Kaiko Stream SDK v1.0

Scroll down for code samples, example requests and responses. Select a language for code samples from the tabs above or the mobile navigation menu.

At its core, Stream enables our clients to build custom market data feeds through simple and intuitive commands with a light infrastructure cost, by leveraging gRPCS Protocol and its capabilities… This first-of-its-kind data service is designed to connect institutional investors with consolidated cryptocurrency market data feeds that match the infrastructural robustness of traditional financial data products.

Code Examples

Code examples in C++, C#, Go, Java, Node, Python, Scala as well as the API references for each language can be found here

Base URLs:

https://gateway-v0-http.kaiko.ovh (Swagger playground)
https://gateway-v0-grpc.kaiko.ovh (gRPC Production)

ICE

To connect to our services through ICE instead of internet, you need to disable TLS and use the HTTP port 80.

Base URLS:

http://stream-http.ice.kaiko.com (Swagger Playground)
http://stream.ice.kaiko.com (gRPC Production)

Authentication

API Key (ApiKeyAuth)
- Parameter Name: X-Api-Key, in: header.

Instrument Selection

Kaiko’s instruments can be selected and filtered using globbing patterns, constructed from a set of parameters with optional wildcards. A single string can be used to select an arbitrary set of instruments.

Glob Patterns Examples

Assumption: Available Instruments for the subsequent examples:

[
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "btc-usd"
  },
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "eth-usd"
  },
  {
    "exchange": "cbse", "instrument_class": "spot", "instrument": "eth-btc"
  },
  {
    "exchange": "okex", "instrument_class": "future", "instrument": "btc_usd__this_week"
  }
]

btc-usd spot market for krkn exchange: krkn:spot:btc-usd

[
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "btc-usd"
  }
]

The general format for passing a glob pattern is as follows:

pattern = <exchange>:<instrument_class>:<instrument>

Parameter	Description
`exchange`	List¹ of Exchange `code`. See Exchanges Reference Data Endpoint.
`instrument_class`	List¹ of Instrument `class`. See Instruments Reference Data Endpoint.
`instrument`	List¹ of Instrument `code`. See Instruments Reference Data Endpoint.

¹: Lists are comma separated

Wildcard

All spot markets for krkn exchange: krkn:spot:*

[
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "btc-usd"
  },
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "eth-usd"
  }
]

All instruments for krkn that have btc as part of the instrument code: krkn:*:*btc*

[
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "btc-usd"
  }
]

Kaiko Instrument Globbing allows the use of the wildcard *.

It can replace any parameter of the pattern:

<exchange>:<instrument_class>:*
<exchange>:*:<instrument>
*:<instrument_class>:<instrument>

It can also be used inside a parameter:

instrument: btc-* will match all instruments with btc as base asset.

Cartesian Product of Patterns

All krkn and okex instruments that have usd as part of the instrument code: krkn,okex:*:*usd*

[
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "btc-usd"
  },
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "eth-usd"
  },
  {
    "exchange": "okex", "instrument_class": "future", "instrument": "btc_usd__this_week"
  }
]

If the params lists contain more than one element, the resulting pattern will be constructed as a cartesian product of each element of the lists, i.e:

pattern = exchange1,exchange2:instrument_class:instrument1,instrument2

will be equivalent to the union of 4 patterns:

pattern1 = exchange1:instrument_class:instrument1
pattern2 = exchange1:instrument_class:instrument2
pattern3 = exchange2:instrument_class:instrument1
pattern4 = exchange2:instrument_class:instrument2

Union of Patterns

All krkn and cbse instruments that have btc as part of the instrument code plus the krkn:spot:eth-usd instrument: krkn,cbse:*:*btc*+krkn:spot:eth-usd

[
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "btc-usd"
  },
  {
    "exchange": "krkn", "instrument_class": "spot", "instrument": "eth-usd"
  },
  {
    "exchange": "cbse", "instrument_class": "spot", "instrument ": "eth-btc"
  }
]

Multiple patterns can also be combined with the + operator:

pattern = pattern1+pattern2

where:

pattern1 = <exchange1>:<instrument_class1>:<instrument1>
pattern2 = <exchange2>:<instrument_class2>:<instrument2>

Aggregated Quote (v2)

Retrieve ongoing Top Of Book (Ask or Bid) average price updates accross a selection of vetted exchanges, for a given instrument.

Wildcard (*) is not supported, but you can provide a comma separated list of instruments codes (for example: “btc-usd,eth-usd” as code field).

An empty value can be returned when there are no changes on best ask or best bid across exchanges where the requested instrument is listed. This allows checking that the service is working as expected even though no meaningful update is sent.

The update frequency is 1s.

The default price you get is vetted (meaning using only the exchanges that are part of Kaiko Exchange Ranking). If your asset is not covered by this list, you can opt in includeUnvettedPrice request parameter to true to have a second price computed using all exchange covered by Kaiko, whose result will be under the field unvetted of response.

Note that Kaiko Exchange Ranking list is changing from quarter to quarter, so if there an asset that is only covered by 1 exchange and this 1 exchange gets out of Exchange Ranking at some point, the only way to keep having a price is by setting includeUnvettedPrice accordingly as a backup price.

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/aggregated_quote_v2 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"instrumentClass":"string","code":"string","interval":{"startTime":"2019-08-24T14:15:22Z","endTime":"2019-08-24T14:15:22Z"},"includeUnvettedPrice":true}'

POST /api/stream/aggregated_quote_v2

Body parameter

{
  "instrumentClass": "string",
  "code": "string",
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  },
  "includeUnvettedPrice": true
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamAggregatedQuoteRequestV2	true	none

Example responses

200 Response

{
  "result": {
    "aggregate": "string",
    "instrumentClass": "string",
    "code": "string",
    "eventType": "UNKNOWN",
    "tsEvent": "2019-08-24T14:15:22Z",
    "vetted": {
      "price": "string",
      "volume": "string"
    },
    "unvetted": {
      "price": "string",
      "volume": "string"
    }
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamAggregatedQuoteResponseV2

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamAggregatedQuoteResponseV2	false	none	none

Enumerated Values

Property	Value
eventType	UNKNOWN
eventType	BEST_ASK
eventType	BEST_BID

Aggregated Quote (v1)

Retrieve ongoing Top Of Book (Ask or Bid) average price updates accross a selection of exchanges, for a given instrument.

Wildcard (*) is not supported, but you can provide a comma separated list of instruments codes (for example: “btc-usd,eth-usd” as code field).

The update frequency is 5s.

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/aggregated_price_v1 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"instrumentClass":"string","code":"string","interval":{"startTime":"2019-08-24T14:15:22Z","endTime":"2019-08-24T14:15:22Z"}}'

POST /api/stream/aggregated_price_v1

Body parameter

{
  "instrumentClass": "string",
  "code": "string",
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  }
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamAggregatedPriceRequestV1	true	none

Example responses

200 Response

{
  "result": {
    "aggregate": "string",
    "instrumentClass": "string",
    "code": "string",
    "value": {
      "price": "string",
      "volume": "string"
    },
    "eventType": "UNKNOWN",
    "tsEvent": "2019-08-24T14:15:22Z"
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamAggregatedPriceResponseV1

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamAggregatedPriceResponseV1	false	none	none

Enumerated Values

Property	Value
eventType	UNKNOWN
eventType	BEST_ASK
eventType	BEST_BID

OHLCV (Candles)

Retrieve ongoing Open-High-Low-Close-Volume candle updates. Supported intervals are 1s, 1m and 1h.

