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Orderbook

Subscribe to orderbook:<symbol> to get real-time orderbook updates.
The initial snapshot will send all the open orders in the orderbook sorted by price on bids (lowest to highest) and on asks (lowest to highest). A non-decreasing sequence number is returned on each update.
Orderbook updates are keyed by price level. Orderbook data is returned as:
{'market_id': 'BTC-USD', 'bids': [[price, size], ...], 'asks': [[price, size], ...], 'sequence': 9097270, 'timestamp': 1665996854}
If the bid size at the price level 19,800 changed to 10.2, the bids field would be [[19800, 10.2]]. If there are no more bids at the price level 19,800, then the bids filed would be [[19800, 0]].
Each orderbook update increments sequence number by +1. If you have skipped a sequence number, you must resubscribe to get the most accurate orderbook state.

Example data

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{'asks': [['25.4631', '73.63'],
['25.6858', '530.33'],
['25.6959', '390.66'],
['25.6983', '58.39'],
['25.7', '52.69'],
['25.8114', '12.49'],
['25.8443', '120.46'],
['25.8549', '68.56'],
['25.8763', '3.76'],
['25.9', '10'],
['25.9052', '57.9']],
'bids':
['25.3353', '103.61'],
['25.3459', '1056.52'],
['25.3565', '18730.93'],
['25.3989', '459.26'],
['25.4095', '165.35'],
['25.4201', '725.64'],
['25.4307', '1273.91'],
['25.4413', '998.33'],
['25.452', '2640.82'],
['25.4626', '611.76']],
'market_id': 'SOL-USD',
'sequence': 9097270,
'timestamp': 1677226216475971}
Last modified 4mo ago