The most granular liquidity data in the industry optimized for quantitative analysis
Data Dictionary - API Documentation - Stream Documentation - Instrument Explorer
Taken twice per minute comprising all bids and asks placed within 10% of the mid price.
Tick-level updates of all added, changed, and removed bids and asks on an order book.
Tick-level updates of the best bid and best ask on an order book (quotes).
The difference between the best ask and the best bid, derived from order book snapshots.
Simulated slippage for custom order sizes, calculated using raw snapshots.
The cumulative quantity of bids and asks at different % ranges from the mid price.
Available data:
Snapshots, spread, slippage, and depth
Real-time and 1 month rolling history.
Available data:
Tick-level order books and top of book
Live and 5 weeks rolling history.
✓ Reconstruct the state of thousands of markets with historical order book data with history since 2014.
✓ Identify market-making opportunities with live streaming order book feeds.
✓ Simulate price slippage with our automatic price slippage calculator for custom order sizes.
✓ Alpha-generating data streams for quant funds, data scientists, researchers, hedge funds, and market makers.
✓ Replay historical market states through Kaiko Stream's 5-week rolling history.
✓ Study historical trends with our average depth, slippage, spread data at granularities ranging from 1 minute to 1 day.
We can set up a trial of our full data services or provide a custom price quote if you let us know about your data requirements.
