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.
The difference between the best ask and the best bid, derived from order book snapshots.
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.