Correlation, Beta and Realized Volatility

This endpoint returns the entire series of closing prices for two selected currency pairs from a given exchange. In addition to the series of closing prices the endpoint also returns the various realized volatility measures (using the high/low Parkinson method), rolling correlation calculation and beta. Beta is a measure of the second pair, in terms of the first pair.

RESPONSE DATA
FieldTypeDescription
payload.metadata.api-versionstringVersion of the API.
payload.data[index].timestamptimestampThe observation timestamp.
payload.data[index].pairOnestringThe symbol of the first pair parameter.
payload.data[index].closeOnenumberThis is the closing price of the first pair parameter.
payload.data[index].returnOnenumberThe close to close log normal return of the first pair parameter.
payload.data[index].realizedVolatility30OnenumberThis is the 30-day Parkinson realized volatility for the first pair parameter.
payload.data[index].realizedVolatility90OnenumberThis is the 90-day Parkinson realized volatility for the first pair parameter.
payload.data[index].realizedVolatility180OnenumberThis is the 180-day Parkinson realized volatility for the first pair parameter.
payload.data[index].pairTwonumberThe symbol of the second pair parameter.
payload.data[index].closeTwonumberThis is the closing price of the second pair parameter.
payload.data[index].returnTwonumberThe close to close log normal return of the second pair parameter.
payload.data[index].realizedVolatility30TwonumberThis is the 30-day Parkinson realized volatility for the second pair parameter.
payload.data[index].realizedVolatility90TwonumberThis is the 90-day Parkinson realized volatility for the second pair parameter.
payload.data[index].realizedVolatility180TwonumberThis is the 180-day Parkinson realized volatility for the second pair parameter.
payload.data[index].correlation30numberThis is the 30-day rolling correlation between the first pair and second pair.
payload.data[index].correlation90numberThis is the 90-day rolling correlation between the first pair and second pair.
payload.data[index].correlation180numberThis is the 180-day rolling correlation between the first pair and second pair.
payload.data[index].beta30numberThis is the 30-day rolling beta between the first pair and second pair, in units of the first pair.
payload.data[index].beta90numberThis is the 90-day rolling beta between the first pair and second pair, in units of the first pair.
payload.data[index].beta180numberThis is the 180-day rolling beta between the first pair and second pair, in units of the first pair.

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