Event Sending Rate

Please note that an event is not sent for every trades on the feed for a given exchange/instrument. Feed consumers should treat each event update as an absolute representation, indicating the precise values of data aggregation at the time it is sent. Each update represents an accurate aggregation at a specific point in time. This implies that there must be at least one tick between two consecutive events for a given exchange/symbol, though there may be more.

Duplicate Events

For OHLCV/VWAP, duplicate events may be sent due to the way data is aggregated in our centralized datastore. This means that for two consecutive events for a given exchange/code, the first event might contain an aggregated result that includes ticks inserted before we sent an update message. This can result in duplicates for the subsequent update since it has already been accounted for in the aggregation of the first event. It is important to note that this does not indicate inaccurate data, as we consistently provide accurate real-time information. Instead, it represents high trading volume being ingested rapidly, which is actually a positive aspect, as it keeps you up-to-date with the latest developments on the exchanges. In some instances, our updates may even be faster.

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/aggregates_ohlcv_v1 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"instrumentCriteria":{"exchange":"string","instrumentClass":"string","code":"string"},"aggregate":"string"}'

POST /api/stream/aggregates_ohlcv_v1

Body parameter

{
  "instrumentCriteria": {
    "exchange": "string",
    "instrumentClass": "string",
    "code": "string"
  },
  "aggregate": "string"
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamAggregatesOHLCVRequestV1	true	none

Example responses

200 Response

{
  "result": {
    "aggregate": "string",
    "class": "string",
    "close": "string",
    "exchange": "string",
    "high": "string",
    "low": "string",
    "open": "string",
    "sequenceId": "string",
    "code": "string",
    "timestamp": "2019-08-24T14:15:22Z",
    "uid": "string",
    "volume": "string"
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamAggregatesOHLCVResponseV1

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamAggregatesOHLCVResponseV1	false	none	none

Cross Prices

This endpoint returns the price of any asset quoted in a Fiat currency within Open Exchange Rates. The USD price is calculated based on the path of the highest liquidity, with an additional step using forex rates to get the final fiat price. This means that, even though an asset might trade directly against all Open Exchange Rates currencies, the price might still be established by using cross-rates1. In cases where the most liquid path changed over time, this will be taken into account in the calculation of the price for each interval.

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/aggregates_spot_exchange_rate_v1 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"code":"string","aggregate":"string","sources":true}'

POST /api/stream/aggregates_spot_exchange_rate_v1

Body parameter

{
  "code": "string",
  "aggregate": "string",
  "sources": true
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamAggregatesSpotExchangeRateRequestV1	true	none

Example responses

200 Response

{
  "result": {
    "aggregate": "string",
    "code": "string",
    "price": "string",
    "sequenceId": "string",
    "sources": {
      "property1": {
        "data": [
          {
            "exchangeCode": "string",
            "count": "string",
            "price": "string",
            "volume": "string"
          }
        ],
        "price": "string"
      },
      "property2": {
        "data": [
          {
            "exchangeCode": "string",
            "count": "string",
            "price": "string",
            "volume": "string"
          }
        ],
        "price": "string"
      }
    },
    "timestamp": "2019-08-24T14:15:22Z",
    "uid": "string"
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamAggregatesSpotExchangeRateResponseV1

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamAggregatesSpotExchangeRateResponseV1	false	none	none

Asset Prices

This endpoint generates an aggregated price for an asset pair across all exchanges with spot markets for the pair. Only asset combinations which are actively being traded on one of our covered exchanges are being taken into account for the calculation of the price. Unsupported asset combinations will return no data. To return data used as input for the calculation of the aggregated price, set the sources parameter to true. Setting the sources parameter to false (default) will yield a faster response time. By making use of the sort parameter, data can be returned in ascending asc or descending desc order (default).

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/aggregates_direct_exchange_rate_v1 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"code":"string","aggregate":"string","sources":true}'

POST /api/stream/aggregates_direct_exchange_rate_v1

Body parameter

{
  "code": "string",
  "aggregate": "string",
  "sources": true
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamAggregatesDirectExchangeRateRequestV1	true	none

Example responses

200 Response

{
  "result": {
    "aggregate": "string",
    "code": "string",
    "price": "string",
    "sequenceId": "string",
    "sources": [
      {
        "exchangeCode": "string",
        "count": "string",
        "price": "string",
        "volume": "string"
      }
    ],
    "timestamp": "2019-08-24T14:15:22Z",
    "uid": "string"
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamAggregatesDirectExchangeRateResponseV1

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamAggregatesDirectExchangeRateResponseV1	false	none	none

Trades

Retrieve an ongoing stream of tick-by-tick trades for any selection of instruments or exchanges.

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/trades_v1 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"instrumentCriteria":{"exchange":"string","instrumentClass":"string","code":"string"}}'

POST /api/stream/trades_v1

Body parameter

{
  "instrumentCriteria": {
    "exchange": "string",
    "instrumentClass": "string",
    "code": "string"
  }
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamTradesRequestV1	true	none

Example responses

200 Response

{
  "result": {
    "additionalProperties": {
      "property1": "string",
      "property2": "string"
    },
    "amount": 0,
    "class": "string",
    "code": "string",
    "exchange": "string",
    "sequenceId": "string",
    "id": "string",
    "price": 0,
    "side": "UNKNOWN",
    "tsExchange": {
      "value": "2019-08-24T14:15:22Z"
    },
    "tsCollection": {
      "value": "2019-08-24T14:15:22Z"
    },
    "tsEvent": "2019-08-24T14:15:22Z"
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamTradesResponseV1

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamTradesResponseV1	false	none	none

Enumerated Values

Property	Value
side	UNKNOWN
side	BUY
side	SELL

VWAP

Retrieve ongoing Volume Weighted Average Price updates. Supported intervals are 1s, 1m and 1h.

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/aggregates_vwap_v1 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"instrumentCriteria":{"exchange":"string","instrumentClass":"string","code":"string"},"aggregate":"string"}'

POST /api/stream/aggregates_vwap_v1

Body parameter

{
  "instrumentCriteria": {
    "exchange": "string",
    "instrumentClass": "string",
    "code": "string"
  },
  "aggregate": "string"
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamAggregatesVWAPRequestV1	true	none

Example responses

200 Response

{
  "result": {
    "aggregate": "string",
    "class": "string",
    "code": "string",
    "exchange": "string",
    "sequenceId": "string",
    "price": 0,
    "tsEvent": "2019-08-24T14:15:22Z",
    "uid": "string"
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamAggregatesVWAPResponseV1

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamAggregatesVWAPResponseV1	false	none	none

Benchmark Rates

Designed to bring greater transparency to pricing in the crypto currency markets, the Kaiko Rates are aggregated price feeds across platforms based on the vast majority of executed trades on centralized and/or decentralized exchanges.

The Benchmark Rates cover a large spectrum of pairs. It is designed on a simplified vetting scheme combined with a robust aggregation methodology and pre-defined optimization parameters. More information can be found here (https://www.kaiko.com/pages/price-rates)

Fields description

An Benchmark Rate consists in a unique indexCode.

indexCode is the ticker identifying the rate.
commodity is a sub-category giving you access to a specific type of publication: real-time or fixings.
interval is the time period in which transaction data are considered for the calculation of the rate. If a rate has an interval of 15 seconds, startTime and endTime will be separated by 15s.
quote is the quote asset used for the rate denomination.
asset in bases are the base assets included in the rate.
weight is the weight associated with each base (must sum to 1).
exchanges are the exchanges involved in the computation. This list can be adjusted every quarter during the rebalancing period and depending on the new results given by the liquidity and coverage optimization.
percentages are the different distribution levels included in the price computation.
price is the value of the rate in the in the quote denomination.
pairs is the list of pairs combined with additional details included in the computation.
tsEvent is the exact time of price publication.

