Orderbook

Market depth data for a trading pair:

• Snapshot depth: 40 each for asks and bids.
• Events trigger order book version change:
  • order enters order book
  • order leaves order book
  • order quantity changes
  • order filled

Pushes snapshot data only

Push frequency: 100ms

Topic: orderbook.40.{symbol}

Response Parameters

Parameter	Type	Comments
topic	string	Topic name
ts	number	The timestamp (ms) that message is sent out
type	string	Data type. snapshot
data	array	Object
> s	string	Trading pair
> t	number	The timestamp (ms) that system generates the data.
> b	array	Bids. The element is sorted by price in descending order
>> b[0]	string	Bid price
>> b[1]	string	Bid size
> a	array	Asks. The element is sorted by price in ascending order
>> a[0]	string	Ask price
>> a[1]	string	Ask size

Subscribe Example

{
    "req_id": "depth00001", //optional
    "op": "subscribe",
    "args": [
        "orderbook.40.BTCUSDT"
    ]
}

Stream Example

{
    "topic": "orderbook.40.BTCUSDT",
    "ts": 1673439424737,
    "type": "snapshot",
    "data": {
        "s": "BTCUSDT",
        "t": 1673439424737,
        "b": [
            [
                "17423",
                "0.809534"
            ],
            [
                "17422.86",
                "0.043596"
            ],
            ...
        ],
        "a": [
            ...
            [
                "17428.28",
                "0.004811"
            ],
            [
                "17428.62",
                "0.23"
            ]
        ]
    }
}