L2 Book Stream

This channel streams level 2 (L2) order book. It describes the individual price levels in the book with aggregated order quantities at each level. Only top 20 levels are included.

Update Speed

• Updates are pushed on each block, but only if at least 0.5 seconds have passed since the last update

Subscribe Request

• Subscribe Schema

See WsL2BookSubscriptionParams in Schema.

interface SubscribeRequest {
  op: "subscribe";
  id: number | null; // Optional client originated request identifier sent as acknowledgment in the response.
  params: WsL2BookSubscriptionParams;
}

• Subscribe Ack Schema

See WsL2BookSubscriptionResult in Schema.

interface SubscriptionResult {
  op: "subscribe";
  id: number | null; // Optional client originated request identifier sent as acknowledgment in the response.
  result: WsL2BookSubscriptionResult | null;
  success: boolean; // Indicates if the request was successfully processed by the engine.
  connID: string;
  error: string | null; // Condition: If success is false. Error message.
  time_in: number; // The timestamp when the subscription was received on the wire, just prior to parsing data, in milliseconds.
  time_out: number; // The timestamp when the acknowledgement was sent on the wire, just prior to transmitting data, in milliseconds.
}

• Example: Subscribe

{
  "op": "subscribe",
  "params": {
    "channel": "l2Book",
    "symbol": "WSOSO_vUSDC",
    "tickSize": "0.0001"
  }
}

• Example: Subscribe Ack

{
  "op": "subscribe",
  "result": {
    "channel": "l2Book",
    "symbol": "WSOSO_vUSDC",
    "tickSize": "0.0001"
  },
  "success": true,
  "connID": "0xb0922dfe2b14dadb1195ea4db2b45508",
  "time_in": 1672515782130,
  "time_out": 1672515782136
}

Unsubscribe Request

• Unsubscribe Schema

See WsL2BookSubscriptionParams in Schema.

interface UnsubscribeRequest {
  op: "unsubscribe";
  id: number | null; // Optional client originated request identifier sent as acknowledgment in the response.
  params: WsL2BookSubscriptionParams;
}

• Unsubscribe Ack Schema

See WsL2BookSubscriptionResult in Schema.

interface UnsubscriptionResult {
  op: "unsubscribe";
  id: number | null; // Optional client originated request identifier sent as acknowledgment in the response.
  result: WsL2BookSubscriptionResult | null;
  success: boolean; // Indicates if the request was successfully processed by the engine.
  connID: string;
  error: string | null; // Condition: If success is false. Error message.
  time_in: number; // The timestamp when the subscription was received on the wire, just prior to parsing data, in milliseconds.
  time_out: number; // The timestamp when the acknowledgement was sent on the wire, just prior to transmitting data, in milliseconds.
}

• Example: Unsubscribe

{
  "op": "unsubscribe",
  "params": {
    "channel": "l2Book",
    "symbol": "WSOSO_vUSDC",
    "tickSize": "0.0001"
  }
}

• Example: Unsubscribe Ack

{
  "op": "unsubscribe",
  "result": {
    "channel": "l2Book",
    "symbol": "WSOSO_vUSDC",
    "tickSize": "0.0001"
  },
  "success": true,
  "connID": "0xb0922dfe2b14dadb1195ea4db2b45508",
  "time_in": 1672515782130,
  "time_out": 1672515782136
}

Snapshot Response

• Snapshot Schema

See WsDepthSnapshotData in Schema.

interface L2BookResponse {
  channel: "l2Book";
  type: "snapshot";
  data: WsDepthSnapshotData;
}

• Example: Snapshot

{
  "channel": "l2Book",
  "type": "snapshot",
  "data": {
    "s": "WSOSO_vUSDC",
    "u": 12345,
    "E": 1672515782136,
    "b": [
      ["0.5666", "4831.75496356"],
      ["0.5665", "4831.75496356"],
      ["0.5664", "4831.75496356"],
      ["0.5663", "4831.75496356"],
      ["0.5662", "4831.75496356"]
    ],
    "a": [
      ["0.5668", "4410.79769741"],
      ["0.5669", "4410.79769741"],
      ["0.567", "4410.79769741"],
      ["0.5671", "4410.79769741"],
      ["0.5672", "4410.79769741"]
    ]
  }
}