Protocol Documentation

Start time of the aggregation window.

End time of the aggregation window.

duration

The timestamp value.

Starting time (inclusive, ISO 8601 for REST).

Ending time (exclusive, ISO 8601 for REST).

Instrument exchange code, for example "cbse" (Coinbase).

Number of trades for the given instrument code and aggregate.

Price for the instrument code on the exchange and interval.

Volume for the instrument code on the exchange and interval.

Prices for instrument code in each exchange.

Price for related instrument code accross exchanges.

Base asset.

Quote asset.

Instrument exchange code, for example "cbse" (Coinbase).

Instrument class. See https://docs.kaiko.com/?python#instruments.

Instrument code. See https://docs.kaiko.com/?python#instruments.

Additionnal properties, specific to the exchange.

Amount / quantity of asset bought or sold, displayed in base currency.

Instrument class, empty when instrument not mapped.

Instrument code, empty when instrument not mapped.

Instrument exchange code, for example "cbse" (Coinbase).

Sequence ID for event. Sortable in lexicographic order.

Trade ID, empty string when not present.

Price for the trade.

Trade side.

Timestamp of trade, when provided by the exchange.

Timestamp of collection (event entered Kaiko's infrastructure), before nomalization.

Event generation timestamp (event created by Kaiko), after normalization.

InstrumentCriteria is instrument exchange, class and code, wildcard (*) can be used.

Aggregate (interval).

Instrument class. See https://docs.kaiko.com/?python#instruments.

Instrument code. See https://docs.kaiko.com/?python#instruments.

Value is update value (price and volume). Field is absent if the ticker has no update during the aggregate inerval.

Event type is ASK or BID.

Timestamp of event.

Price of top of book entry.

Volume of top of book entry.

Instrument class. See https://docs.kaiko.com/?python#instruments.

Instrument code. See https://docs.kaiko.com/?python#instruments.

Data interval. For historical data only.

Aggregate (interval).

Instrument class. See https://docs.kaiko.com/?python#instruments.

Instrument code. See https://docs.kaiko.com/?python#instruments.

Event type is ASK or BID.

Timestamp of event.

Vetted is update value (price and volume) using Kaiko vetted exchanges list. Field is absent if the ticker has no update during the aggregate inerval or asset is not covered by vetted exchange list.

Unvetted value is same as value, but includes 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.

Price of top of book entry.

Volume of top of book entry.

Instrument class. See https://docs.kaiko.com/?python#instruments.

Instrument code. See https://docs.kaiko.com/?python#instruments.

Data interval. For historical data only.

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.

Instrument class, for example "spot".

Instrument code (currency pair), for example btc-usd.

Instrument exchange code, for example "cbse" (Coinbase).

Sequence ID for event. Sortable in lexicographic order.

Event type.

Asks is the list of asks of the orderbook.

Bids is the list of bids of the orderbook.

Timestamp of the event as provided by the exchange.

Timestamp of collection (event entered Kaiko's infrastructure), before nomalization.

Event generation timestamp (event created by Kaiko), after normalization.

Additionnal properties, specific to the exchange.

InstrumentCriteria is instrument exchange, class and code, wildcard (*) can be used.

Data interval for replay data.

InstrumentCriteria is instrument exchange, class and code, wildcard (*) can be used.

Amount / quantity of asset bought or sold, displayed in base currency.

Price for quote currency.

Underlying rate of the indices.

Base.

Quote.

Exchanges.

Data interval.

Currency conversion.

Timestamp (tick) of underlying rate ts.

Underlying instrument of the indices.

Underlying price of the instrument.

Weighting factor of the instrument.

Capping factor of the instrument.

Currency conversion factor of the instrument.

Index value.

Divisor.

StreamIndexMultiAssetsServiceResponsePair is the pair information for the rates used.

Event type.

Index code.

Data interval.

Quote.

List of rates used in indices.

Price of the indice.

Event generation timestamp (event created by Kaiko), after normalization.

Timestamp of computation (differs from ts_event only if a buffer is applied, especially for real time data).

Index code.

Enum indicating type of feed.

Data interval. For historical data only.

Aggregate (interval).

Instrument class.

Close value of OHLCV.

Instrument exchange.

High value of OHLCV.

Low value of OHLCV.

Open value of OHLCV.

Sequence ID for event. Sortable in lexicographic order.

Instrument code.

Timestamp of event.

UID is timestamp truncated to interval of OHLCV.

Volume of OHLCV.

InstrumentCriteria is instrument exchange, class and code, wildcard (*) can be used.

Aggregate value (1s, 1m, 1h).

Underlying rate of the indices.

Base.

Quote.

Currency conversion.

Timestamp (tick) of underlying rate ts.

Underlying instrument of the indices.

Underlying price of the instrument.

Weighting factor of the instrument.

Capping factor of the instrument.

Currency conversion factor of the instrument.

Position of the instrument.

Index value.

Divisor.

StreamExoticIndicesServiceResponsePair is the pair information.

Event type.

Index code.

Data interval.

Quote.

