Messages

Trades IN

Trade message JSON is structured like this:

{
  "type": "trade",
  "symbol_id": "BITSTAMP_SPOT_BTC_USD",
  "sequence": 2323346,
  "time_exchange": "2013-09-28T22:40:50.0000000Z",
  "time_coinapi": "2017-03-18T22:42:21.3763342Z",
  "uuid": "770C7A3B-7258-4441-8182-83740F3E2457",
  "price": 770.000000000,
  "size": 0.050000000,
  "taker_side": "BUY"
}

Trade message is sent for every executed transaction (orderbook match).

Message variables

Variable	Description
type	Message type, always `trade`
symbol_id	Our symbol identifier, format documented here
sequence	Sequence number per pair (`type`, `symbol_id`) which is valid only for the lifespan of the connection.
time_exchange	Time of trade reported by exchange
time_coinapi	Time when coinapi first received trade from exchange
uuid	Our unique trade identifier in form of UUIDv4
price	Price of the transaction
size	Base asset amount traded in transaction (if a value is equal to zero, then transaction price just marking a data point eg. in the index time series)
taker_side	Aggressor side of the transaction (BUY/SELL/BUY_ESTIMATED/SELL_ESTIMATED/UNKNOWN)

Possible `taker_side` values

If exchange has not reported who the aggressor side of the transaction was, then we will classNameify who it most probably was based on current market view.

`taker_side`	Description
`BUY`	Exchange has reported that transaction aggressor was buying
`SELL`	Exchange has reported that transaction aggressor was selling
`BUY_ESTIMATED`	Exchange has not reported transaction aggressor, we estimated that more likely it was buying
`SELL_ESTIMATED`	Exchange has not reported transaction aggressor, we estimated that more likely it was selling
`UNKNOWN`	Exchange has not reported transaction aggressor and we have not estimated who it was

Quotes IN

Quote message JSON is structured like this:

{
  "type": "quote",
  "symbol_id": "BITSTAMP_SPOT_BTC_USD",
  "sequence": 2323346,
  "time_exchange": "2013-09-28T22:40:50.0000000Z",
  "time_coinapi": "2017-03-18T22:42:21.3763342Z",
  "ask_price": 770.000000000,
  "ask_size": 3252,
  "bid_price": 760,
  "bid_size": 124
}

Quote message is sent for each update on orderbook first best bid or ask level.

Message variables

Variable	Description
type	Message type, always `quote`
symbol_id	Our symbol identifier, format documented here.
sequence	Sequence number per pair (`type`, `symbol_id`) which is valid only for the lifespan of the connection.
time_exchange	Exchange time of orderbook
time_coinapi	CoinAPI time when orderbook received from exchange
ask_price	Best asking price
ask_size	Volume resting on best ask (if a value is equal to zero then size is unknown)
bid_price	Best bidding price
bid_size	Volume resting on best bid (if a value is equal to zero then size is unknown)

Orderbook L2 (Full) IN

A Book message is sent for each snapshot or update of the order book. After subscription to this data type is initialized, we immediately start delivering updates to the order book and at least one snapshot will be provided as soon as possible with the nearest update of the book. Book message represents total ammount of bids and asks aggregated by price level.

{
  "type": "book",
  "symbol_id": "BITSTAMP_SPOT_BTC_USD",
  "sequence": 2323346,
  "time_exchange": "2013-09-28T22:40:50.0000000Z",
  "time_coinapi": "2017-03-18T22:42:21.3763342Z",
  "is_snapshot": true,
  "asks": [
    {
      "price": 456.35,
      "size": 123
    },
    {
      "price": 456.36,
      "size": 23
    },
    ... cut ...
  ],
  "bids": [
    {
      "price": 456.10,
      "size": 42
    },
    {
      "price": 456.09,
      "size": 5
    },
    ... cut ...
  ]
}

Message variables

Variable	Description
type	Message type, always `book`
symbol_id	Our symbol identifier, format documented here.
sequence	Sequence number per pair (`type`, `symbol_id`) which is valid only for the lifespan of the connection.
time_exchange	Exchange time of orderbook
time_coinapi	CoinAPI time when orderbook received from exchange
is_snapshot	Is message a snapshot? If `true` then all bid and ask levels are listed, otherwise only changed since the last message.
asks	All ask levels for snapshot message, otherwise only changed ask levels since the last message. Data will be in order from the best to the worst price.
bids	All bid levels for snapshot message, otherwise only changed bid levels since the last message. Data will be in order from the best to the worst price.
price	Price of bid/ask
size	Volume resting on bid/ask level in base amount

Orderbook L2 (max 2x5) IN

A Book5 message contain first 5 best bid or ask levels.

