A Python module that allows users to leverage Kaiko's market depth data from centralized crypto exchanges, and feed smart contracts or token liquidity analytics.
The module kaiko_depth.py provides functions to easily get data, chart it, create heatmaps that show how liquidity is distributed across different exchanges or tokens, and generate fully actionable data to feed smart contract and automate decision making based on reliable liquidity data provided by Kaiko.
The python module with all the functions is the file named kaiko_depth.py. To make sure you can use its functions, you need to put it in your working directory. You can then import the module in any script and use the functions.
import kaiko_depth as kkTo get a list of the exchanges Kaiko supports and their symbols, see this page.
To get a list of the assets Kaiko supports and their symbols, see this page.
To access the comparative market depth of a cryptocurrency pair, such as ETH-USD, on Coinbase and Kraken, you can use the market_depth() function provided by the kaiko_depth.py module. To use this function, you will need to provide your Kaiko API key, which you can obtain by filling out the form on Kaiko's website. Once you have your API key, you can specify the start and end time of your data request in ISO format, the instrument (i.e. the pair you are interested in), the exchanges you want to retrieve data from, and the instrument class (e.g. spot, future, perpetual-future, or option).
Please note that it is important to ensure that the instruments (pair + exchange) you are requesting are actually listed. You can find a list of all pairs listed on all cryptocurrency exchanges on the Kaiko Instruments webpage.
df = kk.market_depth(apikey='your_api_key_here',
start_time='2023-01-21T00:00:00Z',
end_time='2023-01-21T01:00:59Z',
instrument='eth-usd',
exchanges=['cbse', 'krkn'],
instrument_class='spot')To access the comparative market depth of a cryptocurrency, such as ETH with BTC or any other cryptocurrency, taken from certain exchanges, you can use the assets_depth() function of the module. The default exchanges used are the top 10 most liquid exchanges according to Kaiko's proprietary liquidity scoring methodology, and the default quote assets are the most liquid stable assets (USD, USDT, DAI, BUSD, and USDC), but you can include additional quote assets as well. There are many different quote assets to consider for a single base asset's liquidity, including blue-chip assets like BTC and ETH, that a protocol could employ. The list of all the available assets can be found in Kaiko's assets reference data.
You can export the fully aggregated result by cryptocurrency in JSON format with the create_json() function. This allows you to choose whether to express liquidity in your asset units or in USD using a simple parameter.
df = kk.assets_depth(apikey='your_api_key_here',
start_time='2023-02-05T00:00:00Z',
end_time='2023-02-08T00:00:00Z',
assets=['eth', 'btc'],
exchanges=['cbse','krkn'] # default TOP 10 CEXs according to Kaiko Exchange Ranking : https://www.kaiko.com/pages/exchange-ranking exchanges=['krkn','cbse', 'stmp', 'bnus', 'binc', 'gmni', 'btrx', 'itbi', 'huob', 'btba']
instrument_class='spot',
quote_assets=['usd','usdt','dai'] # default : quote_assets=['usd', 'usdt', 'usdc', 'dai', 'busd']
interval='1d')
depth_results = kk.create_json(df, 'depth_results.json', usd=False)The below table summarizes the definitions of the fields included in the result returned by these functions.
[{
"btc": {
"bid_volume0_1": 16.7482551735,
"bid_volume0_2": 34.5501754382,
"bid_volume0_3": 49.5365447891,
"bid_volume0_4": 66.7045709444,
"bid_volume0_5": 82.5017979636,
"bid_volume0_6": 92.6392662523,
"bid_volume0_7": 102.6195668302,
"bid_volume0_8": 109.7169341836,
"bid_volume0_9": 115.4954229915,
"bid_volume1": 120.7994288127,
"bid_volume1_5": 140.7090008651,
"bid_volume2": 151.7659178899,
"bid_volume4": 168.2382406089,
"bid_volume6": 177.4832565466,
"bid_volume8": 186.2163923501,
"bid_volume10": 202.9063020315,
"ask_volume0_1": 17.4204225631,
"ask_volume0_2": 34.8038365497,
"ask_volume0_3": 48.3797373838,
"ask_volume0_4": 64.3110720726,
"ask_volume0_5": 80.0302954201,
"ask_volume0_6": 90.7202434723,
"ask_volume0_7": 102.2947383194,
"ask_volume0_8": 109.6534839299,
"ask_volume0_9": 115.839209255,
"ask_volume1": 121.9345856949,
"ask_volume1_5": 136.4505837766,
"ask_volume2": 144.6291733767,
"ask_volume4": 157.7176369177,
"ask_volume6": 168.7699670691,
"ask_volume8": 185.640196348,
"ask_volume10": 206.1208593042
},
"eth": {
"bid_volume0_1": 126.8498307824,
"bid_volume0_2": 278.2420115734,
"bid_volume0_3": 416.4212087288,
"bid_volume0_4": 567.9821557265,
"bid_volume0_5": 714.5145193583,
"bid_volume0_6": 814.8814396563,
"bid_volume0_7": 899.495087891,
"bid_volume0_8": 972.3278915629,
"bid_volume0_9": 1027.0515507694,
"bid_volume1": 1075.2486887086,
"bid_volume1_5": 1251.0644402337,
"bid_volume2": 1480.1523777707,
"bid_volume4": 2156.9824906248,
"bid_volume6": 2619.6091270626,
"bid_volume8": 2749.8508791676,
"bid_volume10": 2839.2753963512,
"ask_volume0_1": 129.2197854587,
"ask_volume0_2": 277.4135905273,
"ask_volume0_3": 397.8959379245,
"ask_volume0_4": 533.9342554196,
"ask_volume0_5": 674.6145302331,
"ask_volume0_6": 768.7896606936,
"ask_volume0_7": 853.6979431363,
"ask_volume0_8": 920.1093034535,
"ask_volume0_9": 964.8815684735,
"ask_volume1": 1000.4175172021,
"ask_volume1_5": 1137.9688472657,
"ask_volume2": 1325.6228715742,
"ask_volume4": 1899.0836652647,
"ask_volume6": 2240.8783479793,
"ask_volume8": 2301.5578616548,
"ask_volume10": 2358.6740544248
}
}]This module also provides you with tools to vizualize liquidity across assets or markets. For example, using the asseets_heatmap() function you can obtain a comparative view on how market depth is distributed for different price levels of each selected asset. For example, the heatmap below shows that BTC has higher liquidity than ETH on the top 10 most liquid cryptocurrency exchanges. It also shows that BTC's liquidity is spread across the widest range of price levels for both buy and sell orders, while ETH's liquidity is more concentrated. The liquidity of each asset is measured in USD in the heatmap for easy comparison.
For a more detailed example, see the included notebooks in the examples folder. This folder contains three examples, each for a precise granularity:
- The first one called
instrument-kaiko-depth.ipynb, explains how to get, chart, and analyze, the markets depth by instrument (pair+exchange) - The second one called
asset-exchange-kaiko-depth.ipynbexplains how to get, chart, and analyze, the markets depth for one single asset, aggregated across a selection of exchanges. The view given is a comparative view by exchange. - The third one, called
asset-kaiko-depth.ipynbexplains how to get, chart, and analyze, the market depth for a list of selected assets. This one is the one used for the example above.
For additional information regarding the Kaiko endpoint utilized in the repository and module, please refer to the Kaiko REST API documentation provided here.
Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.