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

SER feed is a data-as-a-service product relying on our extensive coverage across exchanges as a solution to the price fragmentation problem. - SER 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 SER returned is the VWAP of these VWAPs across exchanges.** *with SER, the base/quote pair do not require to trade direclty on the source (exchange). - If it does, SER takes the VWAP - If it does not, SER triangulates accross trading pairs to define a path (e.g. Base/XXX, XXX/YYY, YYY/Quote) replicating the Base/Quote pair. The path chosen out of the multiple possibilities of such a graph is the one maximizing volume traded (more liquid route). The rate taken is determined by this route, as well as equivalent volume traded. - SER integrates use of an FX bridge allowing users to build their rates in ~200 fiat currencies. Documentation is available here : https://docs.kaiko.com/#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现货汇率设施的实时用户自定义参考汇率，通过整合多个交易所数据解决价格碎片化问题，采用VWAP的VWAP计算方法，并允许用户自定义资产、时间粒度和数据源。它支持三角套汇路径处理非直接交易对，并利用FX桥接扩展至约200种法币，数据源覆盖中心化和去中心化交易所，确保数据标准化与实时收集。