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

Name	Type	Description
accounts__name	string	Account to include in aggregation
pair	string	Example: BTC-USDT
side	string	buy or sell
strategy	string	Trajectory to include (VWAP, TWAP, IS)
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

200: OK

{'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]}}}}

403: Forbidden

500: Internal Server Error

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

Name	Type	Description
page_size	number	size of paginated orders, max 1000 default: 500
page	number	1-indexed page number default: 1

200: OK paginated orders with stats

{
    "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

Name	Type	Description
multi_order_id	string	UUID of multi order
custom_order_id	string	specified multi order

200: OK paginated orders with stats

{
  "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%
}

422: Unprocessable Entity