Tick-level Updates
What is this endpoint for?
A Tick-level Update offers an efficient approach for accessing order book information of an exchange. When you connect, you first receive a snapshot of the current order book, followed by continuous real-time updates for every change ("delta") that takes place.
When you subscribe, you'll initially receive a full snapshot within a few seconds, followed by all subsequent tick-level updates. If you receive another full snapshot, replace your local snapshot with the new one. This should happen infrequently and only occurs if we detect a consistency issue, such as a lost connection to the exchange or the exchange being down for some time.
If you receive an update with an amount of 0, you should remove the corresponding price level from your local order book. You'll occasionally receive a 0 message for a price level that doesn't exist in your local order book - this can be safely ignored and is due to various exchange limitations.
The order book should not be considered valid until all updates with the same tsExchange
have been applied to your local order book, meaning all potential messages from the same update batch have been processed.
Parameters
Parameter | Description | Examples |
---|---|---|
| A nested object to configure following properties for your stream:
Explore instruments, codes and exchanges in the Instrument Explorer or by using the Reference API endpoint. |
|
Configuring a wildcard
A wildcard allows you to request all information we have on a specific instrument, class, or exchange in the same stream.
Use a *
in place of the relevant exchange
, instrument
, or class
parameter.
For example, the configuration below would deliver trades for BTC/USD across all exchanges where itâs supported:
exchange: *
class: spot
instrument: btc-usd
Fields
Field | Description |
---|---|
| Instrument class, empty when not mapped. |
| Instrument code, empty when not mapped. |
| Instrument exchange code. |
| Sequence ID for event. Sortable in lexicographic order. |
| The timestamp provided by the exchange for the data. |
| The timestamp for when Kaiko received the data from the exchange. |
| The timestamp the data became available in the Kaiko system. |
|
|
| Represents sell orders
|
| Represents buy orders.
|
Request examples
Make sure to read our Python quick-start guide before starting.
Response Example
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