Kaiko Order Book metric aggregate - real-time OB average spread over time

We provide real-time trade data for over 100 exchanges and 90,000+ instruments. Order Book spread average metric is a product specific to centralized exchanges operating the market as per traditional finance standards, with an order book for each trading instrument. Order book spread is a metric oriented liquidity measure allowing to build data driven strategy/analytics/research/products relying on an understanding of the order book dynamics. The source is transparent for the users, data is equally normalized across CEX 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. 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100余家中心化交易所的实时订单簿平均价差指标，覆盖超过9万种交易品种，通过WebSocket集群与REST补全相结合的架构确保数据连续性和准确性。订单簿价差作为流动性衡量指标，支持基于市场深度分析的量化策略开发和研究工作。