Price Updates

After you subscribe to a symbol, the server sends a price-update message every time that symbol's price changes. Each message carries the current bid and ask levels — up to a depth of 10 on each side.

Message fields

Bid / ask level object

Each entry in bid_levels[] and ask_levels[] has the same shape:

Example price-update message

{
  "messageType": "price-update",
  "body": {
    "symbol": "BTC/USD",
    "bid_levels": [
      { "price": "42260.4677",  "quantity": "0.59", "side": "buy" }
    ],
    "ask_levels": [
      { "price": "42317.16195", "quantity": "0.59", "side": "sell" }
    ]
  }
}

Working with price updates

• Values are strings. price and quantity are delivered as strings — parse them into a decimal/BigDecimal type rather than a float to avoid rounding errors.
• Depth is up to 10. Each side can contain up to 10 levels; the best bid/ask is the top of each array. Fewer levels may be returned if the book is thin.
• Each message is a fresh view. A price-update reflects the current levels for that symbol at that moment — use it to replace your stored book for the symbol, not to patch it incrementally.
• One symbol per message. The symbol field tells you which subscription the update belongs to when you're following several at once.

Next steps

• Subscribing to a Symbol — start a symbol's price feed
• Listing Available Symbols — discover valid symbols
• Maintaining Subscription — the 20-second heartbeat