The Analytics page within the Kraken Pro web interface highlights advanced metrics intended to complement the charting and other trading information available on Kraken. With Kraken Pro Analytics you can utilize these analytics to better inform your trading decisions and gain further insight into exchange activity. As with the Trade page, you can select a currency pair to analyze in the top left market selector, and the interval for data aggregation can be chosen within certain individual charts.
The following analytics are currently available on Kraken Pro:
Order book volume imbalance is the difference between cumulative buy and sell order volume within the same price distance from the mid price of the orderbook. Imbalances show if there is any difference in traders willing to buy or sell at a certain distance from the current market price.
Order book slippage represents the volume weighted average price (VWAP) at which 100k USD equivalent could be bought or sold given the current liquidity. Slippage does not provide actual execution prices, but rather an indication of the potential price move to execute a sizable trade.
The formula used to calculate volatility is as follows:
where:
- Vt is the historical volatility at time t
- Pt is the currency pairs' closing price at time t, sampled at the selected sampling frequency
- N is the number of sampling intervals included in the estimation window
Kraken uses the following estimation windows (lookback) corresponding to each sampling frequency. The number of sampling intervals N are also included.
Sampling Frequency | Lookback | N |
---|---|---|
1 minute | 1 hour | 60 |
15 minutes | 1 day | 96 |
30 minutes | 1 day | 48 |
1 hour | 1 day | 24 |
1 day | 30 days | 30 |
1 week | 12 weeks | 12 |