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WebSocket v2

martin-nginio edited this page Jun 11, 2019 · 4 revisions

WebSocket feed provides real-time market data covering orderbook updates, order life cycle and trades.

note: This will remain beta version for a few weeks before it's released around April 2019.

Overview

In order to start receiving real time messages, a WebSocket connection needs to be made followed by a message to subscribe to channels and also marketIds you are interested in.

The endpoint for WebSocket v2 is: wss://socket.btcmarkets.net/v2

Improvements in v2

WebSocket v2 provides a number of improvements including:

  • Authenticated channels: allows individual traders to receive notifications for changing life cycle of an order including placement, cancellation, matching and triggering
  • Channel subscription: allows for easier and more flexible integration using a single WebSocket connection
  • Better data model and json format. e.g. ISO date and time
  • Error handling: publishing error messages in case of issues (e.g. authentication error)
  • Heartbeat message: helps client applications to better managing connections
  • Using standard WebSocket instead of specific socket.io implementation

Channels

tick, trade, orderbook, orderChange, fundChange, heartbeat

MarketIds

Market ids represent a market and are used in order to filter events for only specific markets you are interested in.

You should be able to pass any active markets as per below: https://api.btcmarkets.net/v2/market/active

Format: BTC-AUD, XRP-BTC, etc.

Note: marketIds are only applicable to public events (e.g. tick, orderbook, trade)

Message types

All messages published include a json attribute called messageType that represents type of event that is being received.

Those message types events include: tick, trade, orderbook, orderChange, fundChange, error, heartbeat

Subscribe

sending subscribe message allows you to start receiving events for the specified channels and marketIds. If you need to change subscription then simply send a new subscribe message with new channel names and marketIds.

Tick event

The tick event is published every time lastPrice, bestBid or bestAsk is updated for a market which is the result of orderbook changes or trade matches.

sample event:

{ marketId: 'BTC-AUD',
  timestamp: '2019-04-08T18:56:17.405Z',
  bestBid: '7309.12',
  bestAsk: '7326.88',
  lastPrice: '7316.81',
  volume24h: '299.12936654',
  messageType: 'tick' 
}

Trade event

In order to receive trade events please add trade to the list of channels when subscribing via WebSocket.

sample event:

{ marketId: 'BTC-AUD',
  timestamp: '2019-04-08T20:54:27.632Z',
  tradeId: 3153171493,
  price: '7370.11',
  volume: '0.10901605',
  messageType: 'trade' 
}

Orderbook event

In order to receive orderbook events please add orderbook to the list of channels when subscribing via WebSocket. The current orderbook event represents the latest orderbook state and maximum 50 bids and asks are included in each event.

For efficiency the bids and asks are are published as arrays of tuples representing [price, volume] each order in the orderbook.

sample event:

{ marketId: 'BTC-AUD',
  timestamp: '2019-04-08T22:23:37.643Z',
  bids:
   [ [ '7418.46', '0.04' ],
     [ '7418.45', '0.56' ],
     [ '7100', '0.01' ] ]
  asks:
   [ [ '7437.53', '0.76' ],
     [ '7437.54', '0.3646349' ],
     [ '7446.94', '0.6' ],
     [ '7700', '0.1' ] ]
  messageType: 'orderbook' 
}

Sample WebSocket client code (javascript)

Below sample code connects to tick channel. The same code can be used to subscribe to other public channels including heartbeat.

const WebSocket = require('ws');
const ws = new WebSocket('wss://socket.btcmarkets.net/v2');

var request = {
    marketIds:marketIds,
    channels: channels,
    messageType: 'subscribe'
}

ws.on('open', function open() {
    ws.send(JSON.stringify(request));
});

ws.on('message', function incoming(data) {
    console.log(data);
});

Authenticated events

Receiving events about life cycle of your orders require sending authentication information when subscribing to events. The authentication is similar to public trading API authentication using your API key and secret to sign the message when subscribing via WebSocket.

Below is sample javascript code with authentication:

const crypto = require('crypto');
const WebSocket = require('ws');

const key = 'your api key';
const secret = 'your api key secret';

const ws = new WebSocket('wss://socket.btcmarkets.net/v2');

const now = Date.now();
const strToSign =  "/users/self/subscribe" + "\n" + now;
const signature = signMessage(secret, strToSign);

var request = {
    marketIds:['BTC-AUD'],
    channels: ['orderChange', 'heartbeat'],
    key: key,
    signature: signature,
    timestamp: now,
    messageType: 'subscribe'
}

ws.on('open', function open() {
    ws.send(JSON.stringify(request));
});

ws.on('message', function incoming(data) {
    console.log(data);
});

function signMessage(secret, message) {
    var key = Buffer.from(secret, 'base64');
    var hmac = crypto.createHmac('sha512', key);
    var signature = hmac.update(message).digest('base64');
    return signature;
}
 

Order life cycle events

Below are events that are published for every step of order processing.