{
  "type": "book5",
  "symbol_id": "BITSTAMP_SPOT_BTC_USD",
  "sequence": 2323346,
  "time_exchange": "2013-09-28T22:40:50.0000000Z",
  "time_coinapi": "2017-03-18T22:42:21.3763342Z",
  "asks": [
    {
      "price": 456.35,
      "size": 123
    },
    {
      "price": 456.36,
      "size": 23
    },
    ... cut ...
  ],
  "bids": [
    {
      "price": 456.10,
      "size": 42
    },
    {
      "price": 456.09,
      "size": 5
    },
    ... cut ...
  ]
}

Message variables

Variable	Description
type	Message type, always `book5`
symbol_id	Our symbol identifier, format documented here.
sequence	Sequence number per pair (`type`, `symbol_id`) which is valid only for the lifespan of the connection.
time_exchange	Exchange time of orderbook
time_coinapi	CoinAPI time when orderbook received from exchange
asks	Best 5 ask levels in order from best to worst.
bids	Best 5 bid levels in order from best to worst.
price	Price of bid/ask
size	Volume resting on bid/ask level in base amount

Orderbook L2 (max 2x20) IN

A Book20 message contain first 20 best bid or ask levels.

{
  "type": "book20",
  "symbol_id": "BITSTAMP_SPOT_BTC_USD",
  "sequence": 2323346,
  "time_exchange": "2013-09-28T22:40:50.0000000Z",
  "time_coinapi": "2017-03-18T22:42:21.3763342Z",
  "asks": [
    {
      "price": 456.35,
      "size": 123
    },
    {
      "price": 456.36,
      "size": 23
    },
    ... cut ...
  ],
  "bids": [
    {
      "price": 456.10,
      "size": 42
    },
    {
      "price": 456.09,
      "size": 5
    },
    ... cut ...
  ]
}

Message variables

Variable	Description
type	Message type, always `book20`
symbol_id	Our symbol identifier, format documented here.
sequence	Sequence number per pair (`type`, `symbol_id`) which is valid only for the lifespan of the connection.
time_exchange	Exchange time of orderbook
time_coinapi	CoinAPI time when orderbook received from exchange
asks	Best 20 ask levels in order from best to worst.
bids	Best 20 bid levels in order from best to worst.
price	Price of bid/ask
size	Volume resting on bid/ask level in base amount

Orderbook L2 (max 2x50) IN

A Book50 message contain first 50 best bid or ask levels.

{
  "type": "book50",
  "symbol_id": "BITSTAMP_SPOT_BTC_USD",
  "sequence": 2323346,
  "time_exchange": "2013-09-28T22:40:50.0000000Z",
  "time_coinapi": "2017-03-18T22:42:21.3763342Z",
  "asks": [
    {
      "price": 456.35,
      "size": 123
    },
    {
      "price": 456.36,
      "size": 23
    },
    ... cut ...
  ],
  "bids": [
    {
      "price": 456.10,
      "size": 42
    },
    {
      "price": 456.09,
      "size": 5
    },
    ... cut ...
  ]
}

Message variables

Variable	Description
type	Message type, always `book50`
symbol_id	Our symbol identifier, format documented here.
sequence	Sequence number per pair (`type`, `symbol_id`) which is valid only for the lifespan of the connection.
time_exchange	Exchange time of orderbook
time_coinapi	CoinAPI time when orderbook received from exchange
asks	Best 50 ask levels in order from best to worst.
bids	Best 50 bid levels in order from best to worst.
price	Price of bid/ask
size	Volume resting on bid/ask level in base amount

Orderbook L3 (Full) IN

A book_l3 message is sent for each snapshot or update of the order book in the level 3 format (order-by-order). After subscription to this data type is initialized, we immediately start delivering updates to the order book and at least one snapshot will be provided as soon as possible with the nearest update of the book. Book L3 does not aggregate any data. Every ask and bid corresponds to passive order with information on the price and size of that order. The id can identify any order.

