Market Data: Live Stream Order Book

By August 20, 2019 September 16th, 2019 Cryptocurrency, Market Data
Cryptocurrency Market Data: Live Stream Order Book

What Are Order Books?

  • Limit order books are electronic lists of open buy and sell orders for a specific asset.
  • Order books list the bids and asks available at each price level.
  • They are arranged with the best offered prices at the top, meaning the lowest ask limit order prices will be at the top of the ask order book, and the highest bid limit prices will be at the top of the bid order book.

Why Use Order Books?

  • Order book data is valuable as it can reveal more information about the market than simply looking at the last traded price or the mid-price.
  • For instance, order books can tell you about what prices other people in the market are willing to buy and sell at, and the relative amount can indicate whether it will be easier for the price to move up or down.

How To Obtain Order Book Data?

  • Coinscious provides order book data specific to a trading pair and exchange in a live stream format through our WebSocket Market Data API.
  • To subscribe to the data, send { subscribe: <subscribe>, msg: {exchange: <exchange>, pair: <pair>} }, and to unsubscribe, send { unsubscribe: <subscribe>,msg: {exchange: <exchange>, pair: <pair>} }. Once you are subscribed, you will receive real-time information about the order book as they change over time until you unsubscribe.
  • In addition to specifying the cryptocurrency trading pair and the exchange, there is also a <subscribe> parameter. The <subscribe> parameter can take multiple values and controls the types of order book data that you will receive.
  • orderbook5, orderbook10, orderbook20 modes are limit order books that respectively provide the top 5, 10, and 20 asks or bids of an order book.
  • snapshot and orderbookStream modes provide Level 2 order book data. snapshot is the full order book that includes every price level and amount at each timestep, whereas orderbookStream provides streamed data in the form of operations to be applied to the previous timestep’s order book.
  • orderbookL3 and orderbookL3Stream modes both provides the original depth of market data from exchanges, and are the snapshot and streamed versions of the data, respectively.
Name Required Type Description
subscribe Yes string orderbook mode, value supported: orderbook, orderbook5, orderbook10, orderbook20, orderbookStream, orderbookL3, orderbookL3Stream
unsubscribe Yes string orderbook mode, value supported: orderbook, orderbook5, orderbook10, orderbook20, orderbookStream, orderbookL3, orderbookL3Stream
exchange Yes string Exchanges supported
pair Yes string Token Pair supported

Python Example

Java Example



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The information contained herein is for informational purposes only and is not intended as a research report or investment advice. It should not be construed as Coinscious recommending investment in cryptocurrencies or other products or services, or as a solicitation to buy or sell any security or engage in a particular investment strategy. Investment in the crypto market entails substantial risk. Before acting on any information, you should consider whether it is suitable for your particular circumstances and consult all available material, and, if necessary, seek professional advice.

Coinscious and its partners, directors, shareholders and employees may have a position in entities referred to herein or may make purchases and/or sales from time to time, or they may act, or may have acted in the past, as an advisor to certain companies mentioned herein and may receive, or may have received, a remuneration for their services from those companies.

Neither Coinscious or its partners, directors, shareholders or employees shall be liable for any damage, expense or other loss that you may incur out of reliance on any information contained in this report. 

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