Derivatives Market Data — DerivativesClient Reference

import { DerivativesClient } from '@siebly/kraken-api';

// No API keys needed for public data
const client = new DerivativesClient();

import { DerivativesClient } from '@siebly/kraken-api';

const client = new DerivativesClient();

const response = await client.getTradeHistory({ symbol: 'PF_BTCUSD' });

for (const trade of response.history) {
  console.log(trade.time, trade.side, trade.size, '@', trade.price);
}

const response = await client.getInstruments();

for (const instrument of response.instruments) {
  console.log(instrument.symbol, instrument.type, instrument.tradeable);
  // e.g. "PF_BTCUSD" "flexible_futures" true
}

const status = await client.getInstrumentStatus({ symbol: 'PF_BTCUSD' });

console.log(status.experiencingDislocation);       // boolean
console.log(status.priceDislocationDirection);     // "ABOVE_UPPER_BOUND" | "BELOW_LOWER_BOUND" | null
console.log(status.experiencingExtremeVolatility); // boolean
console.log(status.extremeVolatilityInitialMarginMultiplier); // number

const response = await client.getInstrumentStatusList();

for (const status of response.instrumentStatus) {
  console.log(status.tradeable, status.experiencingDislocation);
}

import { DerivativesClient } from '@siebly/kraken-api';

const client = new DerivativesClient();

const response = await client.getTickers();

for (const ticker of response.tickers) {
  console.log(ticker.symbol, ticker.markPrice, ticker.fundingRate);
}

const response = await client.getTicker({ symbol: 'PF_ETHUSD' });

console.log(response.ticker.markPrice);
console.log(response.ticker.fundingRate);

const response = await client.getOrderbook({ symbol: 'PF_ETHUSD' });

const { bids, asks } = response.orderBook;

console.log('Best bid:', bids[0][0], '@', bids[0][1]);
console.log('Best ask:', asks[0][0], '@', asks[0][1]);

const response = await client.getHistoricalFundingRates({ symbol: 'PF_BTCUSD' });

for (const rate of response.rates) {
  console.log(rate.timestamp, rate.fundingRate, rate.relativeFundingRate);
}

const tickTypes = await client.getTickTypes();
console.log(tickTypes); // ["trade", "mark", "spot"]

const markets = await client.getMarketsForTickType({ tickType: 'trade' });
console.log(markets); // ["PF_BTCUSD", "PF_ETHUSD", ...]

const resolutions = await client.getResolutions({
  tickType: 'trade',
  symbol: 'PF_ETHUSD',
});
console.log(resolutions); // ["1m", "5m", "15m", ...]

const response = await client.getFeeSchedules();

for (const schedule of response.feeSchedules) {
  console.log(schedule.name, schedule.uid);
  for (const tier of schedule.tiers) {
    console.log(`  Volume ≥ $${tier.usdVolume}: maker ${tier.makerFee}, taker ${tier.takerFee}`);
  }
}

const response = await client.getFeeScheduleVolumes();
console.log(response.volumesByFeeSchedule);
// { "some-fee-schedule-uid": 1250000 }

const response = await client.getPublicExecutionEvents({
  tradeable: 'PF_ETHUSD',
  sort: 'desc',
  count: 100,
});

console.log(`Returned ${response.len} events`);
if (response.continuationToken) {
  // Fetch the next page
  const page2 = await client.getPublicExecutionEvents({
    tradeable: 'PF_ETHUSD',
    continuation_token: response.continuationToken,
  });
}

const response = await client.getPublicOrderEvents({
  tradeable: 'PF_ETHUSD',
  count: 50,
});

const response = await client.getPublicMarkPriceEvents({
  tradeable: 'PF_ETHUSD',
  before: Date.now() - 3600000, // events from 1 hour ago
});

for (const element of response.elements) {
  console.log(new Date(element.timestamp), element.event.price);
}

const stats = await client.getLiquidityPoolStatistic({
  symbol: 'PF_ETHUSD',
  analyticsType: 'liquidity',
  since: Math.floor(Date.now() / 1000) - 86400,
  interval: 3600,
});

console.log(stats.result.timestamp);
console.log(stats.result.data);

const analytics = await client.getMarketAnalytics({
  symbol: 'PF_ETHUSD',
  analyticsType: 'open-interest',
  since: Math.floor(Date.now() / 1000) - 86400 * 7,
  interval: 3600, // hourly buckets
});

console.log(analytics.result.timestamp); // array of epoch timestamps
console.log(analytics.result.more);      // true if more data is available

const params = await client.getPortfolioMarginParameters();

console.log(params.crossAssetNettingFactor);
console.log(params.priceShockLevels);
console.log(params.optionsUserLimits.maxNetPositionDelta);

const simulation = await client.simulateMarginRequirements({
  json: {
    // portfolio positions and balances payload
  },
});

console.log(simulation.maintenanceMargin);
console.log(simulation.initialMargin);
console.log(simulation.pnl);