Market Data Channels

Public channels for real-time market data. All authenticated users can subscribe to market data channels.

Channel publications carry the same orderBook / ticker / kline payload schemas used by the REST API (GET /api/v3/market/...) and WebSocket RPC (query.{type}.get / query.{type}.list). One canonical schema per data type, used identically across all surfaces.

Channel Patterns

Channel Pattern	Payload Schema	Description
market:orderbook:{venue}:{symbol}	orderBook	Order book snapshots / diffs / deltas
market:ticker:{venue}:{symbol}	ticker	Per-instrument ticker updates
market:ticker:{venue}	ticker	Venue-wide ticker fanout (live screening)
market:kline:{venue}:{symbol}:{interval}	kline	Live and closed kline updates
market:trade:{venue}:{symbol}	Trade data	Real-time trades

---

Order Book Subscriptions

Subscribe to real-time order book updates.

Step 1: Create Server-Side Subscription (Admin only)

await client.rpc("command.subscription.create", {
    "venue": "BINANCE",
    "instruments": ["BTC/USDT"],
    "subscriptionType": "MARKET.SUBSCRIPTION.ORDERBOOK"
})

Step 2: Subscribe to Channel

channel = "market:orderbook:BINANCE:BTC/USDT"
sub = client.new_subscription(channel, events=handler)
await sub.subscribe()

Order Book Data Format

Publications carry the unified orderBook schema:

Field	Type	Description
updateType	string enum	SNAPSHOT | DIFF | DELTA — how the client should apply the payload
instrumentId	string	Format: VENUE:SYMBOL
venue	string	Trading venue
symbol	string	Trading pair
orderBookType	string enum	L2 | L2_COUNTED | L3 | L3_COUNTED | L2_EXCHANGE | VWAP
columns	string array	Positional layout of each entry in bids / asks
bids	array of arrays	Bid rows (sorted by price descending), tuple matches columns
asks	array of arrays	Ask rows (sorted by price ascending), tuple matches columns
timestamp	int (ms)	Order book timestamp in milliseconds

Update type semantics:

• SNAPSHOT — full state of the book; client replaces its local view
• DIFF — incremental change; per-level zero quantity removes, non-zero upserts
• DELTA — reconciliation delta against a known reference state (venue-specific)

Example (L2_COUNTED snapshot):

{
  "updateType": "SNAPSHOT",
  "instrumentId": "BINANCE:BTC/USDT",
  "venue": "BINANCE",
  "symbol": "BTC/USDT",
  "orderBookType": "L2_COUNTED",
  "columns": ["price", "quantity", "orderCount"],
  "bids": [["50000.00", "1.5", "3"], ["49999.50", "2.3", "7"]],
  "asks": [["50000.50", "1.2", "2"]],
  "timestamp": 1703052635110
}

---

Ticker Subscriptions

Subscribe to real-time ticker updates per instrument or venue-wide.

Channel Formats

market:ticker:{venue}:{symbol}    # Per-instrument
market:ticker:{venue}              # Venue-wide fanout

Example

# Per-instrument
sub = client.new_subscription("market:ticker:BINANCE:BTC/USDT", events=handler)
await sub.subscribe()

# Venue-wide screening
sub = client.new_subscription("market:ticker:BINANCE", events=handler)
await sub.subscribe()

Ticker Data Format

Field	Type	Description
instrumentId	string	Format: VENUE:SYMBOL
venue	string	Trading venue
symbol	string	Trading pair
lastPrice	string (decimal)	Price of the last trade
lastQuantity	string (decimal)	Quantity of the last trade
bidPrice	string (decimal)	Best bid price
bidQuantity	string (decimal)	Quantity at best bid
askPrice	string (decimal)	Best ask price
askQuantity	string (decimal)	Quantity at best ask
timestamp	int (ms)	Ticker timestamp in milliseconds

---

Kline Subscriptions

Subscribe to live and closed candles for an instrument and interval.

Channel Format

market:kline:{venue}:{symbol}:{interval}

Example

channel = "market:kline:BINANCE:BTC/USDT:1m"
sub = client.new_subscription(channel, events=handler)
await sub.subscribe()

Kline Data Format

Field	Type	Description
instrumentId	string	Format: VENUE:SYMBOL
venue	string	Trading venue
symbol	string	Trading pair
interval	string	Kline interval (e.g. 1m, 5m, 1h, 1d)
candles	array of tuples	OHLCV tuples ordered ascending by openTime
isClosed	boolean	Whether the last candle in candles is finalized
timestamp	int (ms)	Server timestamp of the message

Each candle is a fixed-position OHLCV tuple — no columns field:

Position	Field	Type	Required
0	openTime	int (ms)	Yes
1	open	string (decimal)	Yes
2	high	string (decimal)	Yes
3	low	string (decimal)	Yes
4	close	string (decimal)	Yes
5	volume	string (decimal) | null	Optional — venues without volume (e.g. CFD) emit null

Streaming surfaces emit isClosed: false while the current bar is forming and isClosed: true when it closes.

Example:

{
  "instrumentId": "BINANCE:BTC/USDT",
  "venue": "BINANCE",
  "symbol": "BTC/USDT",
  "interval": "1m",
  "candles": [
    [1703052540000, "50000", "50050", "49990", "50010", "12.34"],
    [1703052600000, "50010", "50080", "50000", "50045", null]
  ],
  "isClosed": false,
  "timestamp": 1703052635110
}

---

Trade Subscriptions

Subscribe to real-time trade updates.

Channel Format

market:trade:{venue}:{symbol}

Example

channel = "market:trade:BINANCE:BTC/USDT"
sub = client.new_subscription(channel, events=handler)
await sub.subscribe()