The most granular liquidity data in the industry optimized for quantitative analysis
Data Dictionary - API Documentation - Stream Documentation - Instrument Explorer
All bids and asks are placed within 10% of the best bid and best ask, respectively. Snapshots are taken twice per minute.
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.
Aggregated Quotes address the fragmentation of crypto markets by providing a fair quote through a rigorous approach to crypto-instruments price valuation.
Features:
• Real-time streaming: time-stamped reference Best Bid and Best Ask based on real time top of book prices from the Top 10 exchanges featured in Kaiko's Exchange Ranking.
• Proprietary methodology: Aggregated quotes is a US GAAP and EU AIFMD compliant Securities Pricing Service.
Granularity
Update Frequency: 5s
Aggregation Window: 10s
Methodology
Based on the calculation of the Best Bid VWAP and the Best Ask VWAP that are built on the basis of top of book data of selected top 10 exchanges from the Kaiko Exchange ranking, reviewed quarterly.
Learn moreMethodology✓ Reconstruct the state of thousands of markets with historical order book data with history since 2015.
✓ 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.
Available data:
- Snapshots
- Spread
- Slippage
- Depth
Real-time and historical market data available through 15+ enterprise-grade endpoints
Learn MoreAvailable data:
- Tick-level order books*
- Order book snapshots
Delivered daily
Downloadable CSV files available through Amazon Web Services or Google Cloud Platform
Learn MoreAvailable data:
- Tick-level order books*
- Top of book
The most advanced live streaming data distribution service in the cryptocurrency industry
Learn More