  • Placed
{ orderId: 79003,
  marketId: 'BTC-AUD',
  side: 'Bid',
  type: 'Limit',
  openVolume: '1',
  status: 'Placed',
  triggerStatus: '',
  trades: [], 
  timestamp: '2019-04-08T20:41:19.339Z',
  messageType: 'orderChange' 
}
  • Fully Matched
{ orderId: 79033,
  marketId: 'BTC-AUD',
  side: 'Bid',
  type: 'Limit',
  openVolume: '0',
  status: 'Fully Matched',
  triggerStatus: '',
  trades: [{  
     tradeId:31727,
     price":'0.1634',
     volume":'10',
     fee:'0.001',
     liquidityType:'Taker'
   }],
  timestamp: '2019-04-08T20:50:39.658Z',
  messageType: 'orderChange' 
}
  • Cancelled
{ orderId: 79003,
  marketId: 'BTC-AUD',
  side: 'Bid',
  type: 'Limit',
  openVolume: '1',
  status: 'Cancelled',
  triggerStatus: '',
  trades: [],  
  timestamp: '2019-04-08T20:41:41.857Z',
  messageType: 'orderChange' 
}
  • Partially Matched
{ orderId: 79003,
  marketId: 'BTC-AUD',
  side: 'Bid',
  type: 'Limit',
  openVolume: '1',
  status: 'Partially Matched',
  triggerStatus: '',
  trades: [{  
     tradeId:31927,
     price:"0.1634',
     volume:"5',
     fee:'0.001',
     liquidityType:'Taker'
  }]
  timestamp: '2019-04-08T20:41:41.857Z',
  messageType: 'orderChange' 
}
  • Triggered This event is published when Stop Limit orders are triggered.
{ orderId: 7903,
  marketId: 'BTC-AUD',
  side: 'Bid',
  type: 'Limit',
  openVolume: '1.2',
  status: 'Placed',
  triggerStatus: 'Triggered',
  trades: [],
  timestamp: '2019-04-08T20:41:41.857Z',
  messageType: 'orderChange' 
}

Notes:

  • Fully Matched and 'Partially Matched' events also include a list of trades that are the result of trade execution for that specific instance.

  • In case if two or more events are published by trading engine at the same time then only the last event is published. For instance in the case of a Stop order being triggered and matched at the same time then a single event is published.

Fund transfer events

Those events are published when deposit or withdraws of funds are requested by a user or approved by the system (and result in balance updates). Channel name used is fundChange.

{
  fundtransferId: 276811,
  type: 'Deposit',
  status: 'Complete',
  timestamp: '2019-04-16T01:38:02.931Z',
  amount: '0.001',
  currency: 'BTC',
  fee: '0',
  messageType: 'fundChange'
}

Note: status of a withdraw request is Pending Authorization when it's requested in the first place and before it becomes Complete.

Heartbeat event

if you subscribe to heartbeat event then the server will send you a heartbeat event every 5 seconds.

heartbeat event:

{
  messageType: 'heartbeat',
  channels: [
    {
      name: 'orderChange'
    },
    {
      name: 'orderbook',
      marketIds: [
        'BTC-AUD',
        'XRP-AUD'
      ]
    },
    {
      name: 'heartbeat'
    }
  ]
}

Note: Once a new subscription request is confirmed, a single heartbeat event is published to the client in order to confirm the connection working. This is regardless of requesting to subscribe to heartbeat channel.

Advanced subscription message types

Whilst sending subscribe message works in most situations, however you may need to have the flexibility to add or remove subscriptions instead of subscribing to all channels/markets at the same time.

In those situations send the same subscription message (all rules applies for authentication, marketIds, etc) and the message type will be addSubscription or removeSubscription. If you need to remove subscription for all markets fo a given channel, just send empty list of marketIds.

Error event

In case of errors, a message type of error is published.

  • Authentication error
  • Invalid input error
  • Internal server error
  • Throttle error

sample error events:

  • Invalid Channel names
{ messageType: 'error',
  code: 3,
  message: 'invalid channel names' 
}
  • Invalid MarketIds
{ messageType: 'error',
  code: 3,
  message: 'invalid marketIds' 
}
  • Authentication error
{ messageType: 'error',
  code: 1,
  message: 'authentication failed. invalid key' 
}

Sample client code

Below are working example of how to connect to this WebSocket feed in different languages:

Rate limit

New connections to the WebSocket feed are rate limited to 3 attempts per 10 seconds per IP. Frequent WebSocket connections that exceed the rate limit will be closed by the server.

Connection issues

From time to time your WebSocket connection may be disconnected (e.g. as we upgrade software on our servers). We recommend adding logic to your client in order to refresh your connection every 24 hours or in case if the connection drops out.

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