Multi rates subscription support

You can specify multiple rates at a time by filling indexCode request field with either:

wildcard (*) : means you get all rates associated with your API key
a comma separated list of rates (for example: indexCode1,indexCode2,indexCode3).

Please refer to the list of rates available on our website to access the indexCode associated with your subscription.

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/index_v1 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"indexCode":"string","commodities":["SIC_UNKNOWN"],"interval":{"startTime":"2019-08-24T14:15:22Z","endTime":"2019-08-24T14:15:22Z"}}'

POST /api/stream/index_v1

Body parameter

{
  "indexCode": "string",
  "commodities": [
    "SIC_UNKNOWN"
  ],
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  }
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamIndexServiceRequestV1	true	none

Example responses

200 Response

{
  "result": {
    "indexCode": "string",
    "commodity": "SIC_UNKNOWN",
    "interval": {
      "startTime": "2019-08-24T14:15:22Z",
      "endTime": "2019-08-24T14:15:22Z"
    },
    "quote": "string",
    "bases": [
      {
        "asset": "string",
        "weight": 0
      }
    ],
    "exchanges": [
      "string"
    ],
    "percentages": [
      {
        "percentage": 0,
        "price": 0,
        "pairs": [
          {
            "pair": "string",
            "weight": 0,
            "instruments": [
              {
                "exchange": "string",
                "price": 0,
                "volume": 0,
                "count": "string"
              }
            ]
          }
        ]
      }
    ],
    "tsEvent": "2019-08-24T14:15:22Z"
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamIndexServiceResponseV1

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamIndexServiceResponseV1	false	none	none

Enumerated Values

Property	Value
commodity	SIC_UNKNOWN
commodity	SIC_REAL_TIME
commodity	SIC_DAILY_FIXING

Plain Vanilla Indices

Coming soon (beta product).

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/index_multi_assets_v1 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"indexCode":"string","commodities":["SIC_UNKNOWN"]}'

POST /api/stream/index_multi_assets_v1

Body parameter

{
  "indexCode": "string",
  "commodities": [
    "SIC_UNKNOWN"
  ]
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamIndexMultiAssetsServiceRequestV1	true	none

Example responses

200 Response

{
  "result": {
    "commodity": "SIC_UNKNOWN",
    "indexCode": "string",
    "interval": {
      "startTime": "2019-08-24T14:15:22Z",
      "endTime": "2019-08-24T14:15:22Z"
    },
    "mainQuote": "string",
    "compositions": [
      {
        "underlyingInstrument": "string",
        "base": "string",
        "quote": "string",
        "exchanges": [
          "string"
        ],
        "instrumentInterval": {
          "startTime": "2019-08-24T14:15:22Z",
          "endTime": "2019-08-24T14:15:22Z"
        },
        "currencyConversion": "string"
      }
    ],
    "price": {
      "indexValue": 0,
      "divisor": 0,
      "pairs": [
        {
          "underlyingInstrument": "string",
          "underlyingPrice": 0,
          "weightingFactor": 0,
          "cappingFactor": 0,
          "currencyConversionFactor": 0
        }
      ]
    },
    "tsEvent": "2019-08-24T14:15:22Z"
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamIndexMultiAssetsServiceResponseV1

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamIndexMultiAssetsServiceResponseV1	false	none	none

Enumerated Values

Property	Value
commodity	SIC_UNKNOWN
commodity	SIC_REAL_TIME
commodity	SIC_DAILY_FIXING

Market Update (Trades, Order Books, Best Bids and Asks)

Retrieve an ongoing stream of tick-by-tick trades, tick-level order book updates and top of book data. Data can also be replayed by filling an interval (start time and end time being both mandatory), up to 72 hours of history.

By default, if you don’t specifiy a commodity, you get all kinds of commodites (SMUC_FULL_ORDER_BOOK, SMUC_TRADE, SMUC_TOP_OF_BOOK). If you specifiy one or more commodites, you will get only the ones filled.

High traffic endpoint warning and slow consumer policy

Market update is a stream feed with a lot of data in terms of bandwidth. Due to the high traffic nature of this endpoint, late subscriptions can’t be kept alive indefinitely.

You should always be able to consume the data Kaiko is sending to your subscription in time, otherwise the subscription will be terminated automatically past a certain threshold.

Few common things to check for this assumption to be true:

Your machine should have sufficient bandwidth
No process should block the gRPC reading loop
If using Python SDK particularily, you should make use gRPC Async IO or switch to another SDK language binding. This is due to some limitations in Python SDK.
Check out gRPC performance official best practices guidelines

Ordering of data

Live data

L2 updates (SMUC_FULL_ORDER_BOOK) data is ordered for a given exchange/instrument pair. This means that for 2 concurrent subscriptions, you won’t have the same order of received data globally, but, for example, for a pair cbse:spot:btc-usd you will have the same order across all subscriptions.
Trades and Top Of Book (SMUC_TRADE and SMUC_TOP_OF_BOOK) is not ordered.

Replay data

All data is ordered by timestamp for up to 72 hours of history.

Order Book data processing

When subscribing to SMUC_FULL_ORDER_BOOK, you will first receive a full snapshot (after few seconds) and then all subsequent L2 updates. If you ever receive again a full snapshot, it means you should replace your local snapshot with the one received. This should happen infrequently and occurs when we detect a consistency issue (connection to exchange lost, exchange down for some time, etc.)
When amount is 0 for an update, the price level should be removed from the orderbook. It is normal that sometimes you receive a message to remove a price level which does not exist in the local orderbook. This is due to various exchange limitations (limited snapshot depth in the exchange API for example) and can be safely ignored. For example, as of Python’s protobuf 4.22.0, you can include “including_default_value_fields = True” in your serialization code to see message fields whose value are default values (for example “0” for integers). Please refer to the respective programming language’s webpage to learn how to activative this.
Orderbook should not be considered valid until all updates for the same tsExchange have been applied to your local orderbook (ie. potential messages of the same batch of update from the exchange have all been applied)

SequenceID field

Market update data is coming with a sequenceId field. This allows ordering events by lexicographical order and can be seen as an alphabetical version of tsCollection and tsEvent.

This field is unique for all stream data, and can be used to deduplicate data in the event you need to use replay to recover missed data and check for events already present in your system.

