_vars": [
                {
                    "value": 5172.594890449372,
                    "risk_level": 0.9
                },
                /*...*/ 
            ]
        },,
    /*...*/ 
    ]
 "sources": {
        "prices": [
            {
                "pair": "btc-usd",
                "prices": [
                    {
                        "ref_price": 19654.5436737572,
                        "date": {
                            "seconds": 1606780800
                        }
                    },
                    /*...*/ 
                ]
            },
            {
                "pair": "eth-usd",
                "prices": [
                    {
                        "ref_price": 614.7309583666058,
                        "date": {
                            "seconds": 1606780800
                        }
                    },
                    /*...*/ 
                ]
            },
            /*...*/ 
        ]
    }
  "quantities": [3, 2, 5],
  "start_date": {"seconds": 1638316800},
  "end_date": {"seconds": 1643587200},
  "risk_level": 0.95,
  "additional_risk_levels": [0.9, 0.95, 0.975, 0.99],
  "decay": 30,
  "bases": ["eth", "btc", "ltc"]}