Otherbook- Increment

Topic: /contractMarket/level2:{symbol}

Description

The system will return the increment change orderbook data(All depth)

If there is no change in the market, data will not be pushed

Push frequency: real-time

{
  "id": 1545910660739,
  "type": "subscribe",
  "topic": "/contractMarket/level2:XBTUSDTM",
  "response": true
}

Response

Data Schema

orderbookIncrement

topic

string

required

type

string

required

subject

string

required

integer <int64>

required

data

object

required

sequence

integer <int64>

required

change

string

required

timestamp

integer <int64>

required

Example

{
    "topic": "/contractMarket/level2:XBTUSDTM",
    "type": "message",
    "subject": "level2",
    "sn": 1709400450243,
    "data": {
        "sequence": 1709400450243,
        "change": "90631.2,sell,2",
        "timestamp": 1731897467182
    }
}

Local order book construction procedure

After receiving the websocket Level 2 data flow, cache the data.

Initiate REST Level 2 request to get the snapshot data of Level 2 order book.

Playback the cached Level 2 data flow.

Apply the new Level 2 data flow to the local snapshot to ensure that the sequence of the new Level 2 update lines up with the sequence of the previous Level 2 data. Discard all the message prior to that sequence, and then playback the change to snapshot.

Update the Level 2 full data based on the sequence according to the size. If the size equals to 0, you can update the sequence and remove the price of which the size is 0 out of Level 2. For other cases, please update the price and size.

If the sequence of the newly pushed message does not line up to the sequence of the last message, you could pull through REST Level 2 request to get the updated messages. Please note that the difference between the start and end parameters cannot exceed 500.

The change property of Level 2 updates is a string value of "price,size,sequence". Please note that size is the updated size at that price Level. A size of "0" indicates that the price Level can be removed.

Example

Get the snapshot of the order book through REST request Level 2 to build a local order book. Suppose we get the data as following:

Sequence：16

{
  "sequence": 16,
  "asks": [
    ["3988.59", 3],
    ["3988.60", 47],
    ["3988.61", 32],
    ["3988.62", 8]
  ],
  "bids": [
    ["3988.51", 56],
    ["3988.50", 15],
    ["3988.49", 100],
    ["3988.48", 10]
  ]
}

Thus, the current order book is as following:

Price	Size	Side
3988.62	8	Sell 4
3988.61	32	Sell 3
3988.60	47	Sell 2
3988.59	3	Sell 1
3988.51	56	Buy 1
3988.50	15	Buy 2
3988.49	100	Buy 3
3988.48	10	Buy 4

After subscribing you will receive change message as following:

  "data": {
    "sequence": 17,
    "change": "3988.50,buy,44"     //Price, side, quantity
  }

"data": {
  "sequence": 18,
  "change": "3988.61,sell,0"     //Price, side, quantity
}

In the beginning, the sequence of the order book is 16. Discard the feed data of sequence that is below or equals to 16, and apply playback the sequence [17,18] to update the snapshot of the order book. Now the sequence of your order book is 18 and your local order book is up-to-date.

Update size of 3988.50 to 44 (Sequence 17)

Remove 3988.61 (Sequence 18)

Now your order book is up-to-date and the final data is as following:

Price	Size	Side
3988.62	8	Sell 3
3988.60	47	Sell 2
3988.59	3	Sell 1
3988.51	56	Buy 1
3988.50	44	Buy 2
3988.49	100	Buy 3
3988.48	10	Buy 4

Request

Query Params

token

string

required

The token required to establish a websocket connection

Example:

2neAiuYvAU61ZDXANAGAsiL4-iAExhsBXZxftpOeh_55i3Ysy2q2LEsEWU64mdzUOPusi34M_wGoSf7iNyEWJ_cpz4VOPFmQFib6P8hYnrVkopegzA-XTtiYB9J6i9GjsxUuhPw3Blq6rhZlGykT3Vp1phUafnulOOpts-MEmEE_W_XygA1q6ypUyk3f_-aZJBvJHl5Vs9Y=.rIAVDSL657g7mnAiHkH5aA==

connectId

string

optional

Connection Id, a unique value taken from the client side. Both the id of the welcome message and the id of the error message are connectId.

Example:

121345

Otherbook- Increment

Topic: /contractMarket/level2:{symbol}#

Subscribe Message#

Response#

Request

Topic: /contractMarket/level2:{symbol}

Subscribe Message

Response