Market data protocol

Market data is broadcasted via non-encrypted web socket. It is read only and has no integrity checks aside of Web Socket built-in mechanisms.

Messages

• OrderBookAgg

  aggregated order book for given symbol, recalculated after each order book change (most likely will be throttled to reasonable interval in future). May have empty dictionaries buy_levels or sell_levels in case of an empty order book. Both dictionaries use the price as a key and volume as a value. current_order_id denotes the order that leads to the state of the order book.

  {
      "@type": "OrderBookAgg",
      "buy_levels": {
          "1": "1"
      },
      "sell_levels": {
          "0.1": "1"
      },
      "trade_pair": "BTC_USD",
      "current_order_id": 123456
  }
  

• AnonymousTrade

  a trade has taken place. time has two parts - integer seconds and integer milliseconds UTC. maker_buy shows if the maker was the buyer part.

  {
      "@type": "AnonymousTrade",
      "time": [1530093825, 0],
      "trade_pair": "BTC_USD",
      "current_order_id": 123456,
      "amount": "42.42",
      "price": "555",
      "maker_buy": false,
  }