Market Depth

You can also get Market Depth from the Full Snapshot endpoint.

What is this endpoint for?

This endpoint uses our Bids and Asks as source data and enhances its raw data with the Market Depth metric.

Market Depth provides insight into the "depth" of an exchange's order book by aggregating the volume of bids and asks within 0-10% of the best bid or ask, respectively. A higher volume of bids and asks at each level implies more liquidity.

We are unable to collect the full 10% snapshot from all exchanges we cover. Thus, for some exchanges, 'Market Depth' does not accurately portray the exchange's order book volume.

Endpoint

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

Parameters

Parameter	Required	Description
exchange	Yes	Exchange code. See Exchanges
instrument_class	Yes	Instrument class. See Instruments
instrument	Yes	Instrument code. See Instruments
continuation_token	No	See Pagination
start_time	No	Starting time in ISO 8601 (inclusive). Automatically included in continuation tokens.
end_time	No	Ending time in ISO 8601 (exclusive). Automatically included in continuation tokens.
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.

Fields

Field	Description
poll_timestamp	The timestamp at which the raw data snapshot was taken.
poll_date	The date at which the raw data snapshot was taken.
timestamp	The timestamp provided by the exchange. null when not provided.
bid_volume_x	The volume of bids placed within 0 and x% of the best bid. This is what we call "Market Depth".
ask_volume_x	The volume of asks placed within 0 and x% of the best ask. This is what we call "Market Depth"

Request example

curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
  'https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/krkn/spot/btc-usd/snapshots/depth?page_size=10'

Response example

JSON

{
    "query": {
        "page_size": 10,
        "exchange": "krkn",
        "instrument_class": "spot",
        "instrument": "btc-usd",
        "slippage": 0,
        "limit_orders": 0,
        "slippage_ref": "mid_price",
        "sort": "desc",
        "metric": "depth",
        "data_version": "v1",
        "commodity": "order_book_snapshots",
        "request_time": "2020-05-26T14:29:44.757Z"
    },
    "time": "2020-05-26T14:29:44.816Z",
    "timestamp": 1590503384816,
    "data": [
        {
            "poll_timestamp": 1590503344916,
            "poll_date": "2020-05-26T14:29:04.916Z",
            "timestamp": null,
            "bid_volume0_1": "37.606",
            "bid_volume0_2": "102.304",
            "bid_volume0_3": "141.907",
            "bid_volume0_4": "177.446",
            "bid_volume0_5": "203.634",
            "bid_volume0_6": "218.450",
            "bid_volume0_7": "283.128",
            "bid_volume0_8": "293.533",
            "bid_volume0_9": "321.986",
            "bid_volume1": "348.213",
            "bid_volume1_5": "405.080",
            "bid_volume2": "444.782",
            "bid_volume4": "837.949",
            "bid_volume6": "1110.065",
            "bid_volume8": "1110.065",
            "bid_volume10": "1110.065",
            "ask_volume0_1": "7.401",
            "ask_volume0_2": "13.744",
            "ask_volume0_3": "58.917",
            "ask_volume0_4": "131.104",
            "ask_volume0_5": "165.971",
            "ask_volume0_6": "193.786",
            "ask_volume0_7": "257.001",
            "ask_volume0_8": "286.384",
            "ask_volume0_9": "312.040",
            "ask_volume1": "319.040",
            "ask_volume1_5": "382.927",
            "ask_volume2": "475.467",
            "ask_volume4": "909.144",
            "ask_volume6": "1229.664",
            "ask_volume8": "1323.505",
            "ask_volume10": "1323.505"
        },
      /* ... */
],
    "result": "success",
    "continuation_token": "Z8FjYwcAjf7MZEG382e5MpmZx7wkuziQTyy2k5fVgSrcF8jAYqUpRgPH5cbQ9MhJiFaxGRbwiERMp3cWhXJshy",
    "next_url": "https://us.market-api.kaiko.io/v2/data/order_book_snapshots.v1/exchanges/cbse/spot/btc-usd/snapshots/depth?continuation_token=Z8FjYwcAjf7MZEG382e5MpmZx7wkuziQTyy2k5fVgSrcF8jAYqUpRgPH5cbQ9MhJiFaxGRbwiERMp3cWhXJshy",
    "access": {
        "access_range": {
            "start_timestamp": null,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}