Subscribe Incremental Market Depth Data

market.$contract_code.depth.size_${size}.high_freq

Signature verification: No

Interface permission: Read

Rate Limit: For public interface to get market data such as Get Kline data, Get Market Data Overview, Get Contract Information,Get market in-depth data, Get premium index Kline, Get real-time forecast capital rate kline, Get basis data, Get the last Trade of a Contract and so on： For websocket: The rate limit for “req” request is 50 times at once. No limit for “sub” request as the data will be pushed by sever voluntarily.

Interface description: The interface supports cross margin mode and isolated margin mode. The request parameter "contract_code" supports the contract code of futures, in that the format is BTC-USDT-210625; and supports contract type: BTC-USDT, BTC-USDT-CW, BTC-USDT-NW, BTC-USDT-CQ, BTC-USDT-NQ.

Subscription Address

Environment	Address
Online	wss://api.sunx.io/ws/v1/market
Online (preferred by aws customers)	wss://api.sunx.io/ws/v1/market

Subscription Parameter

Parameter	Data Type	Required	Description	Value Range	Default Value
contract_code	string	true	contract code or contract type		swap: "BTC-USDT"... , future: "BTC-USDT-210625" ... or BTC-USDT-CW, BTC-USDT-NW, BTC-USDT-CQ, BTC-USDT-NQ
size	string	true	Depth size		20: stands for 20 unmerged data. 150:stands for 150 unmerged data.

Data Update

Parameter	Data Type	Required	Description	Value Range
ts	string	true	Timestamp of Respond Generation, Unit: Millisecond
ch	long	true	Data channel, Format：market.$contract_code.depth.size_${size}.high_freq
<tick>		false
mrid	long	true	Order ID
id	long	true	tick ID，system timestamp.seconds
asks	object	true	Sell,[price(Ask price), vol(Ask orders (cont.) )], price in ascending sequence
bids	object	true	Buy,[price(Bid price), vol(Bid orders(Cont.))], Price in descending sequence
ts	long	true	Timepoint for system detecting orderbook, unit: millisecond
version	long	true	version ID,auto increment ID.
event	string	true	event type: update or snapshot
ch	string	true	Data channel, Format： market.$contract_code.depth.size_${size}.high_freq
</tick>		false

Notes: when data_type is incremental,snapshot data wil be pushed for the first time. When re-connection occurs, snapshort data will be pushed for the first time. version: auto increment in single websocket connection. version may be different among several websocket subscription connections. orderbook will be pushed if orderbook is updated whenever incremental or snapshot. orderbook event will be checked every 30ms. If there is no orderbook event, you will not receive any orderbook data. you HAVE TO maintain local orderbook data,such as updating your local orderbook bids and asks data.

Subscription Example

{
  "sub": "market.BTC-USDT.depth.size_20.high_freq",
  "data_type": "incremental",
  "id": "id generated by client"
}

Example of a Successful Subscription

{
  "status": "ok",
  "subbed": "market.BTC-USDT.depth.size_20.high_freq",
  "data_type": "incremental",
  "id": "id generated by client",
  "ts": 1489474081631
}

Example of a Data Update

{
  "ch": "market.BTC-USDT.depth.size_20.high_freq",
  "tick": {
    "asks": [
      [
        13081.9,
        206
      ],
      [
        13099.7,
        371
      ]
    ],
    "bids": [
      [
        13071.9,
        38
      ],
      [
        13060,
        400
      ]
    ],
    "ch": "market.BTC-USDT.depth.size_20.high_freq",
    "event": "snapshot",
    "id": 131597620,
    "mrid": 131597620,
    "ts": 1603707712356,
    "version": 1512467
  },
  "ts": 1603707712357
}

Example of a Subscription Cancellation

{
  "unsub": "market.BTC-USDT.depth.size_20.high_freq",
  "data_type": "incremental",
  "id": "id generated by client"
}