Order Book Level 2

Description

Receive a snapshot of the full 20 level order book. Then, continuously in realtime receive an updated order book when the first 20 levels change.

To maintain a copy of the order book locally:

1. Send a book_lv2 subscription message.
2. Receive a snapshot message from the server.
3. Use an appropriate data structure to store the received book.
4. Receive an incremental order book message (update) from the server and make changes depending on [price, quantity] pair data:
   • When quantity is positive, update the corresponding price of your order book with this quantity.
   • When quantity is 0, delete this price from your order book.
5. Receive an order book message (snapshot) from the server, reset your order book data structure to match this new order book.

Note: If id of the last message does not match lid of the current message then the client has lost connection with the server and must re-subscribe to the channel.

Pushing Frequency

Real Time

Channel

book_lv2

Request Parameters

Parameter	Required	Type	Description
event	Yes	String	Operation: subscribe, unsubscribe
channel	Yes	Array	book_lv2
symbols	Yes	Array	trading pair array

Request Response

Parameter	Type	Description
event	String	Operation: subscribe, unsubscribe
channel	String	book_lv2
symbols	Array	trading pair array
message	String	Error message

Push Data

Parameter	Type	Description
channel	String	book_lv2
data	Array	The subscribed data
> asks	Array	Buy order book
> bids	Array	Sell order book
> lid	Long	last version id
> id	Long	current version id
> ts	Long	Push time (millisecond)
> s	String	A trading pair
> cT	Long	create time
action	String	snapshot full push, update incremental update

Request Example

{
  "event": "subscribe",
  "channel": ["book_lv2"],
  "symbols": ["BTC_USDT_PERP"]
}

Push Data Example

{
  "channel": "book_lv2",
  "data": [
    {
      "asks": [["46100", "9284"]],
      "bids": [["34400.089", "1"]],
      "lid": 953,
      "id": 954,
      "ts": 1718870001418,
      "s": "BTC_USDT_PERP",
      "cT": 1718869676555
    }
  ],
  "action": "snapshot"
}