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.

DER feed是一款数据即服务（Data-as-a-Service, DaaS）产品，依托我们在全球各交易所的广泛覆盖能力，为解决价格碎片化问题提供解决方案。从本质上来说，DER实为成交量加权平均价（Volume Weighted Average Price, VWAP）的成交量加权平均价。
实时返回的费率计算流程如下：
1. 用户确定需获取费率的基础资产（base asset）与报价货币（quote currency）*
2. 用户指定所需的时间粒度（如1分钟、5分钟、1小时等）
3. 用户指定所有需纳入计算的数据源（覆盖各交易所，此配置将根据用户许可证预设完成）
针对每个数据源的每个时间窗口计算成交量加权平均价，最终返回的DER即为各交易所数据源的上述成交量加权平均价的加权平均结果。
*使用DER时，基础资产/报价货币交易对必须在各数据源上直接交易。若某数据源未提供该交易对，则返回空值，且不会影响整体DER费率的计算。
相关文档可访问：https://docs.kaiko.com/#direct-exchange-rate
就合格数据源而言，Kaiko覆盖以下两类：
(i) 中心化交易所（Centralized Exchange, CEX）：例如Coinbase、Kraken、币安（Binance）、火币（Huobi）等
(ii) 去中心化交易所（Decentralized Exchange, DEX）：例如Uniswap，我们的覆盖范围正在快速拓展。
用户可清晰知晓所用数据源，且去中心化交易所与中心化交易所的数据源均经过统一标准化处理。
Kaiko的中心化交易所实时数据通过冗余WebSocket集群进行采集（以缓解连接故障、数据包丢失问题，并优化延迟——同时解决交易所Web服务的网络路由不确定性问题），并配套自动化REST回填流程作为支撑。
Kaiko的去中心化交易所实时数据则通过专用区块链节点（如以太坊（Ethereum）、币安智能链（BSC））进行采集，从去中心化交易所协议的智能合约或区块中获取交易数据事件，具体方式取决于各协议的实现逻辑。
我们的基础设施覆盖各类技术栈，可为用户提供无缝的数据馈送服务，用户无需应对上述复杂技术细节。

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。