Code samples

curl --request POST \
  --url https://gateway-v0-http.kaiko.ovh/api/stream/market_update_v1 \
  --header 'Accept: application/swagger-ui+json' \
  --header 'Content-Type: application/json' \
  --header 'X-Api-Key: API_KEY' \
  --data '{"instrumentCriteria":{"exchange":"string","instrumentClass":"string","code":"string"},"commodities":["SMUC_UNKNOWN"],"interval":{"startTime":"2019-08-24T14:15:22Z","endTime":"2019-08-24T14:15:22Z"},"snapshotType":"UNKNOWN"}'

POST /api/stream/market_update_v1

Body parameter

{
  "instrumentCriteria": {
    "exchange": "string",
    "instrumentClass": "string",
    "code": "string"
  },
  "commodities": [
    "SMUC_UNKNOWN"
  ],
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  },
  "snapshotType": "UNKNOWN"
}

Parameters

Name	In	Type	Required	Description
body	body	kaikosdkStreamMarketUpdateRequestV1	true	none

Example responses

200 Response

{
  "result": {
    "commodity": "SMUC_UNKNOWN",
    "amount": 0,
    "class": "string",
    "code": "string",
    "exchange": "string",
    "sequenceId": "string",
    "id": "string",
    "price": 0,
    "tsExchange": {
      "value": "2019-08-24T14:15:22Z"
    },
    "tsCollection": {
      "value": "2019-08-24T14:15:22Z"
    },
    "tsEvent": "2019-08-24T14:15:22Z",
    "updateType": "UNKNOWN",
    "snapshot": {
      "asks": [
        {
          "amount": 0,
          "price": 0
        }
      ],
      "bids": [
        {
          "amount": 0,
          "price": 0
        }
      ]
    }
  },
  "error": {
    "code": 0,
    "message": "string",
    "details": [
      {
        "@type": "string",
        "property1": null,
        "property2": null
      }
    ]
  }
}

Responses

Status	Meaning	Description	Schema
200	OK	A successful response.(streaming responses)	Inline
403	Forbidden	Returned when the user does not have permission to access the resource.	Inline
404	Not Found	Returned when the resource does not exist.	string
default	Default	An unexpected error response.	rpcStatus

Response Schema

Status Code 200

Stream result of kaikosdkStreamMarketUpdateResponseV1

Name	Type	Required	Restrictions	Description
» result	kaikosdkStreamMarketUpdateResponseV1	false	none	none

Enumerated Values

Property	Value
commodity	SMUC_UNKNOWN
commodity	SMUC_TRADE
commodity	SMUC_TOP_OF_BOOK
commodity	SMUC_FULL_ORDER_BOOK
updateType	UNKNOWN
updateType	TRADE_BUY
updateType	TRADE_SELL
updateType	TRADE_UNKNOWN
updateType	BEST_ASK
updateType	BEST_BID
updateType	UPDATED_ASK
updateType	UPDATED_BID
updateType	SNAPSHOT
updateType	FORCE_SNAPSHOT

Schemas

SnapshotOrder

{
  "amount": 0,
  "price": 0
}

Order is a amount at a price level.

Properties

Name	Type	Required	Restrictions	Description
amount	number(double)	false	none	Amount / quantity of asset bought or sold, displayed in base currency.
price	number(double)	false	none	Price for quote currency.

StreamMarketUpdateRequestV1OrderbookSnapshotType

"UNKNOWN"

OrderbookSnapshotType

Properties

Name	Type	Required	Restrictions	Description
OrderbookSnapshotType	string	false	none	- UNKNOWN: UNKNOWN means no snapshot is sent. - TEN_PERCENT: TEN_PERCENT is ob10%. - FULL: FULL is full orderbook.

Enumerated Values

Property	Value
OrderbookSnapshotType	UNKNOWN
OrderbookSnapshotType	TEN_PERCENT
OrderbookSnapshotType	FULL

StreamMarketUpdateResponseV1Snapshot

{
  "asks": [
    {
      "amount": 0,
      "price": 0
    }
  ],
  "bids": [
    {
      "amount": 0,
      "price": 0
    }
  ]
}

Snapshot is an orderbook snapshot.

Properties

Name	Type	Required	Restrictions	Description
asks	[SnapshotOrder]	false	none	Asks is the list of asks of the orderbook.
bids	[SnapshotOrder]	false	none	Bids is the list of bids of the orderbook.

StreamMarketUpdateResponseV1StreamMarketUpdateType

"UNKNOWN"

StreamMarketUpdateType is event category for a market update.

UNKNOWN: Unknown type.
TRADE_BUY: TRADE_BUY type.
TRADE_SELL: TRADE_SELL type.
TRADE_UNKNOWN: TRADE_UNKNOWN type.
BEST_ASK: BEST_ASK type.
BEST_BID: BEST_BID type.
UPDATED_ASK: UPDATED_ASK type.
UPDATED_BID: UPDATED_BID type.
SNAPSHOT: SNAPSHOT type.
FORCE_SNAPSHOT: FORCE_SNAPSHOT type. Internal use only.

Properties

Name	Type	Required	Restrictions	Description
anonymous	string	false	none	StreamMarketUpdateType is event category for a market update. - UNKNOWN: Unknown type. - TRADE_BUY: TRADE_BUY type. - TRADE_SELL: TRADE_SELL type. - TRADE_UNKNOWN: TRADE_UNKNOWN type. - BEST_ASK: BEST_ASK type. - BEST_BID: BEST_BID type. - UPDATED_ASK: UPDATED_ASK type. - UPDATED_BID: UPDATED_BID type. - SNAPSHOT: SNAPSHOT type. - FORCE_SNAPSHOT: FORCE_SNAPSHOT type. Internal use only.

Enumerated Values

Property	Value
anonymous	UNKNOWN
anonymous	TRADE_BUY
anonymous	TRADE_SELL
anonymous	TRADE_UNKNOWN
anonymous	BEST_ASK
anonymous	BEST_BID
anonymous	UPDATED_ASK
anonymous	UPDATED_BID
anonymous	SNAPSHOT
anonymous	FORCE_SNAPSHOT

StreamTradesResponseV1TradeSide

"UNKNOWN"

Side

Properties

Name	Type	Required	Restrictions	Description
Side	string	false	none	- UNKNOWN: Unknown side (not specified). - BUY: Buy side. - SELL: Sell side.

Enumerated Values

Property	Value
Side	UNKNOWN
Side	BUY
Side	SELL

kaikosdkDataInterval

{
  "startTime": "2019-08-24T14:15:22Z",
  "endTime": "2019-08-24T14:15:22Z"
}

DataInterval

Properties

Name	Type	Required	Restrictions	Description
startTime	string(date-time)	false	none	Starting time (inclusive, ISO 8601 for REST).
endTime	string(date-time)	false	none	Ending time (exclusive, ISO 8601 for REST).

kaikosdkInstrumentCriteria

{
  "exchange": "string",
  "instrumentClass": "string",
  "code": "string"
}

InstrumentCriteria

Properties

Name	Type	Required	Restrictions	Description
exchange	string	false	none	Instrument exchange code, for example “cbse” (Coinbase).
instrumentClass	string	false	none	Instrument class. See https://docs.kaiko.com/?python#instruments.
code	string	false	none	Instrument code. See https://docs.kaiko.com/?python#instruments.

kaikosdkSource

{
  "data": [
    {
      "exchangeCode": "string",
      "count": "string",
      "price": "string",
      "volume": "string"
    }
  ],
  "price": "string"
}

Source

Properties

Name	Type	Required	Restrictions	Description
data	[kaikosdkSourceData]	false	none	Prices for instrument code in each exchange.
price	string	false	none	Price for related instrument code accross exchanges.

kaikosdkSourceData

{
  "exchangeCode": "string",
  "count": "string",
  "price": "string",
  "volume": "string"
}

SourceData

Properties

Name	Type	Required	Restrictions	Description
exchangeCode	string	false	none	Instrument exchange code, for example “cbse” (Coinbase).
count	string(int64)	false	none	Number of trades for the given instrument code and aggregate.
price	string	false	none	Price for the instrument code on the exchange and interval.
volume	string	false	none	Volume for the instrument code on the exchange and interval.

kaikosdkStreamAggregatedPriceRequestV1

{
  "instrumentClass": "string",
  "code": "string",
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  }
}

