Kaiko to provide reference rates for Cboe Digital’s futures settlement

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

Kaiko’s Order Book Data Products
Raw Data
Derived Data
Aggregated Data
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
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:
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:
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:
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:
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:
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:
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:
here.
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 downloadedGranularity:
1s
Pair-level
Availability:
Real-time streaming
Distribution:
Kaiko Stream
Documentation:
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:
