Price Slippage

You can also get Price Slippage from the Full Aggregationendpoint.

What is this endpoint for?

This endpoint returns the average price slippage for the requested period. Read more about how the aggregation period works here: Order Book Aggregations.

Endpoint

https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/{exchange}/{instrument_class}/{instrument}/ob_aggregations/slippage

Parameters

ParameterRequiredDescription

exchange

Yes

Exchange code. See Exchanges

instrument_class

Yes

Instrument class. See Instruments

instrument

Yes

Instrument code. See Instruments

continuation_token

No

end_time

No

Ending time in ISO 8601 (exclusive). Automatically included in continuation tokens.

interval

No

The interval parameter is suffixed with s, m, h or d to specify seconds, minutes, hours or days, respectively. Any arbitrary value between one second and one day can be used, as long as it sums up to a maximum of 1 day. The suffixes are s (second), m (minute), h (hour) and d (day). Default 1h.

page_size

No

Number of snapshots to return data for. (default: 10, max: 100). See Pagination Automatically included in continuation tokens.

sort

No

Return the data in ascending asc or descending desc order. Default desc Automatically included in continuation tokens.

start_time

No

Starting time in ISO 8601 (inclusive). Automatically included in continuation tokens.

slippage

No

Order size (in quote asset) for which to calculate the percentage of slippage. Default: 0. When null is returned, not enough volume is present on the order book to execute the order.

slippage_ref

No

Price point for which to calculate slippage from. Either from the mid price (mid_price) or from the best bid/ask (best). Default: mid_price.

Fields

FieldDescription

poll_timestamp

The timestamp at which the interval begins.

ask_slippage

The average percentage of price slippage for a market buy order over a specified interval.

bid_slippage

The average percentage of price slippage for a market sell order over a specified interval.

Request example

 'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/ob_aggregations/slippage?page_size=10&slippage=100000&interval=1h'

Response example

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "interval": "1h",
        "slippage": 100000,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "aggregation": "slippage",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T15:07:06.840Z"
    },
    "time": "2020-05-26T15:07:07.260Z",
    "timestamp": 1590505627260,
    "data": [
        {
            "poll_timestamp": 1590505200000,
            "ask_slippage": "0.00012513598764468878",
            "bid_slippage": "0.0003678539692963374"
        },
        {
            "poll_timestamp": 1590501600000,
            "ask_slippage": "0.00030969034268815156",
            "bid_slippage": "0.00024353107110561094"
        },
      /* ... */
    ],
    "result": "success",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}

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