Market Data

Subscription Examples

Sample Requests and Stream

Request → Receipt Confirmation → Stream (continuous feed)

Candlesticks

Continuous feed of candlestick data with default/provided depth.

Valid channels are: candles_minute_1, candles_minute_5, candles_minute_10, candles_minute_15, candles_minute_30, candles_hour_1, candles_hour_2, candles_hour_4, candles_hour_6, candles_hour_12, candles_day_1, candles_day_3, candles_week_1 and candles_month_1

Stream Response Field	Data Type	Description
symbol	String	symbol name
amount	String	quote units traded over the interval
high	String	highest price over the interval
quantity	String	base units traded over the interval
tradeCount	Integer	count of trades
low	String	lowest price over the interval
closeTime	Long	close time of interval
startTime	Long	start time of interval
close	String	price at the end time
open	String	price at the start time
ts	Long	time the record was pushed

Example:

# --> Request
{
  "event": "subscribe",
  "channel": ["candles_minute_1"],
  "symbols": ["btc_usdt"]
}

# <-- Receipt Confirmation
{
  "channel": "candles_minute_1",
  "event": "subscribe",
  "symbols": ["BTC_USDT"]
}

# <-- Stream
{
  "channel": "candles_minute_1",
  "data": [{
      "symbol": "BTC_USDT",
      "amount": "0",
      "high": "9999.07",
      "quantity": "0",
      "tradeCount": 0,
      "low": "9999.07",
      "closeTime": 1648057199999,
      "startTime": 1648057140000,
      "close": "9999.07",
      "open": "9999.07",
      "ts": 1648057141081
    }
  }]
}

Trades

Continuous feed of recent trades with default/provided depth.

Stream Response Field	Data Type	Description
symbol	String	symbol name
amount	String	quote units traded
takerSide	String	trade side (buy, sell)
quantity	String	base units traded
createTime	Long	time the trade was created
price	String	trade price
id	Long	trade id
ts	Long	time the record was pushed

Example:

# --> Request
{
  "event": "subscribe",
  "channel": ["trades"],
  "symbols": ["BTC_USDT"]
}

# <-- Receipt Confirmation
{
  "channel": "trades",
  "event": "subscribe",
  "symbols": ["BTC_USDT"]
}

# <-- Stream
{
  "channel": "trades",
  "data": [{
    "symbol": "BTC_USDT",
    "amount": "70", 
    "takerSide": "buy",
    "quantity": "4",
    "createTime": 1648059516810,
    "price": "104", 
    "id": 1648059516810, 
    "ts": 1648059516832
  }]
}

Ticker

Continuous feed (updated every second) of current day ticker data

Stream Response Field	Data Type	Description
symbol	String	symbol name
dailyChange	String	daily change in decimal
high	String	highest price over the last 24h
amount	String	quote units traded over the last 24h
quantity	String	base units traded over the last 24h
tradeCount	Integer	count of trades
low	String	lowest price over the last 24h
closeTime	Long	close time for the 24h interval
startTime	Long	start time for the 24h interval
close	String	price at the end time
open	String	price at the start time
ts	Long	time the record was pushed
markPrice	String	mark price at the end time

Example:

# --> Request
{
  "event": "subscribe",
  "channel": ["ticker"],
  "symbols": ["ETH_USDT"]
}

# <-- Receipt Confirmation
{
  "channel": "ticker",
  "event": "subscribe",
  "symbols": ["ETH_USDT"]
}

# <-- Stream
{
  "channel": "ticker",
  "data": [{
    "symbol": "ETH_USDT",
    "dailyChange": "0.9428",
    "high": "507",
    "amount": "20",
    "quantity": "3",
    "tradeCount": 11,
    "low": "16",
    "closeTime": 1634062351868,
    "startTime": 1633996800000,
    "close": "204",
    "open": "105",
    "ts": 1648052794867,
    "markPrice": "205",
  }]
}

Ticker (All Symbols)

