Message reference

Curious about what fields you'll see when you stream messages from our API? We've published the format of every message below for quick reference.

General

T messages are issued every time there is a trade on the subscribed asset. You'll get basic information about the trade (price and quantity), as well as the time in UTC (with microsecond precision). For convenience we'll echo back the symbol that the message was issued about, and the name of the stream to which the message pertains.

BBO messages are issued every time there is a change in the best/bid and offer on the order book for that asset. The best bid and offer represent the most someone is willing to pay for an asset (bid), and the least someone is willing to accept for asset (offer). These messages contain a block for each bid and offer, which contains the price and quantity per side, as well as the same generic info (symbol, stream, and time), as trade messages.

1S messages are issued once a second, and contain a snapshot of the previous second's trading activity. Also known as "candles" or "klines", aggregates give a sense of the price action in that second. They contain the open, high, low, close, and volume metrics for the asset, as well as the time of the start of the second. No messages will be sent for seconds where there are no trades.

Reference

Trade T

Best Bid/Offer BBO

1-Second Aggregate 1S

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{
  "stream":"S:T:AAPL",
  "exchange":"TRF",
  "price":"156.5092",
  "quantity":"1",
  "symbol":"AAPL",
  "time":"2022-09-13T15:27:22.191Z"
}

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{
  "stream":"S:BBO:AAPL",
  "ask":{
    "price":"156.43",
    "quantity":"2"
  },
  "bid":{
    "price":"156.42",
    "quantity":"2"
  },
  "symbol":"AAPL",
  "time":"2022-09-13T15:46:14.200Z"
}

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{
  "stream":"S:1S:AAPL",
  "open":"156.655",
  "high":"156.655",
  "low":"156.63",
  "close":"156.64",
  "volume":"3793",
  "symbol":"AAPL",
  "time":"2022-09-13T16:09:04.000Z",
}

Trade T

Best Bid/Offer BBO

1-Second Aggregate 1S

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{
  "stream":"C:T:BTC-USD",
  "price":"20732.43",
  "quantity":"0.001",
  "symbol":"BTC-USD",
  "time":"2022-09-13T16:30:36.304769Z"
}

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{
  "stream":"C:BBO:BTC-USD",
  "ask":{
    "price":"20733.97",
    "quantity":"0.00509153"
  },
  "bid":{
    "price":"20731.42",
    "quantity":"0.00164146"
  },
  "symbol":"BTC-USD",
  "time":"2022-09-13T16:31:34.600Z"
}

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{
  "stream":"C:1S:BTC-USD",
  "open":"20765.07",
  "high":"20765.7",
  "low":"20760.56",
  "close":"20764.24",
  "volume":"0.24691892"
  "symbol":"BTC-USD",
  "time":"2022-09-13T16:32:20Z",
}

Best Bid/Offer BBO

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{
  "stream":"F:BBO:GBP-EUR",
  "ask":{
    "price":"1.15331"
  },
  "bid":{
    "price":"1.1531"
  },
  "symbol":"GBP-EUR",
  "time":"2022-09-14T00:04:07.100Z"
}