API Documentation
version - v1 beta

Post Methods

For flexible, fast, low cost queries

[post]

backtest

[post]

cointegration

[post]

copula

[post]

correlations

[post]

spread

[post]

zscores

Get Methods

Data done for you

[get]

backtest

[get]

cointegration

[get]

copula

[get]

correlations

[get]

credits used

[get]

prescanned

[get]

spread

[get]

zscores

API Route - spread-get

/v1beta/cointegration

https://api.cryptowizards.net/v1beta/cointegration
Credits: 5

This GET method entails extracting data for analysis on your behalf. Note this carries a higher credits requirement. It is recommended to send in your own price data using POST endpoints if possible to increase the number of requests that can be made and at faster speeds.


Dynamic Spread: Provides a speread derived from a time-varying hedge ratio using a Kalman Filter.


OU Spread: Spread estimated using MLE on OU process


Static: Traditionally calculated spread using OLS


Parameters

symbol_1 (required)
i.e. BTCUSDT (if Binance) or BTC-USD (Coinbase) etc
symbol_2 (required)
i.e. BTCUSDT (if Binance) or BTC-USD (Coinbase) etc
exchange (required)
Binance, BinanceUs, ByBit, Coinbase, Dydx, Forex, Stocks
interval (required)
Daily, Hourly, Min5
period (required)
i.e. 365
spread_type
Dynamic, Ou, Static - (default Dynamic)
roll_w
Rolling window for rolling zscore
with_history
true returns results with extra historical data

GitHub Code Examples

GitHub Example
GitHub Example

Request Body (Curl)

curl -X GET "https://api.cryptowizards.net/v1beta/spread?symbol_1=BTCUSDT\
&symbol_2=ETHUSDT&exchange=Binance&interval=Daily&period=365&spread_type=Static&roll_w=42\
&with_history=false" \
  -H "Content-Type: application/json" \
  -H "X-api-key: REPLACE_WITH_YOUR_API_KEY"

Response

{
  "spread": [],
  "zscore": [],
  "zscore_roll": [],
  "hedge_ratio": 0.26066950897792207,
  "half_life": 9.638801786487948,
  "hurst": 1.3818318260575893,
  "sigma0crossings": 7,
  "sigma2crossings": 2,
  "log_used": true,
  "last_zscore": {
    "zscore": -1.8292905507644137,
    "zscore_roll": -1.0829753075040158
  }
}

Response (with History)

{
  "spread": [
    0.040914855946655226,
    -0.13086802745059822,
    ...,
  ],
  "zscore": [
    0.3799574955314287,
    1.1514627231415435,
    ...
  ],
  "zscore_roll": [
    0.0,
    ...
    -2.8941234586460354,
  ],
  "hedge_ratio": 0.26066950897792207,
  "half_life": 9.638801786487948,
  "hurst": 1.3818318260575893,
  "sigma0crossings": 7,
  "sigma2crossings": 2,
  "log_used": true,
  "last_zscore": {
      "zscore": -1.8292905507644137, // (normalised spread)
      "zscore_roll": -1.0829753075040158
  }
}