# --> Request
{
  "event": "subscribe",
  "channel": ["ticker"],
  "symbols": ["all"]
}

# <-- Receipt Confirmation
{
  "channel": "ticker",
  "event": "subscribe",
  "symbols": ["all"]
}

# <-- Stream
{
  "channel": "ticker",
  "data": [{
    "symbol": "BTC_USDT",
    "dailyChange": "-0.7409",
    "high": "38596.3",
    "amount": "26843.353145272",
    "quantity": "101.00438344",
    "tradeCount": 13,
    "low": "0.8654",
    "closeTime": 1648054681007,
    "startTime": 1647968280000,
    "close": "9999.07",
    "open": "38596.3"
    "ts": 1648054693082,
    "markPrice": "38234.43"
  }]
}

# <-- Stream (continued)
{
  "channel": "ticker",
  "data": [{
    "symbol": "ETH_USDT",
    "dailyChange": "0.9428",
    "high": "507",
    "amount": "20",
    "quantity": "3",
    "tradeCount": 11,
    "low": "16",
    "closeTime": 1634062351868,
    "startTime": 1633996800000,
    "close": "204",
    "open": "105",
    "ts": "1648052794867",
    "markPrice": "205"
  }]
}

Book

Continuous feed of order book data containing asks and bids with default/provided depth. Default depth is 5. Valid depths are 5, 10, or 20, which can be specified using depth field as shown in the example. Order book is updated every 100ms.

Stream Response Field	Data Type	Description
symbol	String	symbol name
createTime	Long	time the record was created
asks	List<String>	sell orders, in ascending order of price
bids	List<String>	buy orders, in descending order of price
id	Long	id of the record (SeqId)
ts	Long	send timestamp

Example:

# --> Request
{
  "event": "subscribe",
  "channel": ["book"],
  "symbols": ["BTC_USDT"]
}

# --> Request With Depth Parameter

{
	"event": "subscribe",
	"channel": ["book"],
	"symbols": ["BTC_USDT"],
	"depth": 10
}

# <-- Receipt Confirmation
{
  "channel": "book",
  "event": "subscribe",
  "symbols": ["BTC_USDT"]  
}

# <-- Stream
{
  "channel": "book",
  "data": [{
    "symbol": "BTC_USDT",
    "createTime": 1648052239156,
    "asks": [],
    "bids": [
      ["40001.5", "2.87"],
      ["39999.4", "1"]
    ],
    "id": 123456,
    "ts": 1648052239192
  }, 
  … 
  {
    "symbol": "BTC_USDT",
    "createTime": 1648052239156,
    "asks": [],
    "bids": [
      ["40001", "2.87"],
      ["39999", "1"]
    ],
    "id": 345678,
    "ts": 1648052239192
  }]
}
…

Book Level 2

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 lastId of the current message then the client has lost connection with the server and must re-subscribe to the channel.

Stream Response Field	Data Type	Description
symbol	String	symbol name
asks	List<String>	sell orders, in ascending order of price
bids	List<String>	buy orders, in descending order of price
createTime	Long	time the record was created
lastId	Long	the id of the previous message
id	Long	id of the record (SeqId)
ts	Long	send timestamp

Example:

# --> Request
{
  "event": "subscribe",
  "channel": ["book_lv2"],
  "symbols": ["btc_usdt"]
}

# <-- Receipt confirmation
{
  "channel": "book_lv2",
  "event": "subscribe",
  "symbols": ["BTC_USDT"]
}

# <-- Stream (snapshot)
{
  "channel": "book_lv2",
  "action": "snapshot",
  "data": [{
    "symbol": "BTC_USDT",
    "asks": [
      ["6.16", "0.6"],
      ["6.17", "1"],
      ["6.18", "1"],
      ...
    ],
    "bids": [
      ["5.65", "0.02"],
      ["5.61", "1.68"],
      ["5.6", "25.38"],
      ...
    ],
    "createTime": 1653029116343,
    "lastId": 10409,
    "id": 10410,
    "ts": 1652774727337
  }]
}


# <-- Stream (update)
{
  "channel": "book_lv2",
  "action": "update",
  "data": [{
    "symbol": "BTC_USDT",
    "asks": [
      ["6.35", "3"]
    ],
    "bids": [
      ["5.65", "0.02"]
    ],
    "createTime": 1653029116345,
    "lastId": 10410,
    "id": 10421,
    "ts": 1653029116529
  }]
}