Kraken Pro Analytics

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:

Trade count

The trade count is the total number of trades executed within the selected sampling frequency. This can be used to see at which times more or less trades were executed.

Traded Volumes

Total volume traded on Kraken within the selected sampling frequency expressed in units of base currency. This can be used to see at which times what kind of volumes of trades were executed.

Order book imbalance and slippage

This module contains two primary pieces of information concerning order book details, liquidity imbalance and slippage.

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.

Aggressor differential

The difference in volume between “aggressors” (i.e. price takers) within the selected sampling frequency expressed in units of base currency. This number is given as the total taker buy volume minus any taker sell volumes and highlights the imbalances when market participants are willing to cross the bid/ask spread to achieve their trading goals.

Rolling volatility

Historical volatility computed on a rolling window of returns. Volatility is calculated using the standard deviation of currency pairs’ logarithmic returns. Logarithmic returns are computed with price snapshots taken at the selected sampling frequency. Historical volatility can indicate to traders times when price action was particularly calm or disorderly, depending on its value.

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

Data Availability

Due to market conditions, one or more metric might not be available for some assets at higher frequencies. For example, if the 1 minute interval is selected and the historical window covered is small, the Trade count metric will have no data to show.