Message Details

Market Data

Book snapshot

{
  "type": "snapshot",
  "data": {
    "market_id": "1",
    "ask_agg_data": [
      { "ticks": 100010, "qty": "6000" },
      { "ticks": 100012, "qty": "3000" },
      { "ticks": 100015, "qty": "4500" }
    ],
    "bid_agg_data": [
      { "ticks": 100000, "qty": "8000" },
      { "ticks": 99998, "qty": "2500" },
      { "ticks": 99995, "qty": "5000" }
    ],
    "latest_seq_num": "2"
  }
}

Field	Description
ask_agg_data	Ask levels, lowest price first.
bid_agg_data	Bid levels, highest price first.
latest_seq_num	seq_num of the last event in the snapshot.

Quantities are integers scaled from base asset native units. See Data Formats.

Market data event

md_event_detail has three parts:

Part	Contents
tob	Top of book after the event.
data	What changed.
order	The order that triggered the event.

Extending the book snapshot shown above, the following market data event detail shows an IOC buy of 1,000 qty at 100,010 ticks that trades against the best ask; as a result, the best ask qty drops from 6,000 (as shown in the book snapshot above) to 5,000 (as shown in the event detail TOB).

{
  "type": "md_event_detail",
  "data": {
    "tob": {
      "ask_qty": "5000",
      "bid_qty": "8000",
      "ask_ticks": 100010,
      "bid_ticks": 100000
    },
    "data": {
      "event_type": 2,
      "event_qual": 2,
      "event_side": 1,
      "event_delta_qty": "-1000",
      "event_abs_ticks": 100010,
      "event_tick_depth": 0,
      "event_level_depth": 0,
      "event_level_begin_qty": "6000",
      "event_level_delta_qty": "-1000",
      "event_total_px": "-100010000",
      "seq_num": "3"
    },
    "order": {
      "side": 2,
      "market_id": "1",
      "qty": "1000",
      "ticks": 100010,
      "tif": 1,
      "origin": 1
    }
  }
}

tob

Field	Description
ask_ticks	Best ask price.
bid_ticks	Best bid price.
ask_qty	Quantity at the best ask.
bid_qty	Quantity at the best bid.

data

For trades that execute at multiple price levels, event_delta_qty and event_total_px cover all levels, and event_level_* fields refer to the deepest level touched.

Field	Description
event_type	Event type. See Enums.
event_qual	Event qualifier, on LIQ_RMD only. See Enums.
event_side	Side of the book.
seq_num	Per-market sequence number.
event_delta_qty	Total quantity change. Negative for LIQ_RMD.
event_total_px	Sum of quantity × ticks over the levels touched [1].
event_abs_ticks	Price of the deepest level touched.
event_tick_depth	Ticks from the previous best price.
event_level_depth	Levels from the previous best price, zero-indexed.
event_level_begin_qty	Deepest level’s quantity before the event.
event_level_delta_qty	Deepest level’s change. Negative for LIQ_RMD.

Note 1. event_total_px is negative for removals. For XA, it is value rested minus value traded; see Book Building. To convert to quote native units, multiply by tick_size and divide by base native units per token.

order

Field	Description
market_id	Market identifier.
side	Side. See Enums.
ticks	Limit price in ticks.
qty	Order quantity.
tif	Time in force. See Enums.
origin	Origin. See Enums.

User Data

Snapshot

Sent on the initial subscribe, and on any later subscribe that adds order status update markets or enables λ status updates (the snapshot covers only what that subscribe added).

List	Contains	Included when
order_entries	Resting and pending orders	Subscribed to OSU
lambda_entries	Active lambdas, all markets	Subscribed to LSU
pending_lambda_cancels	Lambda cancels in flight	Subscribed to LSU

{
  "type": "ud_snapshot",
  "data": {
    "order_entries": [
      {
        "order_id": "ord_abc",
        "client_order_id": "my-order-1",
        "order": { "side": 2, "market_id": "1", "qty": "100", "ticks": 10000, "tif": 2, "origin": 1 },
        "qty_filled_make": "25",
        "qty_filled_take": "0",
        "qty_canceled": "0"
      }
    ],
    "lambda_entries": [
      {
        "lambda_id": "lam_xyz",
        "client_lambda_id": "my-lambda-1",
        "order": { "side": 2, "market_id": "1", "qty": "100", "ticks": 10000, "tif": 2, "origin": 2 },
        "status": 2,
        "is_remote": false,
        "is_leverage": false,
        "predicate_index_data": "{...}",
        "predicate_match_data": "{...}",
        "lr_qty_type": 1,
        "partial_qty": "0",
        "lr_ticks_type": 1
      }
    ],
    "pending_lambda_cancels": [
      { "lambda_id": "lam_xyz", "client_cancel_id": "my-cancel-1" }
    ]
  }
}

In ud_snapshot, the order_entries quantities (qty_filled_make, qty_filled_take, qty_canceled) are totals since the order was placed.

order_entries

Field	Description
order_id	Exchange-assigned id.
client_order_id	Optional user-supplied id (string, up to 36 bytes).
order	The original order.
qty_filled_make	Total filled as maker.
qty_filled_take	Total filled as taker.
qty_canceled	Total canceled.

lambda_entries

Field	Description
lambda_id	Exchange-assigned id.
client_lambda_id	Optional user-supplied id (string, up to 36 bytes).
order	The underlying order.
status	Lambda status. See Enums.
is_remote	Whether it’s a remote lambda.
is_leverage	Whether it trades on leverage.
predicate_index_data	The predicate’s index_data, as a JSON string.
predicate_match_data	The predicate’s match_data, as a JSON string.
lr_qty_type	See Response.
partial_qty	As submitted. Only used by PARTIAL, which isn’t available yet.
lr_ticks_type	See Response.

pending_lambda_cancels

Field	Description
lambda_id	The lambda being canceled.
client_cancel_id	Optional user-supplied id for the cancel (string, up to 36 bytes).