StreamAggregatedPriceRequestV1

Properties

Name	Type	Required	Restrictions	Description
instrumentClass	string	false	none	Instrument class. See https://docs.kaiko.com/?python#instruments.
code	string	false	none	Instrument code. See https://docs.kaiko.com/?python#instruments.
interval	kaikosdkDataInterval	false	none	none

kaikosdkStreamAggregatedPriceResponseV1

{
  "aggregate": "string",
  "instrumentClass": "string",
  "code": "string",
  "value": {
    "price": "string",
    "volume": "string"
  },
  "eventType": "UNKNOWN",
  "tsEvent": "2019-08-24T14:15:22Z"
}

StreamAggregatedPriceResponseV1

Properties

Name	Type	Required	Restrictions	Description
aggregate	string	false	none	Aggregate (interval).
instrumentClass	string	false	none	Instrument class. See https://docs.kaiko.com/?python#instruments.
code	string	false	none	Instrument code. See https://docs.kaiko.com/?python#instruments.
value	kaikosdkStreamAggregatedPriceValue	false	none	StreamAggregatedPriceValue is wrapper for update values.
eventType	kaikosdkStreamAggregatedPriceResponseV1EventType	false	none	EventType is event category for a value. - UNKNOWN: Unknown type. - BEST_ASK: BEST_ASK type. - BEST_BID: BEST_BID type.
tsEvent	string(date-time)	false	none	Timestamp of event.

kaikosdkStreamAggregatedPriceResponseV1EventType

"UNKNOWN"

EventType is event category for a value.

UNKNOWN: Unknown type.
BEST_ASK: BEST_ASK type.
BEST_BID: BEST_BID type.

Properties

Name	Type	Required	Restrictions	Description
anonymous	string	false	none	EventType is event category for a value. - UNKNOWN: Unknown type. - BEST_ASK: BEST_ASK type. - BEST_BID: BEST_BID type.

Enumerated Values

Property	Value
anonymous	UNKNOWN
anonymous	BEST_ASK
anonymous	BEST_BID

kaikosdkStreamAggregatedPriceValue

{
  "price": "string",
  "volume": "string"
}

StreamAggregatedPriceValue is wrapper for update values.

Properties

Name	Type	Required	Restrictions	Description
price	string	false	none	Price of top of book entry.
volume	string	false	none	Volume of top of book entry.

kaikosdkStreamAggregatedQuoteRequestV2

{
  "instrumentClass": "string",
  "code": "string",
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  },
  "includeUnvettedPrice": true
}

StreamAggregatedQuoteRequestV2

Properties

Name	Type	Required	Restrictions	Description
instrumentClass	string	false	none	Instrument class. See https://docs.kaiko.com/?python#instruments.
code	string	false	none	Instrument code. See https://docs.kaiko.com/?python#instruments.
interval	kaikosdkDataInterval	false	none	none
includeUnvettedPrice	boolean	false	none	Whether to add an additionnal data point including all exchanges covered by Kaiko Top Of Book Stream for computation. This should be used whenever an asset is not part of the vetted list. Beware that exchange vetted list changes every quarter, so if there is only 1 exchange covering this asset, you should use `unvetted` as backup to `vetted` to always have a price.

kaikosdkStreamAggregatedQuoteResponseV2

{
  "aggregate": "string",
  "instrumentClass": "string",
  "code": "string",
  "eventType": "UNKNOWN",
  "tsEvent": "2019-08-24T14:15:22Z",
  "vetted": {
    "price": "string",
    "volume": "string"
  },
  "unvetted": {
    "price": "string",
    "volume": "string"
  }
}

StreamAggregatedQuoteResponseV2

Properties

Name	Type	Required	Restrictions	Description
aggregate	string	false	none	Aggregate (interval).
instrumentClass	string	false	none	Instrument class. See https://docs.kaiko.com/?python#instruments.
code	string	false	none	Instrument code. See https://docs.kaiko.com/?python#instruments.
eventType	kaikosdkStreamAggregatedQuoteResponseV2EventType	false	none	EventType is event category for a value. - UNKNOWN: Unknown type. - BEST_ASK: BEST_ASK type. - BEST_BID: BEST_BID type.
tsEvent	string(date-time)	false	none	Timestamp of event.
vetted	kaikosdkStreamAggregatedQuoteValue	false	none	StreamAggregatedQuoteValue is wrapper for update values.
unvetted	kaikosdkStreamAggregatedQuoteValue	false	none	StreamAggregatedQuoteValue is wrapper for update values.

kaikosdkStreamAggregatedQuoteResponseV2EventType

"UNKNOWN"

EventType is event category for a value.

UNKNOWN: Unknown type.
BEST_ASK: BEST_ASK type.
BEST_BID: BEST_BID type.

Properties

Name	Type	Required	Restrictions	Description
anonymous	string	false	none	EventType is event category for a value. - UNKNOWN: Unknown type. - BEST_ASK: BEST_ASK type. - BEST_BID: BEST_BID type.

Enumerated Values

Property	Value
anonymous	UNKNOWN
anonymous	BEST_ASK
anonymous	BEST_BID

kaikosdkStreamAggregatedQuoteValue

{
  "price": "string",
  "volume": "string"
}

StreamAggregatedQuoteValue is wrapper for update values.

Properties

Name	Type	Required	Restrictions	Description
price	string	false	none	Price of top of book entry.
volume	string	false	none	Volume of top of book entry.

kaikosdkStreamAggregatesDirectExchangeRateRequestV1

{
  "code": "string",
  "aggregate": "string",
  "sources": true
}

StreamAggregatesDirectExchangeRateRequestV1

Properties

Name	Type	Required	Restrictions	Description
code	string	false	none	Instrument code.
aggregate	string	false	none	Aggregate value (1s, 1m, 1h).
sources	boolean	false	none	Flag to include sources in the stream (if permissions match). Sources are all the prices which were used to calculate aggregated price.

kaikosdkStreamAggregatesDirectExchangeRateResponseV1

{
  "aggregate": "string",
  "code": "string",
  "price": "string",
  "sequenceId": "string",
  "sources": [
    {
      "exchangeCode": "string",
      "count": "string",
      "price": "string",
      "volume": "string"
    }
  ],
  "timestamp": "2019-08-24T14:15:22Z",
  "uid": "string"
}

StreamAggregatesDirectExchangeRateResponseV1

Properties

Name	Type	Required	Restrictions	Description
aggregate	string	false	none	Aggregate (interval).
code	string	false	none	Instrument code.
price	string	false	none	Price for the trade.
sequenceId	string	false	none	Sequence ID for event. Sortable in lexicographic order.
sources	[kaikosdkSourceData]	false	none	Sources of calculus (if requested), each key is an instrument segment for the root instrument code.
timestamp	string(date-time)	false	none	Timestamp of event.
uid	string	false	none	UID is timestamp truncated to interval of OHLCV.

kaikosdkStreamAggregatesOHLCVRequestV1

{
  "instrumentCriteria": {
    "exchange": "string",
    "instrumentClass": "string",
    "code": "string"
  },
  "aggregate": "string"
}

StreamAggregatesOHLCVRequestV1

Properties

Name	Type	Required	Restrictions	Description
instrumentCriteria	kaikosdkInstrumentCriteria	false	none	none
aggregate	string	false	none	Aggregate value (1s, 1m, 1h).

kaikosdkStreamAggregatesOHLCVResponseV1

{
  "aggregate": "string",
  "class": "string",
  "close": "string",
  "exchange": "string",
  "high": "string",
  "low": "string",
  "open": "string",
  "sequenceId": "string",
  "code": "string",
  "timestamp": "2019-08-24T14:15:22Z",
  "uid": "string",
  "volume": "string"
}

