Kaiko Acquires Amberdata in Landmark Digital Asset Data Consolidation.
Kaiko Best Execution Methodology.
Best Execution Methodology
Kaiko’s Best Execution Pricing solution provides real-time streaming Level 1 data, including a reference Best Bid and Best Ask based on top-of-book prices from a selected set of exchanges. This addresses cryptocurrency market fragmentation by offering a fair, transparent quote for investors.
The methodology calculates an aggregated Best Bid and Best Ask using a volume-weighted average price approach. Over a 10-second rolling period, Kaiko captures top-of-book data for each selected exchange and calculates an average mid price. The nearest bid and ask prices to that mid price become the exchange level’s best bid and best ask.
Kaiko then applies a volume-weighted average price across all exchanges to produce the final aggregated Best Bid and aggregated Best Ask. Aggregated volumes are also calculated as the sum of bid volumes and ask volumes across exchanges.
Exchange selection follows the Kaiko Exchange Ranking Framework, typically using the top 10 exchanges. A robust outlier management layer excludes invalid data points. Updates are sent every second, supporting use cases including liquidity risk management, pricing, and compliant reporting.