Depth Channel

Description

This is the channel to get the depth data
Default data push frequency for books, books5, books15 is 150ms
Default data push frequency for books1:10ms

Use books for snapshot data, book1 for 1 depth level, book5 for 5 depth levels, book15 for 15 depth levels

• books: All levels of depth. First update pushed is full data: snapshot, and then push the update data: update
• books1: 1st level of depth. Push snapshot each time
• books5: 5 depth levels. Push snapshot each time
• books15: 15 depth levels. Push snapshot each time

Explanation of seq

• The seq of update incremental messages is incrementing except during symbol maintenance.

Request Example

{
    "op": "subscribe",
    "args": [
        {
            "instType": "USDT-FUTURES",
            "channel": "books5",
            "instId": "BTCUSDT"
        }
    ]
}

Request Parameters

Parameter	Type	Required	Description
op	String	Yes	Operation, subscribe unsubscribe
args	List<Object>	Yes	List of channels to request subscription
> instType	String	Yes	Product type USDT-FUTURES USDT-M Futures COIN-FUTURES Coin-M Futures USDC-FUTURES USDC-M Futures
> channel	String	Yes	Channel name: books/books1/books5/books15
> instId	String	Yes	Product ID

Response Example

{
    "event": "subscribe",
    "arg": {
        "instType": "USDT-FUTURES",
        "channel": "books5",
        "instId": "BTCUSDT"
    }
}

Response Parameters

Parameter	Type	Description
event	String	Event,
arg	Object	Subscribed channels
> instType	String	Product type USDT-FUTURES USDT-M Futures COIN-FUTURES Coin-M Futures USDC-FUTURES USDC-M Futures
> channel	String	Channel name, books/books1/books5/books15
> instId	String	Product ID, e.g. ETHUSDT
msg	String	Error message
code	String	Error code, returned only on error

Push Data

{
    "action": "snapshot",
    "arg": {
        "instType": "USDT-FUTURES",
        "channel": "books5",
        "instId": "BTCUSDT"
    },
    "data": [
        {
            "asks": [
                [
                    "27000.5",
                    "8.760"
                ],
                [
                    "27001.0",
                    "0.400"
                ]
            ],
            "bids": [
                [
                    "27000.0",
                    "2.710"
                ],
                [
                    "26999.5",
                    "1.460"
                ]
            ],
            "seq": 123,
            "pseq": 122,
            "ts": "1695716059516"
        }
    ],
    "ts": 1695716059516
}

Push Parameters

Parameter	Type	Description
arg	Object	Channels with successful subscription
> instType	String	Product type USDT-FUTURES USDT-M Futures COIN-FUTURES Coin-M Futures USDC-FUTURES USDC-M Futures
> channel	String	Channel name, books/books1/books5/books15
> instId	String	Product ID
action	String	Push data action, Incremental push data or full volume push data
data	List<Object>	Subscription data
> asks	List<String>	Seller depth
> bids	List<String>	Buyer depth
> ts	String	Match engine timestamp(ms), e.g. 1597026383085
> seq	Long	Serial number. It increases when the order book is updated and can be used to determine whether there is out-of-order packets.
> pseq	String	The serial number of the previous push. For the books channel: non-zero when pushing incremental update data. For books1, books5, and books15 channels: always 0. Can be used to determine whether there is packet loss.
ts	String	Data streaming time