Kaiko Order Book metric - real-time OB spread

We provide real-time trade data for over 100 exchanges and 90,000+ instruments. Order Book spread 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

该数据集提供覆盖100多个交易所和超过9万种交易品种的实时订单簿价差数据，作为衡量流动性的关键指标。它专为中心化交易所设计，数据经过标准化处理，并通过冗余WebSocket集群和自动REST回填技术确保可靠性与低延迟。这些数据支持用户基于订单簿动态开发数据驱动的策略、分析和产品。