Kaiko Rates

Single asset cryptocurrency price rates for financial professionals

A complete suite of clean prices

Designed to bring greater transparency to pricing, these are rules-based and independent rates established from executed trades from centralised exchanges.

Each Price Rate is calculated in real-time as well as end of day with the following fixing time: 4pm London, 4pm NY, 4pm Singapore.

Exchanges due diligence

All centralized exchanges are assessed and only the most trustworthy are considered to compose the curated list of exchanges

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Liquidity optimization

From a curated list of exchanges, an optimization process selects the most relevant exchanges whose combination provides the highest liquidity

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Robust Aggregation Method

A Volume-Weighted median combined with a TWAP reflect fair prices derived from relevant transactions coming from the selected exchanges

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Quarterly reviewed

Every quarter, the composition of each rate is reviewed to ensure these rates are aligned with current market conditions.

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Exchange due diligence

Trades data sources assessment

Before any rates computation is operated, Kaiko applies an exchange vetting mechanism differing for each type of rates. The vetting relies on Kaiko's extensive exchange due diligence, the basis for Kaiko Exchange Ranking.

For an exchange to be considered in the calculation of a rate, it needs to fulfil all the following requirements:

Price Rate

Basic Vetting

  • Not be on a sanction list

Standard Rate

Soft Vetting

  • Not be on a sanction list
  • KYC/AML controls
  • Maintain trading policies
  • Offer API & Websocket
  • Offer live & historical data
  • In a stable and open country

Reference Rate

Full Vetting

  • Not be on a sanction list
  • Strong KYC/AML controls
  • Maintain trading policies
  • Offer API & Websocket
  • Offer live & historical data
  • In a stable and open country
  • Regulated by an independent government body

For an asset to be eligible for any type of rates, the methodology requires minimum number of exchanges trading the relevant pair and passing all vetting criteria:

Minimum one basic vetted exchange

Minimum two soft vetted exchanges

Minimum three full vetted exchanges

Liquidity optimization

Focusing on coverage rather than absolute volume

If more than five exchanges pass the preliminary vetting and trade the relevant pair, a liquidity optimization process takes place in order to select the best combination of five. It is defined as the combination generating the fewest occurrences of empty publications (zero-volume buckets) for the relevant pair. By doing so, Kaiko's rates mitigate the risk of having time periods without any trades data feeding into it.

Calculation methodology

Outlier resistant

The considered time window is split into equal time partitions. All trades from selected exchanges are pooled together and a volume weighted median is picked for every partition. The final rate is calculated as a time-weighted average of all median prices. This highly mitigates the risk of incorporating outliers into the calculation.

Example with 4pm fixing on BTC USD.

List of Rates

Documentation

Kaiko Digital Asset Rates Rulebook

Covers the different steps involved in the construction of the Kaiko Digital Asset Rates

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Kaiko Exchange Ranking Rulebook

Covers the various criteria used in the Kaiko Exchange Ranking

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Get started with Kaiko today

Let us know about your data requirements so we can set up a free trial of our data services or provide a custom price quote.

With Kaiko, you can:

  • Get access to 100+ exchanges and 10+ years of historical market data
  • Choose the delivery channels designed for your data needs
  • Benefit from integration assistance and priority support