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
Fields
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"e=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
{"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"]}
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