Kaiko Order Book metric - real-time average OB depth breakdown

We provide real-time trade data for over 100 exchanges and 90,000+ instruments. Order Book average depth breakdown 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 average depth is a metric oriented liquidity measure allowing to build data driven strategy/analytics/research/products relying on an understanding of the order book dynamics. Real time REST API documentation is available here : https://docs.kaiko.com/#order-book-aggregations-depth 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

该数据集提供来自100多家交易所的实时订单簿平均深度细分指标，涵盖9万多种交易工具，专为中心化交易所设计。该指标用于流动性分析和数据驱动策略，数据通过冗余WebSocket集群收集并经过标准化处理，确保来源透明和一致性。