StreamAggregatesOHLCVResponseV1

Properties

Name	Type	Required	Restrictions	Description
aggregate	string	false	none	Aggregate (interval).
class	string	false	none	Instrument class.
close	string	false	none	Close value of OHLCV.
exchange	string	false	none	Instrument exchange.
high	string	false	none	High value of OHLCV.
low	string	false	none	Low value of OHLCV.
open	string	false	none	Open value of OHLCV.
sequenceId	string	false	none	Sequence ID for event. Sortable in lexicographic order.
code	string	false	none	Instrument code.
timestamp	string(date-time)	false	none	Timestamp of event.
uid	string	false	none	UID is timestamp truncated to interval of OHLCV.
volume	string	false	none	Volume of OHLCV.

kaikosdkStreamAggregatesSpotExchangeRateRequestV1

{
  "code": "string",
  "aggregate": "string",
  "sources": true
}

StreamAggregatesSpotExchangeRateRequestV1

Properties

Name	Type	Required	Restrictions	Description
code	string	false	none	Instrument code.
aggregate	string	false	none	Aggregate value (1s, 1m, 1h).
sources	boolean	false	none	Flag to include sources in the stream (if permissions match). Sources are all the prices which were used to calculate aggregated price.

kaikosdkStreamAggregatesSpotExchangeRateResponseV1

{
  "aggregate": "string",
  "code": "string",
  "price": "string",
  "sequenceId": "string",
  "sources": {
    "property1": {
      "data": [
        {
          "exchangeCode": "string",
          "count": "string",
          "price": "string",
          "volume": "string"
        }
      ],
      "price": "string"
    },
    "property2": {
      "data": [
        {
          "exchangeCode": "string",
          "count": "string",
          "price": "string",
          "volume": "string"
        }
      ],
      "price": "string"
    }
  },
  "timestamp": "2019-08-24T14:15:22Z",
  "uid": "string"
}

StreamAggregatesSpotExchangeRateResponseV1

Properties

Name	Type	Required	Restrictions	Description
aggregate	string	false	none	Aggregate (interval).
code	string	false	none	Instrument code (for example btc-usd).
price	string	false	none	Aggregated price for the instrument code accross exchanges.
sequenceId	string	false	none	Sequence ID for event. Sortable in lexicographic order.
sources	object	false	none	Sources of calculus (if requested), each key is an instrument segment for the root instrument code.
» additionalProperties	kaikosdkSource	false	none	none
timestamp	string(date-time)	false	none	Timestamp of event.
uid	string	false	none	UID is timestamp truncated to interval of OHLCV.

kaikosdkStreamAggregatesVWAPRequestV1

{
  "instrumentCriteria": {
    "exchange": "string",
    "instrumentClass": "string",
    "code": "string"
  },
  "aggregate": "string"
}

StreamAggregatesVWAPRequestV1

Properties

Name	Type	Required	Restrictions	Description
instrumentCriteria	kaikosdkInstrumentCriteria	false	none	none
aggregate	string	false	none	Aggregate value (1s, 1m, 1h).

kaikosdkStreamAggregatesVWAPResponseV1

{
  "aggregate": "string",
  "class": "string",
  "code": "string",
  "exchange": "string",
  "sequenceId": "string",
  "price": 0,
  "tsEvent": "2019-08-24T14:15:22Z",
  "uid": "string"
}

StreamAggregatesVWAPResponseV1

Properties

Name	Type	Required	Restrictions	Description
aggregate	string	false	none	Aggregate (interval).
class	string	false	none	Instrument class, empty when instrument not mapped.
code	string	false	none	Instrument code, empty when instrument not mapped.
exchange	string	false	none	Instrument exchange.
sequenceId	string	false	none	Sequence ID for event. Sortable in lexicographic order.
price	number(double)	false	none	Price for the trade.
tsEvent	string(date-time)	false	none	Event generation timestamp (event created by Kaiko), after normalization.
uid	string	false	none	UID is timestamp truncated to interval of OHLCV.

kaikosdkStreamIndexCommodity

"SIC_UNKNOWN"

StreamIndexCommodity allows selecting kind of index update wanted.

SIC_UNKNOWN: Unknown commodity.
SIC_REAL_TIME: REAL_TIME commodity.
SIC_DAILY_FIXING: DAILY_FIXING commodity.

Properties

Name	Type	Required	Restrictions	Description
anonymous	string	false	none	StreamIndexCommodity allows selecting kind of index update wanted. - SIC_UNKNOWN: Unknown commodity. - SIC_REAL_TIME: REAL_TIME commodity. - SIC_DAILY_FIXING: DAILY_FIXING commodity.

Enumerated Values

Property	Value
anonymous	SIC_UNKNOWN
anonymous	SIC_REAL_TIME
anonymous	SIC_DAILY_FIXING

kaikosdkStreamIndexMultiAssetsServiceRequestV1

{
  "indexCode": "string",
  "commodities": [
    "SIC_UNKNOWN"
  ]
}

StreamIndexServiceRequestV1

Properties

Name	Type	Required	Restrictions	Description
indexCode	string	false	none	Index code.
commodities	[kaikosdkStreamIndexCommodity]	false	none	Enum indicating type of feed.

kaikosdkStreamIndexMultiAssetsServiceResponseComposition

{
  "underlyingInstrument": "string",
  "base": "string",
  "quote": "string",
  "exchanges": [
    "string"
  ],
  "instrumentInterval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  },
  "currencyConversion": "string"
}

StreamIndexMultiAssetsServiceResponseComposition is the composition used to compute the index.

Properties

Name	Type	Required	Restrictions	Description
underlyingInstrument	string	false	none	Underlying instrument of the indices.
base	string	false	none	Base.
quote	string	false	none	Quote.
exchanges	[string]	false	none	Exchanges.
instrumentInterval	kaikosdkDataInterval	false	none	none
currencyConversion	string	false	none	Currency conversion.

kaikosdkStreamIndexMultiAssetsServiceResponsePair

{
  "underlyingInstrument": "string",
  "underlyingPrice": 0,
  "weightingFactor": 0,
  "cappingFactor": 0,
  "currencyConversionFactor": 0
}

StreamIndexMultiAssetsServiceResponsePair is the pair information for the rates used

Properties

Name	Type	Required	Restrictions	Description
underlyingInstrument	string	false	none	Underlying instrument of the indices.
underlyingPrice	number(double)	false	none	Underlying price of the instrument.
weightingFactor	number(double)	false	none	Weighting factor of the instrument.
cappingFactor	number(double)	false	none	Capping factor of the instrument.
currencyConversionFactor	number(double)	false	none	Currency conversion factor of the instrument.

kaikosdkStreamIndexMultiAssetsServiceResponsePrices

{
  "indexValue": 0,
  "divisor": 0,
  "pairs": [
    {
      "underlyingInstrument": "string",
      "underlyingPrice": 0,
      "weightingFactor": 0,
      "cappingFactor": 0,
      "currencyConversionFactor": 0
    }
  ]
}

StreamIndexMultiAssetsServiceResponsePrices is the prices informations on the pair used

Properties

Name	Type	Required	Restrictions	Description
indexValue	number(double)	false	none	Index value.
divisor	number(double)	false	none	Divisor.
pairs	[kaikosdkStreamIndexMultiAssetsServiceResponsePair]	false	none	StreamIndexMultiAssetsServiceResponsePair is the pair information for the rates used.