{
  "type": "book_l3"
  "symbol_id": "COINBASE_SPOT_BCH_USD",
  "sequence": 2323346,
  "time_exchange": "2020-08-26T12:36:04.3464706Z",
  "time_coinapi": "2020-08-26T12:36:04.2807750Z",
  "is_snapshot": false,
  "asks": [
	{
	  "id": "520269d4-c085-47ed-8825-6d787af90800",
	  "price": 273.01,
	  "size": 1.81940502,
	  "update_type":"ADD"
	},
	{
	  "id": "0ac891c7-8360-462c-8d9a-d8b217d3fca2",
	  "price": 273.02,
	  "size": 1.0,
	  "update_type":"DELETE"
	},
	... cut ...
  ],
  "bids": [
	{
	  "id": "6340ec1e-8be8-404e-b9a4-a14120ec179e",
	  "price": 272.94,
	  "size": 1.81940502,
	  "update_type":"UPDATE"
	},
	{
	  "id": "7eaaa899-089f-4308-9fa2-e33737ae36ee",
	  "price": 272.96,
	  "size": 1.85989855,
	  "update_type":"DELETE"
	},
	... cut ...
  ]
}

Message variables

Variable	Description
type	Message type, always `book_l3`
symbol_id	Our symbol identifier, format documented here.
sequence	Sequence number per pair (`type`, `symbol_id`) which is valid only for the lifespan of the connection.
time_exchange	Exchange time of orderbook
time_coinapi	CoinAPI time when orderbook received from exchange
is_snapshot	Is message a snapshot? If `true` then all bid and ask levels are listed, otherwise only changed since the last message
asks	All ask levels for snapshot message, otherwise only changed ask levels since the last message. Data will be in order from the best to the worst price.
bids	All bid levels for snapshot message, otherwise only changed bid levels since the last message. Data will be in order from the best to the worst price.
id	Order identifier
price	Price of bid/ask
size	Bid/ask base asset amount
update_type	Type of update message

Possible `update_type` values

The snapshot message represents the initial collection of the orders in the order book. Further updates are modifying this collection. update_type determines the type of update for the order. Please note that the snapshot message has no defined update_type.

`update_type`	Description
`ADD`	Add order to the price queue.
`UPDATE`	Update the order size in the price queue.
`SUBTRACT`	Subtract the order size in the price queue.
`DELETE`	Delete the order from the price queue.
`MATCH`	Subtract the order size in the price queue (same as `SUBTRACT` but caused by the match).

OHLCV IN

A OHLCV message is sent on the between 1SEC and 1DAY. We are sending message when the ohlcv period is closed (we saw timestamp belonging to the new period) or every 5 seconds if ohlcv period was updated but not yet closed.

{
  "type": "ohlcv",
  "symbol_id": "BITSTAMP_SPOT_XRP_USD",
  "sequence": 511,
  "time_period_start": "2019-06-11T15:26:00.0000000Z",
  "time_period_end": "2019-06-11T15:27:00.0000000Z",
  "time_open": "2019-06-11T15:26:07.0000000Z",
  "time_close": "2019-06-11T15:26:36.0000000Z",
  "price_open": 0.3865,
  "price_high": 0.38706,
  "price_low": 0.3865,
  "price_close": 0.38706,
  "volume_traded": 1500.31419084,
  "trades_count": 5
}

Message variables

Variable	Description
type	Message type, always `ohlcv`
symbol_id	Our symbol identifier, format documented here.
sequence	Sequence number per pair (`type`, `symbol_id`) which is valid only for the lifespan of the connection.
period_id	Identifier of timeseries period full list here
time_period_start	Period starting time (range left inclusive)
time_period_end	Period ending time (range right exclusive)
time_open	Time of first trade inside period range
time_close	Time of last trade inside period range
price_open	First trade price inside period range
price_high	Highest traded price inside period range
price_low	Lowest traded price inside period range
price_close	Last trade price inside period range
volume_traded	Cumulative base amount traded inside period range
trades_count	Amount of trades executed inside period range

Asset IN

A asset message is sent periodically to update last volume and other information. Feed is useful to keep track of the current assets metadata. Subscription to this message type triggers delivery of the snapshot.

