MARKET DATA

Clients view order book data for symbols trading in the market center

Clients can retrieve the order book data displayed in the image below from the market center.

Depth of order book for the market center

After login, the following market data subscription is available to the client.

SUBSCRIPTION REQUEST MARKET DATA

The client may subscribe for the following types.

{
“request”:[
{
“msg”:”book”,
“security”:”BTCUSD”,
“dest”:”GDMI
}],
“type”:”subscribe”
}

TABLE OF MESSAGE TYPES

Market Data Type	Message
Internal Market Data/Order by Order	“msg”:“ibook”
External Market Data/ Aggregate Data	“msg”:“book”
Trade Information	“msg”:“trade”
Individual Symbol	“msg”:“itrade”

“security”:Individual symbol, for internal book feed (“ibook”/”itrade”), you can use “*”
“dest”: required for external market, “GDAX”/”GEMI”/”BINA”

The internal market data, where you can use “*” to get all subscription. “book” is for external market data, and you must provide each individual symbol in subscription.

“trade”/”itrade” is for corresponding external/internal last sale

SUBSCRIPTION RESPONSE MARKET DATA

{“security”:”BTCUSD”,”books”:[{“side”:”S”,”act”:”U”,”src”:”GEMI”,”pric
e”:7014.19,”qty”:0.02014047,”id”:6988929507302077441,”key”:”NA”},{“act”:”R”,”id”
:6988929507302197249},{“act”:”R”,”id”:6988929507302034433},{“act”:”R”,”id”:69889
29507301808128},{“side”:”B”,”act”:”U”,”src”:”GDAX”,”price”:7011,”qty”:0.11097064
,”id”:6988929507302013952,”key”:”NA”}],”type”:”book”}

TABLE OF FIELD DEFINITIONS

Field Name	Definition
Security	Symbol name
Side	“B” for buy “S” for sell
Act	“A”, add entry, “U” update existing entry”, “R” remove existing entry”
ID	Unique id for each entry
Qty	Quantity of the entry
IOI	Boolean value, true or false, optional field, if not present, is false This is to indicate the quote is a IOI. IOI is used for negotiated market, it is not included in BBO calculation. IOI cannot be executed, but user can send counter order to initiator of IOI to start negotiation
Key	For external market, since it is aggregation, always for internal market, key is the order id, which corresponding to tag 37 in Execution Report message when you enter an order in fix or “refno” in web socket order messages

BOOK REMOVE ORDER ID

When orders are removed from the book, the system will send the following message on the book subscription.

{ security: 'YRE', books: [ { act: 'R', id: 247697979505377473 } ], type: 'book' }

In the book update, id is the key field for order update, when an initial update occurrs, the system will provde the "id", use that to find the original update. The internal book will carry the "refno", and the "refno" in "key" field in the remove event to help to identify what order to remove from the order book.