Order Books

An order book is a list containing all outstanding buy or sell orders for a specific currency pair, organized by price level. An order book identifies the amount of the currency pair being bid or offered at a specific price, known as the market depth. An order to buy is called a ‘bid’ and an order to sell is called an ‘ask’. The exchange’s matching engine pairs up bids and asks, resulting in a trade.

Kaiko provides cryptocurrency order book snapshots at various market depths: 

  • 10% Order Books: orders placed at +/- 10% of the mid-price
  • 1% Order Books: order placed at +/- 1% of the mid-price (available upon request)
  • Full Order Books: all outstanding market orders (available upon request)

    All order books consist of Level 2 data. Our data is categorized in rows by: 

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