Level2 - Market Data

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

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

• Push frequency:real-time
• A topic supports up to 100 symbols.

Subscribe to this topic to get the specified [symbol] (/docs/rest/spot-trading/market-data/get-symbols-list) of Level2 order book data.

When the websocket subscription is successful, the system would send the increment change data pushed by the websocket to you.

{
  "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
  }
}

Calibration procedure：

1. After receiving the websocket Level 2 data flow, cache the data.
2. Initiate a Level 2 request to get the snapshot data of Level 2 order book.
3. Playback the cached Level 2 data flow.
4. Apply the new Level 2 data flow to the local snapshot to ensure that sequenceStart(new)<=sequenceEnd+1(old) and sequenceEnd(new) > sequenceEnd(old). The sequence on each record in changes only represents the last modification of the corresponding sequence of the price, and does not serve as a basis for judging message continuity.
5. Update the level2 full data based on sequence according to the price and size. If the price is 0, ignore the messages and update the sequence. If the size=0, update the sequence and remove the price of which the size is 0 out of level 2. For other cases, please update the price.

The Change attribute of Level 2 is a string value of "price, size, sequence", namely: ["price", "quantity", "sequence"].

Please note: size refers to the latest size corresponding to price. When the size is 0, the corresponding price needs to be deleted from the order book.

Example

Take BTC/USDT as an example, suppose the current order book data in level 2 is as follows:

After subscribing to the channel, you would receive changes as follows:

...
"asks":[
  ["3988.59","3", "16"], // ignore it because sequence = 16
  ["3988.61","0", "19"], // Remove 3988.61
  ["3988.62","8", "15"], // ignore it because sequence < 16
]
"bids":[
  ["3988.50", "44", "18"] // Update size of 3988.50 to 44
]
"sequenceStart": 19,
"sequenceEnd": 15,
...


TIP

The sequence on each record in changes only represents the last modification of the corresponding sequence of the price, not as a basis for judging the continuity of the message; for example, when there are multiple updates at the same price ["3988.50", "20", "17" "], ["3988.50", "44", "18"], at this time only the latest ["3988.50", "44", "18"] will be pushed

Get a snapshot of the order book through a REST request (Level 2) to build a local order book. Suppose that data we got is as follows:

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


The current data on the local order book is as follows:

| 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  |


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 [18,19] to update the snapshot of the order book. Now the sequence of your order book is 19 and your local order book is up-to-date.

Diff:

• Update size of 3988.50 to 44 (Sequence 18)
• Remove 3988.61 (Sequence 19)

Now your current order book is up-to-date and final data is as follows:

| 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  |