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Orderbook

Subscribe to the orderbook stream. Supports different depths.

info

Retail Price Improvement (RPI) orders will not be included in the messages.

Depths​

Linear & inverse:
Level 1 data, push frequency: 10ms
Level 50 data, push frequency: 20ms
Level 200 data, push frequency: 100ms
Level 1000 data, push frequency: 200ms

Spot:
Level 1 data, push frequency: 10ms
Level 50 data, push frequency: 20ms
Level 200 data, push frequency: 200ms
Level 1000 data, push frequency: 200ms

Option:
Level 25 data, push frequency: 20ms
Level 100 data, push frequency: 100ms

Topic:
orderbook.{depth}.{symbol} e.g., orderbook.1.BTCUSDT

Process snapshot/delta​

To process snapshot and delta messages, please follow these rules:

Once you have subscribed successfully, you will receive a snapshot. The WebSocket will keep pushing delta messages every time the orderbook changes. If you receive a new snapshot message, you will have to reset your local orderbook. If there is a problem on Bybit's end, a snapshot will be re-sent, which is guaranteed to contain the latest data.

To apply delta updates:

  • If you receive an amount that is 0, delete the entry
  • If you receive an amount that does not exist, insert it
  • If the entry exists, you simply update the value

See working code examples of this logic in the FAQ.

info
  • Linear, inverse, spot level 1 data: if 3 seconds have elapsed without a change in the orderbook, a snapshot message will be pushed again, and the field u will be the same as that in the previous message.
  • Linear, inverse, spot level 1 data has snapshot message only
  • PreLaunch contracts: there is no feed until ContinuousTrading stage

Response Parameters​

ParameterTypeComments
topicstringTopic name
typestringData type. snapshot,delta
tsnumberThe timestamp (ms) that the system generates the data
datamapObject
> sstringSymbol name
> barrayBids. For snapshot stream. Sorted by price in descending order
>> b[0]stringBid price
>> b[1]stringBid size
  • The delta data has size=0, which means that all quotations for this price have been filled or cancelled
> aarrayAsks. For snapshot stream. Sorted by price in ascending order
>> a[0]stringAsk price
>> a[1]stringAsk size
  • The delta data has size=0, which means that all quotations for this price have been filled or cancelled
> uintegerUpdate ID
  • Occasionally, you'll receive "u"=1, which is a snapshot data due to the restart of the service. So please overwrite your local orderbook
  • For level 1 of linear, inverse Perps and Futures, the snapshot data will be pushed again when there is no change in 3 seconds, and the "u" will be the same as that in the previous message
> seqintegerCross sequence
  • You can use this field to compare different levels orderbook data, and for the smaller seq, then it means the data is generated earlier.
ctsnumberThe timestamp from the matching engine when this orderbook data is produced. It can be correlated with T from public trade channel

Subscribe Example​

from pybit.unified_trading import WebSocket
from time import sleep
ws = WebSocket(
    testnet=True,
    channel_type="linear",
)
def handle_message(message):
    print(message)
ws.orderbook_stream(
    depth=50,
    symbol="BTCUSDT",
    callback=handle_message
)
while True:
    sleep(1)

Response Example​

{
    "topic": "orderbook.50.BTCUSDT",
    "type": "snapshot",
    "ts": 1672304484978,
    "data": {
        "s": "BTCUSDT",
        "b": [
            ...,
            [
                "16493.50",
                "0.006"
            ],
            [
                "16493.00",
                "0.100"
            ]
        ],
        "a": [
            [
                "16611.00",
                "0.029"
            ],
            [
                "16612.00",
                "0.213"
            ],
            ...,
        ],
    "u": 18521288,
    "seq": 7961638724
    },
    "cts": 1672304484976
}