List of indices compositions.

Price of the indice.

Event generation timestamp (event created by Kaiko).

Timestamp of computation.

Index code.

Enum indicating type of feed.

Data interval. For historical data only.

Asset.

Weight.

Partition.

Price.

Volume.

Count.

Underlying trade for the partition.

Pair.

Weight (for multiple assets indices).

Detailed computation by instruments.

Percentage.

Price computed for the whole percentage.

Detailed computation by pairs.

Index code.

Event type.

Data interval.

Quote.

Bases.

Exchanges.

Detailed computation by percentage.

Event generation timestamp (event created by Kaiko), after normalization.

Sequence ID for event. Sortable in lexicographic order.

Last internal ingest date used for computation. Useful for replication purposes.

Amount / quantity of asset bought or sold, displayed in base currency.

Instrument exchange code, for example "cbse" (Coinbase).

Trade ID, empty string when not present.

Date of trade.

Index code.

Enum indicating type of feed.

Data interval. For historical data only.

datetime is the timestamp of the datapoint

base is the base currency of the pair

aggregated_price_usd is the aggregated price in USD

aggregated_price_lst is the aggregated price in LST quote token

ts_event is the timestamp of the event

lst_quote is the lst quote currency

assets is a list of assets to subscribe to

Sliding Window (duration string, ex: 1m).

Price for the trade.

Timestamp of event.

Window information.

NoTrade: no trade happened during the window.

base/quote assets.

Sliding Window duration (duration string, ex: 1m).

list of exchange code to include.

list of exchange code to exclude.

Update frequency (duration string, ex: 1m).

Value of the commodity.

Legacy symbol.

Exchange.

Commodity. See https://docs.kaiko.com/v/kaiko-rest-api/market-data/derivatives/derivatives-metrics/risk#fields and https://docs.kaiko.com/v/kaiko-rest-api/market-data/derivatives/derivatives-metrics/price#fields.

Kind of commodity (price of risk).

Timestamp of collection (event entered Kaiko's infrastructure), before nomalization.

Event generation timestamp (event created by Kaiko), after normalization.

InstrumentCriteria is instrument exchange, class and code, wildcard (*) can be used.

Enum indicating type of feed. If no commodity is specified, you get all commodities by default, otherwise you get only specified commodities.

Aggregate (interval).

Instrument class, empty when instrument not mapped.

Instrument code, empty when instrument not mapped.

Instrument exchange.

Sequence ID for event. Sortable in lexicographic order.

Price for the trade.

Event generation timestamp (event created by Kaiko), after normalization.

UID is timestamp truncated to interval of OHLCV.

InstrumentCriteria is instrument exchange, class and code, wildcard (*) can be used.

Aggregate value (1s, 1m, 1h).

Kind of commodity concerned by the market update.

Amount / quantity of asset bought or sold, displayed in base currency.

Instrument class, internal Kaiko classification denoting whether an instrument is a spot, future, perpetual future, or option.

Instrument code (currency pair), for example btc-usd.

Instrument exchange code, for example "cbse" (Coinbase).

Sequence ID for event. Sortable in lexicographic order.

ID from exchange (trades only), empty string when not present.

Price for quote currency.

Timestamp of the event as provided by the exchange.

Timestamp of collection (event entered Kaiko's infrastructure), before nomalization.

Event generation timestamp (event created by Kaiko), after normalization.

Event category for this update.

Snapshot for this update.

Additionnal properties, specific to the exchange.

Asks is the list of asks of the orderbook.

Bids is the list of bids of the orderbook.

Amount / quantity of asset bought or sold, displayed in base currency.

Price for quote currency.

InstrumentCriteria is instrument exchange, class and code, wildcard (*) can be used.

Enum indicating type of feed. If no commodity is specified, you get all commodities by default, otherwise you get only specified commodities.

Data interval. For historical data only.

Deprecated. SnapshotType is the type of snapshot if commodities contains orderbook. This field is deprecated and used anymore, only full snapshot are sent.

Sliding Window (duration string, ex: 1m).

Price for the trade.

Timestamp of event.

Window information.

NoTrade: no trade happened during the window.

base/quote assets.

Sliding Window duration (duration string, ex: 1m).

list of exchange code to include.

list of exchange code to exclude.

Update frequency (duration string, ex: 1m).

Name.

Price

TSEvent.

Name.

TSEvent.

Underlying.

FxRate.

Underlying.

FxRate.

Index code.

Event type.

Data interval.

Coimposition of the forex rate.

Price.

TSEvent

Detail property.

Index code.

Data interval. For historical data only.

Start time of the calculation window used.

End time of the calculation window used.

Expiry date of the instrument.

Exchanges included.

Base asset.

Quote asset.

Time to expiry.

ATM implied variance.

ATM skew.

Left slope of IV smile.

Right slope of IV smile.

Min implied variance.

Current spot.

Interest rate.

Event generation timestamp (event created by Kaiko), after normalization.

base/quote assets. wildcard is supported for both base and quote assets.

Exchanges. wildcard is supported.