Level2 - 市場行情

{
    "id":1545910660740,
    "type":"subscribe",
    "topic":"/market/level2:BTC-USDT",
    "response":true
}

Topic: /market/level2:{symbol},{symbol}...

  • 推送頻率: 實時推送

訂閱此topic可獲取指定交易對Level-2買賣盤數據。訂閱成功後,服務端會推送增量的市場數據給您。

{
    "type": "message",
    "topic": "/market/level2:BTC-USDT",
    "subject": "trade.l2update",
    "data": {
        "changes": {
            "asks": [
                [
                    "18906",//price
                    "0.00331",//size
                    "14103845"//sequence
                ],
                [
                    "18907.3",
                    "0.58751503",
                    "14103844"
                ]
            ],
            "bids": [
                [
                    "18891.9",
                    "0.15688",
                    "14103847"
                ]
            ]
        },
        "sequenceEnd": 14103847,
        "sequenceStart": 14103844,
        "symbol": "BTC-USDT",
        "time": 1663747970273//milliseconds
    }
}

校準流程:

  1. 將Websocket推送的Level 2數據緩存在本地;
  2. 通過REST請求拉取Level 2買賣盤的快照;
  3. 回放緩存的Level 2數據流;
  4. 將Level 2數據流應用到快照上,只需滿足 sequenceStart(new)<=sequenceEnd+1(old) 並且 seqenceEnd(new) > sequenceEnd(old),即可認爲是有效的L2增量消息,可以用changes中的數據覆蓋本地數據。changes中每條記錄上的sequence僅表示該價格的數量最後一次修改對應的sequence,不作爲消息連續的判斷依據;
  5. 根據訂單的價格和數量更新買賣盤。如果價格爲0,忽略這條消息,只更新順序號;如果數量爲0,則需要將該數量對應的訂單價格從買賣盤中移除。如遇其他情況,正常更新買賣盤即可。

Level 2 的Change屬性是一個“price, size, sequence”的字符串值,即:[“價格”,“數量”,“sequence”]。

請注意: size指的是price對應的最新size。當size爲0時,需要將其對應的price從買賣盤中刪除。

示例

以BTC/USDT爲例,假設level 2當前買賣盤數據如下:

步驟1.成功訂閱此topic,您會收到如下買賣盤數據流:

...
"asks":[
  ["3988.59","3", "16"], // 摒棄 sequence = 16
  ["3988.61","0", "19"], // 移除 price 爲 3988.61 的數據
  ["3988.62","8", "15"], // 摒棄 sequence <16
]
"bids":[
  ["3988.50", "44", "18"] // 更新 price 爲 3988.50 的size
]
"sequenceStart": 19,
"sequenceEnd": 15,

...

TIP

changes中每條記錄上的sequence僅表示該價格的數量最後一次修改對應的sequence,不作爲消息連續的判斷依據;比如當在相同價位有多個數量更新["3988.50", "20", "17"]、["3988.50", "44", "18"],此時只會推送最新的["3988.50", "44", "18"]

步驟2.通過REST請求拉取Level 2

...
"sequence": "16",
"asks":[
  ["3988.62","8"],// [“價格”,“數量”]
  ["3988.61","32"],
  ["3988.60","47"],
  ["3988.59","3"],
]
"bids":[
  ["3988.51","56"],
  ["3988.50","15"],
  ["3988.49","100"],
  ["3988.48","10"]
]
...

當前拉取的買賣盤的快照數據如下:

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

當前買賣盤快照信息的sequence爲16,摒棄買賣盤數據流中sequence <= 16的數據,回放sequence爲[18,19]的數據,更新買賣盤快照信息。現在,您本地的sequence爲19

變更:

  • 將價格3988.50對應的數量變更爲44(sequence順序號爲18)
  • 移除價格爲3988.61的數據(sequence順序號爲19)

變更後,當前買賣盤數據爲最新數據,具體數據如下:

| Price | Size | Side |
|---------|-----|------|
| 3988.62 | 8   | Sell |
| 3988.60 | 47  | Sell |
| 3988.59 | 3   | Sell |
| 3988.51 | 56  | Buy  |
| 3988.50 | 44  | Buy  |
| 3988.49 | 100 | Buy  |
| 3988.48 | 10  | Buy  |