Cryptocurrency Order Books

The most granular liquidity data in the industry optimized for quantitative analysis

Data Dictionary - API Documentation - Stream Documentation - Instrument Explorer

Historical and Live Order Books

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Order Book Snapshots

Taken twice per minute comprising all bids and asks placed within 10% of the mid price. 

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Tick-Level Order Books

Tick-level updates of all added, changed, and removed bids and asks on an order book. 

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Top of Book

Tick-level updates of the best bid and best ask on an order book (quotes). 

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Bid-Ask Spread

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

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Price Slippage

Simulated slippage for custom order sizes, calculated using raw snapshots.

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Aggregated Market Depth

The cumulative quantity of bids and asks at different % ranges from the mid price.

Comprehensive Exchange Coverage 

100+ Cryptocurrency Exchanges

100,000+ Traded Instruments

Versatile Data Delivery Channels

CSV Files

Available data:
Order book snapshots

Full history since 2014.

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REST API

Available data:  
Snapshots, spread, slippage, and depth

Real-time and 1 month rolling history.

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Kaiko Stream

Available data:  
Tick-level order books and top of book

Live and 5 weeks rolling history.

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Optimized for Deep Liquidity Analysis

✓ 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.

Get Started With Kaiko Today

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.

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