{
   "type":"asset",
   "asset_id":"FAKT",
   "name":"FAKT",
   "type_is_crypto":1,
   "data_quote_start":"2022-06-06T13:40:56.7147296Z",
   "data_quote_end":"2022-11-09T00:00:00.0000000Z",
   "data_orderbook_start":"2022-06-23T00:00:00.0000000Z",
   "data_orderbook_end":"2022-11-09T00:00:00.0000000Z",
   "data_trade_start":"2022-06-06T13:33:33.0000000Z",
   "data_trade_end":"2022-11-09T00:00:00.0000000Z",
   "data_symbols_count":6,
   "volume_1hrs_usd":577.30,
   "volume_1day_usd":23801.27,
   "volume_1mth_usd":559053.26,
   "price_usd":0.0189885151556305438646080756,
}

Message variables

Variable	Description
type	Message type, always `asset`
asset_id	Identifier of asset (full list available here)
...	For other fields please reffer to the asset model documented here

Exchange IN

A exchange message is sent periodically to update last volume and other information. Feed is useful to keep track of the current exchanges metadata. Subscription to this message type triggers delivery of the snapshot.

{
   "type":"exchange",
   "exchange_id":"BITMEX",
   "website":"https://www.bitmex.com/",
   "name":"BitMEX",
   "data_start":"2014-11-22",
   "data_end":"2022-11-09",
   "data_quote_start":"2014-11-22T16:58:47.8820780Z",
   "data_quote_end":"2022-11-09T00:00:00.0000000Z",
   "data_orderbook_start":"2014-11-22T16:58:47.8820780Z",
   "data_orderbook_end":"2022-11-09T00:00:00.0000000Z",
   "data_trade_start":"2014-11-22T17:51:38.9484710Z",
   "data_trade_end":"2022-11-09T00:00:00.0000000Z",
   "data_symbols_count":411
}

Message variables

Variable	Description
type	Message type, always `exchange`
exchange_id	Identifier of exchange (full list available here)
...	For other fields please reffer to the exchange model documented here

Symbol IN

A symbol message is sent periodically to update last volume and other information. Feed is useful to keep track of the current symbols metadata. Subscription to this message type triggers delivery of the snapshot.

{
   "type": "symbol",
   "symbol_id": "KRAKENFTS_PERP_BTC_USD",
   "exchange_id": "KRAKENFTS",
   "symbol_type": "PERPETUAL",
   "asset_id_base": "BTC",
   "asset_id_quote": "USD",
   "asset_id_unit": "USD",
   "future_contract_unit": 1.000000000,
   "future_contract_unit_asset": "USD",
   "data_start": "2019-10-30",
   "data_end": "2021-03-03",
   "data_quote_start": "2019-10-30T16:53:10.3262317Z",
   "data_quote_end": "2021-03-03T13:51:45.6970000Z",
   "data_orderbook_start": "2019-10-30T16:53:10.3262317Z",
   "data_orderbook_end": "2020-08-05T14:37:32.0080000Z",
   "data_trade_start": "2019-10-30T16:38:52.1620000Z",
   "data_trade_end": "2021-03-03T13:46:25.7810000Z",
   "volume_1hrs": 22897091.000000000,
   "volume_1hrs_usd": 22897091.00,
   "volume_1day": 459390289.000000000,
   "volume_1day_usd": 459390289.00,
   "volume_1mth": 12875674995.000000000,
   "volume_1mth_usd": 12875674995.00,
   "price": 51266,
   "symbol_id_exchange": "pi_xbtusd",
   "asset_id_base_exchange": "XBT",
   "asset_id_quote_exchange": "USD",
   "price_precision": 0.100000000,
   "size_precision": 1.000000000
}

Message variables

Variable	Description
type	Message type, always `symbol`
symbol_id	Identifier of symbol (full list available here)
...	For other fields please reffer to the symbol model documented here

Exchange Rate IN

Exchange rate is defined as (VWAP-24H) last 24 hour (rolling window over time) Volume Weighted Average Price across multiple data sources listed on our platform. We are selecting and managing the data sources that are used in the calculation based on multiple factors to provide data of highest quality.

