Documentation Index
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The Market Data channel provides real-time order book updates for authorized Smart Order Routing customers. Subscribe to receive full order book snapshots followed by incremental updates.
Subscribe to Market Data
Request
{
"type": "subscribe",
"channels": [
{
"type": "market_data",
"params": {
"market": "BTCUSD"
}
}
]
}
Response
{
"type": "subscribe",
"channels": [
{
"type": "market_data",
"params": { "market": "BTCUSD" },
"success": true
}
]
}
Error Response
{
"type": "subscribe",
"channels": [
{
"type": "market_data",
"params": { "market": "BADBAD" },
"success": false,
"error": "UNKNOWN_CHANNEL_PARAMS_CONFIGURATION"
}
]
}
Message Types
SNAPSHOT Message
The initial message after subscription contains the full order book state:
{
"channel": "market_data",
"payload": {
"market": "BTCUSD",
"type": "SNAPSHOT",
"time": "2024-01-15T10:30:00.123456789Z",
"bids": [
{
"price": "50000.00",
"amount": "1.5"
},
{
"price": "49999.50",
"amount": "2.0"
}
],
"asks": [
{
"price": "50100.00",
"amount": "2.0"
},
{
"price": "50101.00",
"amount": "1.5"
}
]
}
}
UPDATE Message
Incremental changes to the order book:
{
"channel": "market_data",
"payload": {
"market": "BTCUSD",
"type": "UPDATE",
"time": "2024-01-15T10:30:01.456789012Z",
"bids": [
{
"price": "50000.00",
"amount": "0"
}
],
"asks": [
{
"price": "50100.50",
"amount": "3.5"
}
]
}
}
Processing Updates
Update Rules
- When
amount = 0: Remove the price level from the order book
- When
amount > 0: Add or update the price level with the new amount
- Bids are sorted in descending price order
- Asks are sorted in ascending price order
Snapshot Synchronization
The API uses timestamp-based synchronization to ensure order book consistency:
➊ Initial Subscription
Upon subscribing, you immediately receive UPDATE messages with timestamps while the server prepares the SNAPSHOT.
➋ Buffer Updates
Buffer all received UPDATE messages until the SNAPSHOT arrives.
➌ Process Snapshot
When the SNAPSHOT arrives with timestamp T:
- Build the order book from the SNAPSHOT
- Apply buffered UPDATEs where
UPDATE.time > SNAPSHOT.time
- Discard UPDATEs where
UPDATE.time <= SNAPSHOT.time
➍ Continue Processing
Apply subsequent UPDATE messages incrementally to maintain the order book.
A SNAPSHOT message is sent exactly once after subscribing to a channel.
Example Implementation
class OrderBook {
constructor() {
this.bids = new Map();
this.asks = new Map();
this.updateBuffer = [];
this.snapshotTime = null;
}
handleMessage(message) {
if (message.payload.type === 'SNAPSHOT') {
this.processSnapshot(message.payload);
} else if (message.payload.type === 'UPDATE') {
if (!this.snapshotTime) {
// Buffer updates until snapshot arrives
this.updateBuffer.push(message.payload);
} else {
this.processUpdate(message.payload);
}
}
}
processSnapshot(snapshot) {
// Clear and rebuild order book
this.bids.clear();
this.asks.clear();
this.snapshotTime = snapshot.time;
// Load snapshot data
snapshot.bids.forEach(level => {
this.bids.set(level.price, level.amount);
});
snapshot.asks.forEach(level => {
this.asks.set(level.price, level.amount);
});
// Apply buffered updates after snapshot time
this.updateBuffer
.filter(update => update.time > this.snapshotTime)
.forEach(update => this.processUpdate(update));
this.updateBuffer = [];
}
processUpdate(update) {
// Process bid updates
if (update.bids) {
update.bids.forEach(level => {
if (level.amount === "0") {
this.bids.delete(level.price);
} else {
this.bids.set(level.price, level.amount);
}
});
}
// Process ask updates
if (update.asks) {
update.asks.forEach(level => {
if (level.amount === "0") {
this.asks.delete(level.price);
} else {
this.asks.set(level.price, level.amount);
}
});
}
}
}
Unsubscribe
To stop receiving market data updates:
{
"type": "unsubscribe",
"channels": [
{
"type": "market_data",
"params": {
"market": "BTCUSD"
}
}
]
}
Questions? Contact Support.
