WebSocket Market Data

WebSocket market data feed¶

The base URL for all wss endpoints listed in this document is: wss://sstream.asterdex.com
Streams have either a single raw stream or a combined stream
Single raw streams format is **/ws/**
The URL format for combined streams is **/stream?streams=//**
When subscribing to combined streams, the event payload is wrapped in this format: **{"stream":"","data":}**
All trading pairs in stream names are lowercase
Each link to sstream.asterdex.com is valid for no more than 24 hours; please handle reconnections appropriately
Every 3 minutes the server sends a ping frame; the client must reply with a pong frame within 10 minutes, otherwise the server will close the connection. The client is allowed to send unpaired pong frames (i.e., the client may send pong frames at a frequency higher than once every 10 minutes to keep the connection alive).

Real-time subscribe/unsubscribe data streams¶

The following messages can be sent via WebSocket to subscribe or unsubscribe to data streams. Examples are shown below.
The id in the response content is an unsigned integer that serves as the unique identifier for exchanges of information.
If the result in the response content is null, it indicates the request was sent successfully.

Response

{
  "result": null,
  "id": 1
}

Request { "method": "SUBSCRIBE", "params": [ "btcusdt@aggTrade", "btcusdt@depth" ], "id": 1 }

Unsubscribe from a stream¶

Response

{
  "result": null,
  "id": 312
}

Request { "method": "UNSUBSCRIBE", "params": [ "btcusdt@depth" ], "id": 312 }

Subscribed to the feed¶

Response

{
  "result": [
    "btcusdt@aggTrade"
  ],
  "id": 3
}

Request

{ "method": "LIST_SUBSCRIPTIONS", "id": 3 }

Set properties¶

Currently, the only configurable property is whether to enable the combined ("combined") stream. When connecting using /ws/ ("raw stream"), the combined property is set to false, while connecting using /stream/ sets the property to true.

Response

{
"result": null,
"id": 5
}

Request { "method": "SET_PROPERTY" "params": [ "combined", true ], "id": 5 }

Retrieve properties¶

Response

{
  "result": true, // Indicates that combined is set to true.
  "id": 2
}

Request

{ "method": "GET_PROPERTY", "params": [ "combined" ], "id": 2 }

### Error message

Error message	Description
{"code": 0, "msg": "Unknown property"}	Parameters applied in SET_PROPERTY or GET_PROPERTY are invalid
{"code": 1, "msg": "Invalid value type: expected Boolean", "id": '%s'}	Only true or false are accepted
{"code": 2, "msg": "Invalid request: property name must be a string"}	The provided attribute name is invalid
{"code": 2, "msg": "Invalid request: request ID must be an unsigned integer"}	Parameter ID not provided or ID has an invalid type
{"code": 2, "msg": "Invalid request: unknown variant %s, expected one of SUBSCRIBE, UNSUBSCRIBE, LIST_SUBSCRIPTIONS, SET_PROPERTY, GET_PROPERTY at line 1 column 28"}	Typo warning, or the provided value is not of the expected type
{"code": 2, "msg": "Invalid request: too many parameters"}	Unnecessary parameters were provided in the data
{"code": 2, "msg": "Invalid request: property name must be a string"}	Property name not provided
{"code": 2, "msg": "Invalid request: missing field method at line 1 column 73"}	Data did not provide method
{"code":3,"msg":"Invalid JSON: expected value at line %s column %s"}	JSON syntax error

Collection transaction flow¶

Payload:

{
  "e": "aggTrade",  // Event type
  "E": 123456789,   // Event time
  "s": "BNBBTC",    // Symbol
  "a": 12345,       // Aggregate trade ID
  "p": "0.001",     // Price
  "q": "100",       // Quantity
  "f": 100,         // First trade ID
  "l": 105,         // Last trade ID
  "T": 123456785,   // Trade time
  "m": true,        // Is the buyer the market maker?
  "M": true         // Ignore
}

The collection transaction stream pushes transaction information and is an aggregation of a single order.

Stream name: <symbol>@aggTrade

Update speed: real-time

Tick-by-tick trades¶

Payload:

{
  "e": "trade",     // Event type
  "E": 123456789,   // Event time
  "s": "BNBBTC",    // Symbol
  "t": 12345,       // Trade ID
  "p": "0.001",     // Price
  "q": "100",       // Quantity
  "T": 123456785,   // Trade time
  "m": true,        // Is the buyer the market maker?
}

Stream name: <symbol>@trade

Each trade stream pushes the details of every individual trade. A trade, also called a transaction, is defined as a match between exactly one taker and one maker.

K-line streams¶

Payload:

{
  "e": "kline",     // Event type
  "E": 123456789,   // Event time
  "s": "BNBBTC",    // Symbol
  "k": {
    "t": 123400000, // Kline start time
    "T": 123460000, // Kline close time
    "s": "BNBBTC",  // Symbol
    "i": "1m",      // Interval
    "f": 100,       // First trade ID
    "L": 200,       // Last trade ID
    "o": "0.0010",  // Open price
    "c": "0.0020",  // Close price
    "h": "0.0025",  // High price
    "l": "0.0015",  // Low price
    "v": "1000",    // Base asset volume
    "n": 100,       // Number of trades
    "x": false,     // Is this kline closed?
    "q": "1.0000",  // Quote asset volume
    "V": "500",     // Taker buy base asset volume
    "Q": "0.500",   // Taker buy quote asset volume
    "B": "123456"   // Ignore
  }
}

The K-line stream pushes per-second updates for the requested type of K-line (the latest candle).

