Analytics
Get aggregate TCA statistics
GET /api/tca_stats/
Retrieves aggregate statistics for a set of orders, as filtered by query parameters below. Note that the output is a subset of the data shown on TaaS's Analytics page.
Query Parameters
accounts__name
string
Account to include in aggregation
pair
string
Example: BTC-USDT
side
string
buy or sell
super_strategy
string
Strategy to include (Impact Minimization, Aggressive Maker, etc.) Note that only one of (strategy, super_strategy) should be specified in a call
created_at__gte
ISO 8601 date
Include only orders created on or after this date, e.g., 2024-09-13
created_at__lte
ISO 8601 date
Include only orders created on or before this date, e.g., 2024-09-14
{'summary': {'num_orders': 1000,
'num_pairs': 8,
'avg_duration': 175.74219266221795,
'sum_notional': 12436204.142881382,
'orders_value': '$12.44M',
'sum_fee': 4741.834601611435,
'exch_fee': '$4.74K',
'fee_cost': 3.8129276000392065,
'pov': 0.0,
'departure_cost': 0.7686062896022027,
'arrival_cost': 0.6356043187543811,
'vwap_cost': 0.6395291279757329,
'interval_returns': -0.13300197084782164},
'breakdowns': {'fill_role': {'cutbys': ['role'],
'labels': ['TAKE', 'MAKE', 'OTC'],
'data': {'TAKE': [58.74792384940719],
'MAKE': [40.844465220094875],
'OTC': [0.4076109304979441]}},
'fill_exchange': {'cutbys': ['exchange'],
'labels': ['OKX', 'OKXOTC', 'Bybit'],
'data': {'OKX': [99.51157408033795],
'OKXOTC': [0.4076109304979441],
'Bybit': [0.08081498916409907]}}}}Get orders with detailed stats (TCA data)
GET /api/orders_with_stats/
Similar to data from GET /orders endpoint, but includes more detailed execution info: list of fills and relevant transaction cost analysis data such as arrival and departure price.
Query Parameters
page_size
number
size of paginated orders, max 1000
default: 500
page
number
1-indexed page number
default: 1
{
"orders": [
{
"id": "8cb8b3f6-d0ed-4dcc-97cb-d46baab928c9",
"custom_order_id": "",
"notes": "",
"pair": "1INCH:PERP-USDT",
"side": "buy",
"buy_token": "1INCH:PERP",
"sell_token": "USDT",
"sell_token_amount": 376.4,
"executed_qty": 376.5159,
"average_executed_price": 0.37651596708133706,
"executed_notional": 376.5159,
"total_fee": 0.17899986,
"strategy": "TWAP",
"super_strategy": "Impact Minimization",
"duration": 120,
"accounts": [
"8640fa74-c66f-44a9-8686-c71bf0491ec4"
],
"account_names": [
"okxtest"
],
"engine_passiveness": 0.02,
"schedule_discretion": 0.08,
"strategy_params": {
"reduce_only": true,
"passive_only": false
},
"user": "2",
"status": "COMPLETE",
"is_simple": false,
"failure_reason": "",
"limit_price": -1.0,
"time_start": "2024-01-25T23:25:54.712402Z",
"time_end": "2024-01-25T23:27:54.712402Z",
"created_at": "2024-01-25T23:25:54.762625Z",
"updated_at": "2024-01-25T23:30:49.646518Z",
"fills": [
{
"placement_id": "a5b2018a-173e-4972-b1c9-c4bbca81e7b6",
"role": "TAKE",
"executed_price": 0.3765,
"executed_qty": 17.6955,
"executed_notional": 17.6955,
"fee": 0.00884775,
"fill_time": "2024-01-25T23:26:13.346000Z"
},
//...
],
"stats": {
"order_id": "8cb8b3f6-d0ed-4dcc-97cb-d46baab928c9",
"stat_id": 233531,
"interval_volume": 544.5882,
"vwap": 3214.6546467955054,
"arrival_price": 3214.81,
"departure_price": 3215.08
}
},
//...
],
"page_number": 1,
"page_size": 500,
"num_pages": 1,
"order_count": 73
}Get multi order TCA
GET /api/multi_order_tca
Similar to data from GET /orders endpoint, but includes more detailed execution info: list of fills and relevant transaction cost analysis data such as arrival and departure price. Refer to Benchmark Costs for detailed explanations on some of the metrics.
Query Parameters
Need either multi_order_id or custom_order_id
multi_order_id
string
UUID of multi order
custom_order_id
string
specified multi order
{
"notional_exposure": 57.451, // in USD
"fee_notional": 9.94468e-7, // in USD
"fee_cost": 0.00004, // in bps
"vwap_cost": 39.23477228401562, // in bps
"arrival_cost": 40.250532544640556, // in bps
"pov": 0.19167316910751267 // participation rate in percent i.e. this is 0.19%
}Last updated
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