Level 1 & Level 2 Data - CeFi Derivatives

The need for independent institutional-grade crypto market data has never been higher, and that’s what we deliver, backed by proprietary methodologies, approved by regulators and the wider industry. Our data is used as the foundation for world-class crypto indices underlying market-leading financial products and premium research published on a global scale.<br/>

**Our CeFi Derivatives Data** <br/><br/>CeFi derivatives data delivers comprehensive, tick-level and aggregated market data for futures, perpetuals, and options, including trades, order books, open interest, and liquidations, plus funding rates for perpetuals, standardized across 20+ leading centralized cryptocurrency exchanges."<br/><br/>See our full CeFi Derivatives market coverage [here](https://docs.kaiko.com/coverage/cefi-derivative-markets).

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**Bid-Ask-Spread**

<br/>Details a point-in-time view of the bids and asks on an exchange's order book to 10% depth.<br/><br/>Includes the raw order book snapshot data on which bid-ask-spread is calculated. Data refreshes once a day containing at least one snapshot per minute.

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**Market Depth**<br/><br/>Includes the raw order book snapshot data on which market depth is calculated. Data refreshes once a day containing at least one snapshot per minute.

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**Price Slippage**

Includes the raw order book snapshot data on which price slippage is calculated. Data refreshes once a day containing at least one snapshot per minute.

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**Trade Count**<br/><br/>This dataset offers the trade count history for an instrument on an exchange.

Available as a once-a-day refresh or in near real-time at 1-hour to 1-day granularity.

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**VWAP**<br/><br/>This dataset offers aggregated VWAP (volume-weighted average price) history for an instrument on an exchange.

Available as a once-a-day refresh or in near real-time at 1-second to 1-day granularity.

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搜集汇总

背景与挑战

背景概述

该数据集提供机构级的加密货币中心化衍生品市场数据，涵盖Level 1和Level 2信息，包括买卖价差、市场深度、价格滑点、交易计数和VWAP等指标。数据源自20多家主流交易所，以每日或近实时频率更新，支持衍生品市场的深度分析。