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Orderbook

Subscribe to the orderbook stream. Supports different depths.

Depths​

Linear & inverse:
Level 1 data, push frequency: 10ms
Level 50 data, push frequency: 20ms
Level 200 data, push frequency: 100ms
Level 500 data, push frequency: 100ms

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

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, the element is 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, the element is 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 match 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
    }