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Order Book Data.

The most comprehensive and granular liquidity data in the industry, covering 100+ spot and derivatives exchanges.


Deep Liquidity Insights

Kaiko’s cryptocurrency order book data enables traders and researchers to gain an in-depth understanding of an asset’s market structure.

Browse Coverage

  • Global Coverage
    Order book data for 250k+ spot, futures and options markets.

  • L1 and L2 Updates
    Highly-granular snapshots and tick-level feeds.

  • Historical and Live
    The most complete historical data and real-time feeds.

  • Versatile Data Delivery
    Daily CSV File Export, API access, or real-time streaming.

Kaiko’s Order Book Data Products

Raw Data

  • Order Book Snapshots

    Taken twice per minute, including all bids and asks within 10% of the best bid and ask.


    • CSV Files: history since 2014
    • REST API: 1 month rolling history

  • Tick-Level Updates

    All added, changed, and removed bids and asks on an order book.


    • CSV Files: history since August 2023
    • Stream: live and 72h rolling history

  • Top-of-Book

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


    • CSV Files: history since August 2023
    • Stream: live and 72h rolling history
Derived Data

  • Bid-Ask Spread

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


    • REST API: 1 month rolling history

  • Market Depth

    The quantity of bids and asks on an order book, at intervals ranging from .1% to 10%.


    • REST API: 1 month rolling history

  • Price Slippage

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


    • REST API: 1 month rolling history
Aggregated Data

  • Aggregated Quotes

    Compliant price quotes for crypto assets, aggregated across trusted exchanges. 


    • Best bid and ask from a rigorous selection of exchanges
    • Updated every 1 second
    • Available via Kaiko Stream
    Download Methodology

  • Asset Metrics

    Market depth for an asset, aggregated across all exchanges.


    • Normalized into USD
    • All instruments on all exchanges
    • History since 2021 via REST API
    Learn More

Powerful Real-Time Feeds

Low-latency L1 and L2 streaming data

Developer-friendly SDK for seamless integrations

Snapshots at every connection, with tick-level updates
View Documentation

Trusted Data for Crypto Strategies

  • Trading

    Build quantitative strategies with highly-granular data

  • Research

    Monitor markets and derive deep liquidity insights

  • Fair Market Pricing

    Best execution prices for brokers and OTC desks

  • DeFi and Oracles

    Measure off-chain liquidity and monitor liquidations

Key Features

We offer demos, trials and data samples for all data types.

  • Order Book Snapshots

    Details:

    All bids and asks on an instrument’s order book within 10% of the best bid and ask at the time of the snapshot, captured twice per minute

    Includes price and amount

    Granularity:

    Twice per minute

    Instrument-level

    Availability:

    Full history since 2014 and real-time.

    Data Distribution:

    CSV, REST

    Documentation:

    REST Docs

  • Tick-Level Order Book Data

    Details:

    All added, changed, and removed bids and asks on an order book

    Includes full snapshot at connection, and then all subsequent L2 updates.

    Granularity:

    Tick-level

    Instrument-level

    Availability:

    Real-time streaming with 3 days rolling history

    CSV files with history since August 2023

    Distribution:

    Stream, CSV File Export

    Documentation:

    Stream Docs

  • Top-of-Book

    Details:

    Tick-level updates of the best bid and ask

    Granularity:

    Tick-level

    Instrument-level

    Availability:

    Real-time streaming with 3 days rolling history

    CSV files with history since August 2023

    Distribution:

    Stream, CSV File Export

    Documentation:

    Stream Docs

  • Bid-Ask Spread

    Details:

    Difference between the best bid and ask for an instrument

    Either at snapshot frequency or averaged over time intervals

    Granularity:

    snapshot, 1m – 1d

    Instrument-level

    Availability:

    Rolling one month history

    Distribution:

    REST API

    Documentation:

    REST Docs

  • Market Depth

    Details:

    The total quantity of bids and asks for an order book at various % from the best bid and ask.

    Available ranges: from .1% to 10%

    Either at snapshot frequency or averaged over time intervals

    Granularity:

    snapshot, 1m – 1d

    Instrument-level

    Availability:

    One month rolling history

    Distribution:

    REST API

    Documentation:

    REST Docs

  • Price Slippage

    Details:

    Our price slippage calculator takes a market order size as input, and computes the slippage using raw order book snapshots

    For example, a $50k market order on Coinbase’s BTC-USD order book would return % values for bid slippage and ask slippage

    Either at snapshot frequency or averaged over time intervals

    Granularity:

    Snapshot, 1m – 1d

    Instrument-level

    Availability:

    One month rolling history

    Distribution:

    REST API

    Documentation:

    REST Docs

  • Aggregated Quotes

    Details:

    Top-of-book average price updates for crypto assets, aggregated across a rigorous selection of exchanges.

    Data includes the best bid, best ask, and quantity of orders across the selection of exchanges.

    US GAAP and EU AIFMD compliant Securities Pricing Service

    Methodology:

    Our vetting methodology leverages Kaiko’s Exchange Ranking. The aggregation and averaging of order book data uses a sophisticated outlier-management formula, which can be downloaded here.

    Granularity:

    1s

    Pair-level

    Availability:

    Real-time streaming

    Distribution:

    Kaiko Stream

    Documentation:

    Methodology

    Stream Docs

  • Asset Metrics

    Details:

    Market depth for an asset aggregated across all instruments and exchanges. This data product also includes trade volume and token holdings for the asset.

    Ex: BTC depth takes the sum of depth for all BTC-USD, BTC-USDT, BTC-ETH, etc. instruments trading on all exchanges.

    Denominated in USD or native units. Depth can be broken down into constituent exchanges.

    Granularity:

    1h – 1d

    Asset-level

    Availability:

    History since 2021 for market depth. Trade data includes history since 2010.

    Distribution:

    REST API

    Documentation:

    REST Docs

Ready to Get Started?

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