Grouped Orderbook Channel

The grouped orderbooks channel supplies orderbook data with grouped (collapsed) prices.

️ Disclaimer

Please note that we do NOT recommend using the grouped orderbooks channel in general: it should only be used for retrieving lower-granularity, possibly higher-depth information about the orderbook.

Subscribing

To subscribe, send a message specifying market and price grouping. grouping controls the granularity of price levels reported by the channel:

{"channel": "orderbookGrouped", "market": "BTC-PERP", "grouping": 500}

Messages

All messages from the orderbookGrouped channel contain two fields: bids and asks. Each are formatted like so: [[best (grouped) price, size at price], [next next best price, size at price], ...]

The first message you are sent will contain a snapshot of the whole orderbook.

Subsequent messages of type udpate only contain updates to the original snapshot (partial). For instance if you receive the message: {'bids': [[9000, 1780.0]], 'asks': []}, you should interpret that as meaning that since the last update you received, the only thing that has changed is that the total bid size at the 9000 level is now 1780.0.

Note that the price groupings are conservative: with a price grouping of 100, the size for a bid at 9395.5 would be attributed to the 9300 level, and the size for an ask at the same price would be attributed to the 9400 level.