Order Books
Order book data is separated into three streams for
snapshots, deltas, and spread. Order book snapshots are broadcast once per minute, while the deltas are real-time. To maintain a real-time order book, apply deltas to the most recent snapshot. Both deltas and snapshots contain a sequence number, so you can determine if the data is received in the correct order.Snapshots
You can subscribe to order book snapshots in a variety of ways. Each will result in
OrderBookUpdate messages for each resource.Subscription
Description
markets:68:book:snapshotsA feed of order book snapshots for a single market
exchanges:4:book:snapshotsA feed of all order book snapshots for a given exchange
instruments:232:book:snapshotsA feed of all order book snapshots for a given instrument (like
BTC/USD)assets:60:book:snapshotsA feed of all order book snapshots for all instruments for a given asset (like
BTC/*)Example OrderBookUpdate message
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{
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"marketUpdate": {
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"market": {
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"exchangeId": "4",
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"currencyPairId": "180",
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"marketId": "87"
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},
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"orderBookUpdate": {
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"seqNum": 3143,
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"bids": [
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{
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"priceStr": "8087",
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"amountStr": "0.04",
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},
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{
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"priceStr": "8086.2",
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"amountStr": "0.089",
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},
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// ...
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],
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"asks": [
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{
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"priceStr": "8087.2",
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"amountStr": "1.15590988",
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},
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{
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"priceStr": "8090",
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"amountStr": "1",
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},
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// ...
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]
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}
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}
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}
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These are very large messages, so the order arrays have been truncated.
Deltas
Deltas are used to update an order book without sending the entire snapshot over the wire.
Subscription
Description
markets:68:book:deltasA feed of order book deltas for a single market
exchanges:4:book:deltasA feed of all order book deltas for a given exchange
instruments:232:book:deltasA feed of all order book deltas for a given instrument (like
BTC/USD)assets:60:book:deltasA feed of all order book deltas for all instruments for a given asset (like
BTC/*)Example OrderBookDeltaUpdate Message
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{
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"marketUpdate": {
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"market": {
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"exchangeId": "4",
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"currencyPairId": "180",
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"marketId": "87"
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},
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"orderBookDeltaUpdate": {
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"seqNum": 3922,
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"bids": {
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"removeStr": [
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"8048.4"
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// ...
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]
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},
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"asks": {
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"set": [
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{
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"priceStr": "8093.7",
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"amountStr": "0.8",
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}
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// ...
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]
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}
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}
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}
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}
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Spread
You can also subscribe to
book:spread to get updates to only the best bid & ask.Subscription
Description
markets:68:book:spreadA feed of order book spread for a single market
exchanges:4:book:spreadA feed of all order book spreads for a given exchange
instruments:232:book:spreadA feed of all order book spreads for a given instrument (like
BTC/USD)assets:60:book:spreadA feed of all order book spreads for all instruments for a given asset (like
BTC/*)Example OrderBookSpreadUpdate message
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{
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"marketUpdate": {
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"market": {
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"exchangeId": "4",
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"currencyPairId": "180",
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"marketId": "87"
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},
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"orderBookSpreadUpdate": {
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"timestamp": "1571337091678",
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"bid": {
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"priceStr": "8086.2",
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"amountStr": "2.32930209",
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"price": 8086.2, // DEPRECATED
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"amount": 2.329302 // DEPRECATED
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},
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"ask": {
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"priceStr": "8086.3",
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"amountStr": "1.29659337",
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"price": 8086.3, // DEPRECATED
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"amount": 1.2965934 // DEPRECATED
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}
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}
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}
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}
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Example Code
Node.js
Go
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import { StreamClient, RESTClient, createOrderBookWatcher } from 'cw-sdk-node';
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const restClient = new RESTClient();
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const streamClient = new StreamClient({
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creds: {
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apiKey: '<your api key>',
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secretKey: '<your secret key>'
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}
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});
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​
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let orderBookWatcher = null;
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​
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function run() {
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// Get the ID of the market you want to watch
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createOrderBookWatcher(
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// a market ID can also be supplied instead of exchange/base/quote
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{
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exchange: 'kraken',
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base: 'btc',
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quote: 'usd'
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},
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streamClient,
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restClient
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).then((orderBookWatcher) => {
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orderBookWatcher.onUpdate((marketId, snapshot) => {
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console.log(`Market ${marketId} OrderBook updated!`, snapshot);
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});
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​
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orderBookWatcher.onError((marketID, error) => {
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console.error(`Error updating OrderBook on Marked "${marketID}"!`, error);
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});
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​
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// Connect to stream
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streamClient.connect();
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});
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}
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​
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run();
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​
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// When finished with OrderBookWatcher, be sure to destroy it!
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// This unsubscribes from the orderbook stream and prevents it from retrieving more snapshot data.
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function cleanUp() {
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streamClient.disconnect();
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orderBookWatcher.destroy();
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}
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package main
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​
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import (
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"log"
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"os"
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"os/signal"
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"syscall"
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​
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"code.cryptowat.ch/cw-sdk-go/client/rest"
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"code.cryptowat.ch/cw-sdk-go/client/websocket"
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"code.cryptowat.ch/cw-sdk-go/common"
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"code.cryptowat.ch/cw-sdk-go/orderbooks"
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)
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​
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func main() {
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restClient := rest.NewRESTClient(nil)
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streamClient, err := websocket.NewStreamClient(nil)
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if err != nil {
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log.Fatal(err)
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}
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​
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streamClient.Connect()
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​
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orderbook, err := orderbooks.NewOrderBookWatcher(orderbooks.OrderBookWatcherParams{
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RESTClient: restClient,
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StreamClient: streamClient,
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Market: common.MarketParams{
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Symbol: common.MarketSymbol{
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Exchange: "kraken",
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Base: "btc",
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Quote: "usd",
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},
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},
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})
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if err != nil {
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log.Fatal(err)
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}
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​
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orderbook.OnUpdate(func(update orderbooks.Update) {
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if ob := update.OrderBookUpdate; ob != nil {
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log.Println("Order book update")
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} else if err := update.GetSnapshotError; err != nil {
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log.Println("Error", err)
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}
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})
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​
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signals := make(chan os.Signal, 1)
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signal.Notify(signals, syscall.SIGINT, syscall.SIGQUIT, syscall.SIGTERM)
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​
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// Wait until the OS signal is received, at which point we'll close the connection and quit.
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<-signals
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log.Print("Exiting")
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}
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Last modified 1yr ago
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