kaikosdkStreamIndexMultiAssetsServiceResponseV1

{
  "commodity": "SIC_UNKNOWN",
  "indexCode": "string",
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  },
  "mainQuote": "string",
  "compositions": [
    {
      "underlyingInstrument": "string",
      "base": "string",
      "quote": "string",
      "exchanges": [
        "string"
      ],
      "instrumentInterval": {
        "startTime": "2019-08-24T14:15:22Z",
        "endTime": "2019-08-24T14:15:22Z"
      },
      "currencyConversion": "string"
    }
  ],
  "price": {
    "indexValue": 0,
    "divisor": 0,
    "pairs": [
      {
        "underlyingInstrument": "string",
        "underlyingPrice": 0,
        "weightingFactor": 0,
        "cappingFactor": 0,
        "currencyConversionFactor": 0
      }
    ]
  },
  "tsEvent": "2019-08-24T14:15:22Z"
}

StreamIndexServiceResponseV1

Properties

Name	Type	Required	Restrictions	Description
commodity	kaikosdkStreamIndexCommodity	false	none	StreamIndexCommodity allows selecting kind of index update wanted. - SIC_UNKNOWN: Unknown commodity. - SIC_REAL_TIME: REAL_TIME commodity. - SIC_DAILY_FIXING: DAILY_FIXING commodity.
indexCode	string	false	none	Index code.
interval	kaikosdkDataInterval	false	none	none
mainQuote	string	false	none	Quote.
compositions	[kaikosdkStreamIndexMultiAssetsServiceResponseComposition]	false	none	List of rates used in indices.
price	kaikosdkStreamIndexMultiAssetsServiceResponsePrices	false	none	none
tsEvent	string(date-time)	false	none	Event generation timestamp (event created by Kaiko), after normalization.

kaikosdkStreamIndexServiceRequestV1

{
  "indexCode": "string",
  "commodities": [
    "SIC_UNKNOWN"
  ],
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  }
}

StreamIndexServiceRequestV1

Properties

Name	Type	Required	Restrictions	Description
indexCode	string	false	none	Index code.
commodities	[kaikosdkStreamIndexCommodity]	false	none	Enum indicating type of feed.
interval	kaikosdkDataInterval	false	none	none

kaikosdkStreamIndexServiceResponseBaseAsset

{
  "asset": "string",
  "weight": 0
}

StreamIndexServiceResponseBaseAsset is base asset involved in computation.

Properties

Name	Type	Required	Restrictions	Description
asset	string	false	none	Asset.
weight	number(double)	false	none	Weight.

kaikosdkStreamIndexServiceResponseInstruments

{
  "exchange": "string",
  "price": 0,
  "volume": 0,
  "count": "string"
}

StreamIndexServiceResponseInstruments is computation result by instruments.

Properties

Name	Type	Required	Restrictions	Description
exchange	string	false	none	Exchange.
price	number(double)	false	none	Price.
volume	number(double)	false	none	Volume.
count	string(uint64)	false	none	Count.

kaikosdkStreamIndexServiceResponsePairs

{
  "pair": "string",
  "weight": 0,
  "instruments": [
    {
      "exchange": "string",
      "price": 0,
      "volume": 0,
      "count": "string"
    }
  ]
}

StreamIndexServiceResponsePairs is computation result by pairs.

Properties

Name	Type	Required	Restrictions	Description
pair	string	false	none	Pair.
weight	number(double)	false	none	Weight (for multiple assets indices).
instruments	[kaikosdkStreamIndexServiceResponseInstruments]	false	none	Detailed computation by instruments.

kaikosdkStreamIndexServiceResponsePercentage

{
  "percentage": 0,
  "price": 0,
  "pairs": [
    {
      "pair": "string",
      "weight": 0,
      "instruments": [
        {
          "exchange": "string",
          "price": 0,
          "volume": 0,
          "count": "string"
        }
      ]
    }
  ]
}

StreamIndexServiceResponsePercentage is computation result by percentage.

Properties

Name	Type	Required	Restrictions	Description
percentage	number(double)	false	none	Percentage.
price	number(double)	false	none	Price computed for the whole percentage.
pairs	[kaikosdkStreamIndexServiceResponsePairs]	false	none	Detailed computation by pairs.

kaikosdkStreamIndexServiceResponseV1

{
  "indexCode": "string",
  "commodity": "SIC_UNKNOWN",
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  },
  "quote": "string",
  "bases": [
    {
      "asset": "string",
      "weight": 0
    }
  ],
  "exchanges": [
    "string"
  ],
  "percentages": [
    {
      "percentage": 0,
      "price": 0,
      "pairs": [
        {
          "pair": "string",
          "weight": 0,
          "instruments": [
            {
              "exchange": "string",
              "price": 0,
              "volume": 0,
              "count": "string"
            }
          ]
        }
      ]
    }
  ],
  "tsEvent": "2019-08-24T14:15:22Z"
}

StreamIndexServiceResponseV1

Properties

Name	Type	Required	Restrictions	Description
indexCode	string	false	none	Index code.
commodity	kaikosdkStreamIndexCommodity	false	none	StreamIndexCommodity allows selecting kind of index update wanted. - SIC_UNKNOWN: Unknown commodity. - SIC_REAL_TIME: REAL_TIME commodity. - SIC_DAILY_FIXING: DAILY_FIXING commodity.
interval	kaikosdkDataInterval	false	none	none
quote	string	false	none	Quote.
bases	[kaikosdkStreamIndexServiceResponseBaseAsset]	false	none	Bases.
exchanges	[string]	false	none	Exchanges.
percentages	[kaikosdkStreamIndexServiceResponsePercentage]	false	none	Detailed computation by percentage.
tsEvent	string(date-time)	false	none	Event generation timestamp (event created by Kaiko), after normalization.

kaikosdkStreamMarketUpdateCommodity

"SMUC_UNKNOWN"

StreamMarketUpdateCommodity allows selecting kind of market update wanted.

SMUC_UNKNOWN: Unknown commodity.
SMUC_TRADE: TRADE commodity.
SMUC_TOP_OF_BOOK: TOP_OF_BOOK commodity.
SMUC_FULL_ORDER_BOOK: FULL_ORDER_BOOK commodity.

Properties

Name	Type	Required	Restrictions	Description
anonymous	string	false	none	StreamMarketUpdateCommodity allows selecting kind of market update wanted. - SMUC_UNKNOWN: Unknown commodity. - SMUC_TRADE: TRADE commodity. - SMUC_TOP_OF_BOOK: TOP_OF_BOOK commodity. - SMUC_FULL_ORDER_BOOK: FULL_ORDER_BOOK commodity.

