Book

The book channel provides level and book updates for the requested product codes. Upon subscribing, a book snapshot is received for each product matching the subscribed product code. After receiving a book snapshot, level updates can be applied. A level update can be applied to the book snapshot if level.ack_id > book.ack_id. A level update with a quantity of 0 means that price level has been cleared out, either from a match or a cancel.

Note: It is possible for the book snapshot to not arrive immediately upon subscribing to a book channel. This is only possible when the WebSocket is recovering from an error and is reconciling the pricefeed to make sure it has an accurate book snapshot to send. In this case it will send the book snapshot as soon as it has confirmed it's correct. This also means that clients will not receive any book snapshots until it has been reconciled even though they are indeed subscribed.

Level Updates

Message Format

interface LevelMessage {
  type: "level";
  ack_id: string;
  price: number;
  quantity: number;
  side: string;
  symbol: string;
  timestamp: string;
}

Examples

{
  "type": "level",
  "ack_id": "7148460953766461522",
  "price": 20000,
  "quantity": 10,
  "side": "Bid",
  "symbol": "BUSZ22",
  "timestamp": "2022-09-28T16:04:32.357586392Z"
}

{
  "type": "level",
  "ack_id": "7148460953766461524",
  "price": 20000,
  "quantity": 0,
  "side": "Bid",
  "symbol": "BUSZ22",
  "timestamp": "2022-09-28T16:04:37.003590493Z"
}

Book Update

Message Format

interface BookMessage {
  type: "book";
  ack_id: string;
  asks: [number, number][];
  bids: [number, number][];
  symbol: string;
  timestamp: string;
}

Example

{
  "type": "book",
  "ack_id": "7148460953766461532",
  "asks": [
    [21000, 10],
    [22000, 10]
  ],
  "bids": [
    [19000, 15],
    [18000, 10]
  ],
  "symbol": "BUSZ22",
  "timestamp": "2022-09-28T16:07:36.93709645Z"
}

Each book update contains an array of asks and bids, which are aggregated per price level and represented as a tuple of (price, quantity). They are ordered such that the first element is the best ask or best bid, respectively. Note that the ack_id of a book update will be 0 when the market is closed.