Stream name: <symbol>@kline_<interval>

Update speed: 2000ms

K-line interval parameter:

m (minutes), h (hours), d (days), w (weeks), M (months)

1m
3m
5m
15m
30m
1h
2h
4h
6h
8h
12h
1d
3d
1w
1M

Simplified ticker by symbol¶

Payload:

  {
    "e": "24hrMiniTicker",  // Event type
    "E": 123456789,         // Event time
    "s": "BNBBTC",          // Symbol
    "c": "0.0025",          // Close price
    "o": "0.0010",          // Open price
    "h": "0.0025",          // High price
    "l": "0.0010",          // Low price
    "v": "10000",           // Total traded base asset volume
    "q": "18"               // Total traded quote asset volume
  }

Refreshed simplified 24-hour ticker information by symbol

Stream name: <symbol>@miniTicker

Update speed: 1000ms

Compact tickers for all symbols in the entire market¶

Payload:

[
  {
    // Same as <symbol>@miniTicker payload
  }
]

Same as above, but pushes all trading pairs. Note that only updated tickers will be pushed.

Stream name: !miniTicker@arr

Update speed: 1000ms

Full ticker per symbol¶

Payload:

{
  "e": "24hrTicker",  // Event type
  "E": 123456789,     // Event time
  "s": "BNBBTC",      // Symbol
  "p": "0.0015",      // Price change
  "P": "250.00",      // Price change percent
  "w": "0.0018",      // Weighted average price
  "c": "0.0025",      // Last price
  "Q": "10",          // Last quantity
  "o": "0.0010",      // Open price
  "h": "0.0025",      // High price
  "l": "0.0010",      // Low price
  "v": "10000",       // Total traded base asset volume
  "q": "18",          // Total traded quote asset volume
  "O": 0,             // Statistics open time
  "C": 86400000,      // Statistics close time
  "F": 0,             // First trade ID
  "L": 18150,         // Last trade Id
  "n": 18151          // Total number of trades
}

Pushes per-second tag statistics for a single trading pair over a rolling 24-hour window.

Stream name: <symbol>@ticker

Update speed: 1000ms

Complete ticker for all trading pairs on the entire market¶

Payload:

[
  {
    // Same as <symbol>@ticker payload
  }
]

Pushes the full 24-hour refreshed ticker information for all trading pairs across the entire market. Note that tickers without updates will not be pushed.

Stream name: !ticker@arr

Update speed: 1000ms

Best order book information by symbol¶

Payload:

{
  "u":400900217,     // order book updateId
  "s":"BNBUSDT",     // symbol
  "b":"25.35190000", // best bid price
  "B":"31.21000000", // best bid qty
  "a":"25.36520000", // best ask price
  "A":"40.66000000"  // best ask qty
}

Real-time push of best order book information for the specified trading pair

Stream name: <symbol>@bookTicker

Update speed: Real-time

Best order book information across the entire market¶

Payload:

{
  // 同 <symbol>@bookTicker payload
}

Real-time push of the best order information for all trading pairs

Stream name: !bookTicker

Update speed: Real-time

Limited depth information¶

Payload:

{ 
  "e": "depthUpdate", // Event type
  "E": 123456789,     // Event time
  "T": 123456788,     // Transaction time 
  "s": "BTCUSDT",     // Symbol
  "U": 100,           // First update ID in event
  "u": 120,           // Final update ID in event
  "pu": 99,          // Final update Id in last stream(ie `u` in last stream) 
  "bids": [             // Bids to be updated
    [
      "0.0024",         // Price level to be updated
      "10"              // Quantity
    ]
  ],
  "asks": [             // Asks to be updated
    [
      "0.0026",         // Price level to be updated
      "100"             // Quantity
    ]
  ]
}

Limited depth information pushed every second or every 100 milliseconds. Levels indicate how many levels of bid/ask information, optional 5/10/20 levels.

Stream names: <symbol>@depth<levels> or <symbol>@depth<levels>@100ms.

Update speed: 1000ms or 100ms

Incremental depth information¶

Payload:

{
  "e": "depthUpdate", // Event type
  "E": 123456789,     // Event time
  "T": 123456788,     // Transaction time 
  "s": "BTCUSDT",     // Symbol
  "U": 100,           // First update ID in event
  "u": 120,           // Final update ID in event
  "pu": 99,          // Final update Id in last stream(ie `u` in last stream)
  "b": [              // Bids to be updated
    [
      "5.4",       // Price level to be updated
      "10"            // Quantity
    ]
  ],
  "a": [              // Asks to be updated
    [
      "5.6",       // Price level to be updated
      "100"          // Quantity
    ]
  ]
}

Pushes the changed parts of the orderbook (if any) every second or every 100 milliseconds

Stream name: <symbol>@depth or <symbol>@depth@100ms

Update speed: 1000ms or 100ms

How to correctly maintain a local copy of an order book¶

Subscribe to wss://sstream.asterdex.com/ws/bnbbtc@depth
Start caching the received updates. For the same price level, later updates overwrite earlier ones.
Fetch the REST endpoint https://sapi.asterdex.com/api/v1/depth?symbol=BNBBTC\&limit=1000 to obtain a 1000-level depth snapshot
Discard from the currently cached messages those with u \<= the lastUpdateId obtained in step 3 (drop older, expired information)
Apply the depth snapshot to your local order book copy, and resume updating the local copy from the first WebSocket event whose U \<= lastUpdateId+1 and u >= lastUpdateId+1
Each new event’s U should equal exactly the previous event’s u+1; otherwise packets may have been lost - restart initialization from step 3
The order quantity in each event represents the current order quantity at that price as an absolute value, not a relative change
If the order quantity at a given price is 0, it means the orders at that price have been canceled or filled, and that price level should be removed

WebSocket Market Data