Kaiko Direct Exchange Rates facility - real-time user defined reference rates

DER feed is a data-as-a-service product relying on our extensive coverage across exchanges as a solution to the price fragmentation problem. - DER is essentially a VWAP of VWAP. The rate returned in real-time is calculated as follows: 0- User determines what (base) asset is needed to get a rate, in which quote (price currency)* 1- User indicates what time granularity is required (1mn, 5mn, 1h, etc.) 2- User indicates all the sources that should be taken into account (across exchanges, this is preset based on user's license) 3- A VWAP is calculated for each time window on each source. The DER returned is the VWAP of these VWAPs across exchanges. *with DER, the base/quote pair must trade directly on the different sources. If the pair is not traded on the source, null is returned, not affecting the overall DER rate. Documentation is available here : https://docs.kaiko.com/#direct-exchange-rate When it comes to the eligible sources, Kaiko covers: (i) Centralized EXchanges (e.g. Coinbase, Kraken, Binance, Huobi) - CEXes (ii) Decentralized EXchanges (e.g. Uniswap) - DEXes: our coverage is rapidely expanding. The source is transparent for the users, data is equally normalized across both DEXes and CEXes sources. Kaiko Real time CEX sourced data is collected via a redundant web-socket cluster (to mitigate connectivity issues, packet loss and optimize latency - network route in-determination of exchanges web services) backed by an automatic REST back-fill process. Kaiko Real time DEX sourced data is collected via dedicated blockchain nodes (e.g. ethereum, BSC) to fetch trade data events from the DEXes protocol smart contracts / the blocks - depending on each protocol implementation. Our infrastructure covers the different stacks for a seamless feed from user perspective - who do not have to cope with this complexity.

搜集汇总

背景与挑战

背景概述

该数据集提供Kaiko Direct Exchange Rates（DER）服务，这是一种实时用户自定义参考汇率解决方案，通过跨交易所计算VWAP来应对价格碎片化问题。数据来源覆盖中心化交易所（CEX）和去中心化交易所（DEX），并采用标准化收集技术确保数据一致性和可靠性。