Code Examples and Case Studies

Client Case Studies

Aggregated Quotes for OTC Traders

How Kaiko’s Aggregated Quotes provide unambiguous and independent quotes for OTC dealers, market makers, and liquidity takers to assess whether they submit or receive a fair price. 

Implied Volatility for Crypto Assets

One of the best ways to forecast risk in financial markets is by studying the implied volatility of an option. Implied volatility is a forward-looking measure of the expected volatility of an asset over a specified time period, derived from the market price of the option contract.  This case study explores the background, methodology, and use case for Kaiko's implied volatility data.

Cryptocurrency Value at Risk (VaR)

Kaiko’s new VaR estimator is one of the first risk management tools designed for cryptocurrencies, leveraging a proprietary and thoroughly backtested methodology that accounts for the idiosyncrasies of crypto market structure. In this article, we will review the background, methodology, and use cases for VaR, showing how cryptocurrency portfolio managers can better manage risk.

Cryptocurrency Portfolio Valuation 

This case study will explore how investors can use Kaiko's valuation service to build and track custom portfolios for any combination of crypto asset.

Python Code Examples

Python Tutorial: Explore and Visualize Crypto Order Book Snapshots with Kaiko’s API

We will explore how to access order book snapshots through Kaiko’s REST API and visualize an individual snapshot using Python. Kaiko provides level 2 order book snapshots, aggregated by price level, for 85,000+ currency pairs across 85+ exchanges. We take two order book snapshots per minute for all traded instruments, capturing all bids and asks placed within 10% of the mid price. This tutorial will show how to access this data using our API.

Python Tutorial: Explore Liquidity Measures with Kaiko’s API

In this tutorial, we will explore how to access and visualize Kaiko’s order book aggregations. Kaiko provides three derivations of raw snapshot data: market depth, slippage, and spreads. All three measures can be used to measure liquidity on crypto exchanges. This tutorial will demonstrate how to pull this data from Kaiko’s REST API, format it, and create visualizations.