{
  "type": "exrate",
  "asset_id_base": "BTC",
  "asset_id_quote": "USD",
  "rate_type":"BASE_ALL_CROSSES_TO_REF",
  "time": "2019-06-11T15:26:00.0000000Z",
  "rate": 10065.0319541
}

Rate types

Rate can be several types, we explain what this mean in the table below.

Rate type Description

BASE_QUOTE_ISOLATED To produce rate value only assets in the asset_id_base or asset_id_quote quotes were used across multiple data sources.

BASE_ALL_CROSSES_TO_REF To produce the value of the rate all crosses that included asset_id_base across data sources were used and the value was quoted in the reference asset asset_id_quote. This means for example that BTC/USD component of the rate could be composed of the BTC/ETH * ETH/USDT * USDT/USD crosses. In this rate type, we want to express the true value of the asset by seeking markets that have volume/activity and not blinding ourselves only to the direct crosses that in the crypto industry will often not represent the majority of the price discovery activity. This is the same type of rate that is available through other of our APIs.

Rate type	Description
`BASE_QUOTE_ISOLATED`	To produce rate value only assets in the `asset_id_base` or `asset_id_quote` quotes were used across multiple data sources.
`BASE_ALL_CROSSES_TO_REF`	To produce the value of the rate all crosses that included `asset_id_base` across data sources were used and the value was quoted in the reference asset `asset_id_quote`. This means for example that `BTC/USD` component of the rate could be composed of the `BTC/ETH * ETH/USDT * USDT/USD` crosses. In this rate type, we want to express the true value of the asset by seeking markets that have volume/activity and not blinding ourselves only to the direct crosses that in the crypto industry will often not represent the majority of the price discovery activity. This is the same type of rate that is available through other of our APIs.

Message variables

Variable	Description
type	Message type, always `exrate`
asset_id_base	Base asset identifier. Full list available here
asset_id_quote	Quote asset identifier. Always `USD`.
rate_type	Rate calculation type it could be `BASE_QUOTE_ISOLATED` or `BASE_ALL_CROSSES_TO_REF`.
time	Time of the exchange rate
rate	Exchange rate between pair of assets.

Reconnect IN

Reconnect message is sent by the server to all connected clients when the server will be restarted or shut down at the defined exact time included in the message content. After the period specified in message passes, the client must expect that the underlying WebSocket connection will be closed from the server-side. A new connection will automatically be established to a different server.

The correct way of handling this event depends on the specific requirements of the integration, but we can define standard ways how to handle it:

Wait for the connection to be closed and reconnect
Reconnect immediately after receiving the message
Upon receiving the message, establish a second connection, and subscribe to the same scope of data. When the first connection is disconnected, do not reconnect it and instead transparently switch the data streams between connections. This method requires more implementation as a transparent switch of the data stream must not break the sequence for streams published using the initial snapshot and update messages. To make sure the sequence is correct, the client must: (a) maintain a state by applying updates to snapshot or (b) buffer the data from the second connection and processing it at the transparent connection switch.

Example JSON reconnect message is structured like this:

{
  "type": "reconnect"
  "within_seconds": 10,
  "before_time": "2020-08-06T19:19:09.7035429Z",
}

Message variables

Variable	Description
type	Message type, always `reconnect`
within_seconds	Seconds within which reconnection should be performed.
before_time	Time before which reconnection should be performed.

Heartbeat IN

Heartbeat message JSON is structured like this:

{
  "type": "hearbeat"
}

Heartbeat message is sent to you every time there is one second of silence in communication between us, if you agreed on this feature in Hello message.

General FIX API

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Messages

Trades IN

Message variables

Possible taker_side values

Quotes IN

Message variables

Orderbook L2 (Full) IN

Message variables

Orderbook L2 (max 2x5) IN

Message variables

Orderbook L2 (max 2x20) IN

Message variables

Orderbook L2 (max 2x50) IN

Message variables

Orderbook L3 (Full) IN

Message variables

Possible update_type values

OHLCV IN

Message variables

Asset IN

Message variables

Exchange IN

Message variables

Symbol IN

Message variables

Exchange Rate IN

Rate types

Message variables

Reconnect IN

Message variables

Heartbeat IN

Possible `taker_side` values

Possible `update_type` values