Order status update

Sent for each acceptance, fill, and cancel in subscribed osu markets, and for each refused order.

{
  "type": "ud_order_status_update",
  "data": {
    "osu_id": "osu_abc",
    "order_id": "ord_abc",
    "client_order_id": "my-order-1",
    "qty_filled_make": "10",
    "qty_filled_take": "0",
    "qty_canceled": "0",
    "fill_value": "100000",
    "fee_rebate": "50",
    "order": { "side": 2, "market_id": "1", "qty": "100", "ticks": 10000, "tif": 2, "origin": 1 },
    "order_status": 2,
    "reason": 0
  }
}

Field	Description
osu_id	Exchange-assigned id of this update. Empty for a refused order.
order_id	Exchange-assigned order id. Empty for a refused order.
client_order_id	Optional user-supplied id (string, up to 36 bytes).
qty_filled_make	Filled as maker in this update.
qty_filled_take	Filled as taker in this update.
qty_canceled	Canceled in this update.
fill_value	Notional filled, in quote native units.
fee_rebate	Fee (negative) or rebate (positive), in quote native units.
order	The original order.
order_status	Order status. See Enums.
reason	Order status reason. See Enums.

Lambda status update

Sent on every lambda status change.

{
  "type": "ud_lambda_status_update",
  "data": {
    "lsu_id": "lsu_xyz",
    "lambda_id": "lam_xyz",
    "client_lambda_id": "my-lambda-1",
    "delta_qty": "0",
    "status": 2,
    "reason": 1
  }
}

Field	Description
lsu_id	Exchange-assigned id of this update.
lambda_id	Exchange-assigned id. Empty for a refused submission.
client_lambda_id	Optional user-supplied id (string, up to 36 bytes).
delta_qty	Change in the lambda’s untriggered quantity: the full quantity when programmed, minus what was left when canceled, and 0 otherwise.
status	Lambda status. See Enums.
reason	Lambda status reason. See Enums.

Enums

Side

Value	Name	Meaning
1	ASK	Sell.
2	BID	Buy.

Event type

Value	Name	Meaning
1	LIQ_ADD	Liquidity added.
2	LIQ_RMD	Liquidity removed.
3	IM_MISS	An IOC order that found nothing to fill.

Event qualifier

Used with LIQ_RMD, describes why liquidity was removed. XA indicates that a GTC order crossed the spread when it was placed and so it both executed immediately and added liquidity.

Value	Name	Meaning
2	EX	A trade executed.
3	CX	An order was canceled.
4	XA	A GTC order crossed, partially filled, and rested.

Time in force

Value	Name	Meaning
1	IOC	Immediate or cancel.
2	GTC	Good until canceled.

Origin

Value	Name	Meaning
1	EXOGENOUS	Placed through the HTTPS API.
2	LAMBDA	Placed by a lambda.
3	ADMIN	Placed by the system, such as cancels ahead of maintenance.

Order status

Value	Name	Meaning
1	PENDING	Accepted, awaiting the matching engine.
2	RESTING	On the book, possibly partly filled. GTC only.
3	FILLED	Fully filled.
4	CANCELED	Canceled, with nothing filled.
5	PARTIAL	Canceled, but partly filled.
6	REJECTED	Refused, e.g. insufficient balance.

Order status reason

Value	Name	Meaning
0		No reason.
1	ADMIN_CANCELED	Canceled by the system.
2	INSUFFICIENT_BALANCE	Refused: the account cannot fund the order.
3	DUPLICATE_CLIENT_ID	Refused: the client order id is already in use.
4	EXCHANGE_ERROR	Refused: the order could not be accepted.

Lambda status

Value	Name	Meaning
1	PENDING	Submitted, awaiting acceptance.
2	IN_FORCE	Active and evaluating on every matching event.
3	OUT_OF_FORCE	No longer active (exhausted or canceled).
4	REJECTED	Refused.

Lambda status reason

Value	Name	Meaning
1	PROGRAMMED	Accepted and now in force.
2	CANCELED	Canceled, explicitly or automatically.
3	MODIFIED	Quantity modified.
4	EXHAUSTED	All quantity triggered; now out of force.
5	SYSTEM_RESTART	State reset by a system restart.
6	INSUFFICIENT_BALANCE	Refused: the account cannot fund the lambda.
7	DUPLICATE_CLIENT_ID	Refused: the client lambda id is already in use by a live lambda.
8	INVALID_LAMBDA	Refused: the lambda’s inputs are not valid.
9	EXCHANGE_ERROR	Refused: the lambda could not be accepted.