Enumerated Values

Property	Value
anonymous	SMUC_UNKNOWN
anonymous	SMUC_TRADE
anonymous	SMUC_TOP_OF_BOOK
anonymous	SMUC_FULL_ORDER_BOOK

kaikosdkStreamMarketUpdateRequestV1

{
  "instrumentCriteria": {
    "exchange": "string",
    "instrumentClass": "string",
    "code": "string"
  },
  "commodities": [
    "SMUC_UNKNOWN"
  ],
  "interval": {
    "startTime": "2019-08-24T14:15:22Z",
    "endTime": "2019-08-24T14:15:22Z"
  },
  "snapshotType": "UNKNOWN"
}

StreamMarketUpdateRequestV1

Properties

Name	Type	Required	Restrictions	Description
instrumentCriteria	kaikosdkInstrumentCriteria	false	none	none
commodities	[kaikosdkStreamMarketUpdateCommodity]	false	none	Enum indicating type of feed. If no commodity is specified, you get all commodities by default, otherwise you get only specified commodities.
interval	kaikosdkDataInterval	false	none	none
snapshotType	StreamMarketUpdateRequestV1OrderbookSnapshotType	false	none	- UNKNOWN: UNKNOWN means no snapshot is sent. - TEN_PERCENT: TEN_PERCENT is ob10%. - FULL: FULL is full orderbook.

kaikosdkStreamMarketUpdateResponseV1

{
  "commodity": "SMUC_UNKNOWN",
  "amount": 0,
  "class": "string",
  "code": "string",
  "exchange": "string",
  "sequenceId": "string",
  "id": "string",
  "price": 0,
  "tsExchange": {
    "value": "2019-08-24T14:15:22Z"
  },
  "tsCollection": {
    "value": "2019-08-24T14:15:22Z"
  },
  "tsEvent": "2019-08-24T14:15:22Z",
  "updateType": "UNKNOWN",
  "snapshot": {
    "asks": [
      {
        "amount": 0,
        "price": 0
      }
    ],
    "bids": [
      {
        "amount": 0,
        "price": 0
      }
    ]
  }
}

StreamMarketUpdateResponseV1

Properties

Name	Type	Required	Restrictions	Description
commodity	kaikosdkStreamMarketUpdateCommodity	false	none	StreamMarketUpdateCommodity allows selecting kind of market update wanted. - SMUC_UNKNOWN: Unknown commodity. - SMUC_TRADE: TRADE commodity. - SMUC_TOP_OF_BOOK: TOP_OF_BOOK commodity. - SMUC_FULL_ORDER_BOOK: FULL_ORDER_BOOK commodity.
amount	number(double)	false	none	Amount / quantity of asset bought or sold, displayed in base currency.
class	string	false	none	Instrument class, internal Kaiko classification denoting whether an instrument is a spot, future, perpetual future, or option.
code	string	false	none	Instrument code (currency pair), for example btc-usd.
exchange	string	false	none	Instrument exchange code, for example “cbse” (Coinbase).
sequenceId	string	false	none	Sequence ID for event. Sortable in lexicographic order.
id	string	false	none	ID from exchange (trades only), empty string when not present.
price	number(double)	false	none	Price for quote currency.
tsExchange	kaikosdkTimestampValue	false	none	TimestampValue wraps optional timestamp.
tsCollection	kaikosdkTimestampValue	false	none	TimestampValue wraps optional timestamp.
tsEvent	string(date-time)	false	none	Event generation timestamp (event created by Kaiko), after normalization.
updateType	StreamMarketUpdateResponseV1StreamMarketUpdateType	false	none	StreamMarketUpdateType is event category for a market update. - UNKNOWN: Unknown type. - TRADE_BUY: TRADE_BUY type. - TRADE_SELL: TRADE_SELL type. - TRADE_UNKNOWN: TRADE_UNKNOWN type. - BEST_ASK: BEST_ASK type. - BEST_BID: BEST_BID type. - UPDATED_ASK: UPDATED_ASK type. - UPDATED_BID: UPDATED_BID type. - SNAPSHOT: SNAPSHOT type. - FORCE_SNAPSHOT: FORCE_SNAPSHOT type. Internal use only.
snapshot	StreamMarketUpdateResponseV1Snapshot	false	none	Snapshot is an orderbook snapshot.

kaikosdkStreamTradesRequestV1

{
  "instrumentCriteria": {
    "exchange": "string",
    "instrumentClass": "string",
    "code": "string"
  }
}

StreamTradesRequestV1

Properties

Name	Type	Required	Restrictions	Description
instrumentCriteria	kaikosdkInstrumentCriteria	false	none	none

kaikosdkStreamTradesResponseV1

{
  "additionalProperties": {
    "property1": "string",
    "property2": "string"
  },
  "amount": 0,
  "class": "string",
  "code": "string",
  "exchange": "string",
  "sequenceId": "string",
  "id": "string",
  "price": 0,
  "side": "UNKNOWN",
  "tsExchange": {
    "value": "2019-08-24T14:15:22Z"
  },
  "tsCollection": {
    "value": "2019-08-24T14:15:22Z"
  },
  "tsEvent": "2019-08-24T14:15:22Z"
}

StreamTradesResponseV1

Properties

Name	Type	Required	Restrictions	Description
additionalProperties	object	false	none	Additionnal properties, specific to the exchange.
» additionalProperties	string	false	none	none
amount	number(double)	false	none	Amount / quantity of asset bought or sold, displayed in base currency.
class	string	false	none	Instrument class, empty when instrument not mapped.
code	string	false	none	Instrument code, empty when instrument not mapped.
exchange	string	false	none	Instrument exchange code, for example “cbse” (Coinbase).
sequenceId	string	false	none	Sequence ID for event. Sortable in lexicographic order.
id	string	false	none	Trade ID, empty string when not present.
price	number(double)	false	none	Price for the trade.
side	StreamTradesResponseV1TradeSide	false	none	- UNKNOWN: Unknown side (not specified). - BUY: Buy side. - SELL: Sell side.
tsExchange	kaikosdkTimestampValue	false	none	TimestampValue wraps optional timestamp.
tsCollection	kaikosdkTimestampValue	false	none	TimestampValue wraps optional timestamp.
tsEvent	string(date-time)	false	none	Event generation timestamp (event created by Kaiko), after normalization.

kaikosdkTimestampValue

{
  "value": "2019-08-24T14:15:22Z"
}

TimestampValue wraps optional timestamp.

Properties

Name	Type	Required	Restrictions	Description
value	string(date-time)	false	none	The timestamp value.

protobufAny

{
  "@type": "string",
  "property1": null,
  "property2": null
}

Properties

Name	Type	Required	Restrictions	Description
additionalProperties	any	false	none	none
@type	string	false	none	none

rpcStatus

{
  "code": 0,
  "message": "string",
  "details": [
    {
      "@type": "string",
      "property1": null,
      "property2": null
    }
  ]
}

Properties

Name	Type	Required	Restrictions	Description
code	integer(int32)	false	none	none
message	string	false	none	none
details	[protobufAny]	false	none	none

Kaiko Stream SDK v1.0

Code Examples

ICE

Authentication

Instrument Selection

Wildcard

Cartesian Product of Patterns

Union of Patterns

Aggregated Quote (v2)

Subscribe

Parameters

Responses

Response Schema

Enumerated Values

Aggregated Quote (v1)

Subscribe

Parameters

Responses

Response Schema

Enumerated Values

OHLCV (Candles)

Subscribe

Event Sending Rate

Duplicate Events

Parameters

Responses

Response Schema

Cross Prices

Subscribe

Parameters

Responses

Response Schema

Asset Prices

Subscribe

Parameters

Responses

Response Schema

Trades

Subscribe

Parameters

Responses

Response Schema

Enumerated Values

VWAP

Subscribe

Parameters

Responses

Response Schema

Benchmark Rates

Subscribe

Fields description

Multi rates subscription support

Parameters

Responses

Response Schema

Enumerated Values

Plain Vanilla Indices

Subscribe

Parameters

Responses

Response Schema

Enumerated Values

Market Update (Trades, Order Books, Best Bids and Asks)

Subscribe

High traffic endpoint warning and slow consumer policy

Ordering of data

Live data

Replay data

Order Book data processing

SequenceID field

Parameters

Responses

Response Schema

Enumerated Values

Schemas

SnapshotOrder

Properties

StreamMarketUpdateRequestV1OrderbookSnapshotType

Properties

Enumerated Values