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ws ob / trade docs #14

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Jan 19, 2024
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ws ob / trade docs #14

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114 changes: 114 additions & 0 deletions source/includes/_orderbook_dlobserver.md
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Expand Up @@ -70,6 +70,32 @@ Each market currently requires its own subscribe message. The two examples below
}
`

#### Response
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#### Response
| Field | Description |
|---------------------------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------|
| channel | Identifies the type of data being streamed. `orderbook_perp_0` indicates data for perpetual market 0 order book (SOL-PERP). |
| data | Contains the actual order book data in JSON format. This field is a JSON string that needs to be parsed. |
| bids | A list of bid orders in the order book, each representing an offer to buy. |
| asks | A list of ask orders in the order book, each representing an offer to sell. |
| price | The price at which the bid or ask is made. |
| size | The size of the bid or ask, indicating the quantity of the asset the buyer or seller wishes to transact. |
| sources | Indicates the origin or source of the bid or ask, such as `vamm` (Virtual Automated Market Maker) or `dlob` (Decentralized Limit Order Book). |
| marketName | Name of the market, e.g., `SOL-PERP`. |
| marketType | Type of the market, e.g., `perp` for perpetual. |
| marketIndex | Index of the market, used to identify specific markets within a market type. |
| slot | A unique identifier for the state of the blockchain at the time the order book snapshot was taken. |
| oracle | The reported price from the oracle for this market. |
| oracleData | Contains detailed information from the oracle, including price, slot, confidence, etc. |
| oracleData.price | The price reported by the oracle. |
| oracleData.slot | The slot number associated with the oracle data. |
| oracleData.confidence | The confidence interval for the oracle price. |
| oracleData.hasSufficientNumberOfDataPoints | Indicates whether the oracle has sufficient data points for reliability. |
| oracleData.twap | The time-weighted average price as reported by the oracle. |
| oracleData.twapConfidence | The confidence interval for the time-weighted average price. |
| marketSlot | Slot number associated with the market data. |


#### Spot markets
`
{
Expand All @@ -80,6 +106,30 @@ Each market currently requires its own subscribe message. The two examples below
}
`

#### Response
#### Response
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| Field | Description |
|--------------|-----------------------------------------------------------------------------------------------------------------------------------|
| channel | Identifies the type of data being streamed. i.e `orderbook_spot_1` indicates data for the spot market order book (SOL/USDC). |
| data | Contains the actual order book data in JSON format. This field is a JSON string that needs to be parsed. |
| bids | A list of bid orders in the order book, each representing an offer to buy. |
| asks | A list of ask orders in the order book, each representing an offer to sell. |
| price | The price at which the bid or ask is made. |
| size | The size of the bid or ask, indicating the quantity of the asset the buyer or seller wishes to transact. |
| sources | Indicates the origin or source of the bid or ask, such as `phoenix` or `serum`, representing different liquidity providers. |
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| slot | A unique identifier for the state of the blockchain at the time the order book snapshot was taken. |
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| marketName | Name of the market, e.g., `SOL`. |
| marketType | Type of the market, e.g., `spot`. |
| marketIndex | Index of the market, used to identify specific markets within a market type. |
| oracle | The reported price from the oracle for this market. |
| oracleData | Contains detailed information from the oracle, including price, slot, confidence, etc. |
| oracleData.price | The price reported by the oracle. |
| oracleData.slot | The slot number associated with the oracle data. |
| oracleData.confidence | The confidence interval for the oracle price. |
| oracleData.hasSufficientNumberOfDataPoints | Indicates whether the oracle has sufficient data points for reliability. |
| oracleData.twap | The time-weighted average price as reported by the oracle. |
| oracleData.twapConfidence | The confidence interval for the time-weighted average price. |

```typescript

import WebSocket from 'ws';
Expand Down Expand Up @@ -167,6 +217,37 @@ Trades feed subscribe messages take a similar form to orderbook data, just chang
}
`

#### Response
| Field | Description |
|--------------------------------------------|---------------------------------------------------------------------------------------------------------------------|
| channel | Identifies the type of data being streamed. `trades_perp_0` indicates data for trades in perp market 0. (SOL-PERP) |
| ts | Timestamp of the trade. |
| marketIndex | Index of the market where the trade occurred. |
| marketType | Type of the market, here it's `perp` for perpetual. |
| filler | The address or identifier of the filler (taker) in the trade. |
| takerFee | Fee paid by the taker in the trade. |
| makerFee | Fee paid or received by the maker in the trade. |
| quoteAssetAmountSurplus | Surplus amount in quote asset. |
| baseAssetAmountFilled | The amount of the base asset that was filled in this trade. |
| quoteAssetAmountFilled | The amount of the quote asset that was filled in this trade. |
| takerOrderId | Order ID of the taker's order, if available. |
| takerOrderBaseAssetAmount | Base asset amount specified in the taker's order. |
| takerOrderCumulativeBaseAssetAmountFilled | Cumulative base asset amount filled in the taker's order. |
| takerOrderCumulativeQuoteAssetAmountFilled | Cumulative quote asset amount filled in the taker's order. |
| maker | The address or identifier of the maker in the trade. |
| makerOrderId | Order ID of the maker's order. |
| makerOrderDirection | Direction of the maker's order (e.g., 'short' or 'long'). |
| makerOrderBaseAssetAmount | Base asset amount specified in the maker's order. |
| makerOrderCumulativeBaseAssetAmountFilled | Cumulative base asset amount filled in the maker's order. |
| makerOrderCumulativeQuoteAssetAmountFilled | Cumulative quote asset amount filled in the maker's order. |
| oraclePrice | The oracle price at the time of the trade. |
| txSig | Transaction signature. |
| slot | Slot number in which the trade occurred. |
| action | Type of action that occurred (e.g., 'fill'). |
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| actionExplanation | Explanation of the action (e.g., 'orderFilledWithAmm' indicating order filled with Automated Market Maker). |
| referrerReward | Reward amount for the referrer, if applicable. |


#### Spot markets
`
{
Expand All @@ -177,6 +258,39 @@ Trades feed subscribe messages take a similar form to orderbook data, just chang
}
`

#### Response
| Field | Description |
|--------------------------------------------|--------------------------------------------------------------------------------------------------------------------------|
| channel | Identifies the type of data being streamed. `trades_spot_1` indicates data for trades in spot market 1 (SOL/USDC). |
| ts | Timestamp of the trade. |
| marketIndex | Index of the market where the trade occurred. |
| marketType | Type of the market, here it's `spot`. |
| filler | The address or identifier of the filler (taker) in the trade. |
| takerFee | Fee paid by the taker in the trade. |
| makerFee | Fee paid or received by the maker in the trade. |
| quoteAssetAmountSurplus | Surplus amount in quote asset. |
| baseAssetAmountFilled | The amount of the base asset that was filled in this trade. |
| quoteAssetAmountFilled | The amount of the quote asset that was filled in this trade. |
| taker | The address or identifier of the taker in the trade. |
| takerOrderId | Order ID of the taker's order, if available. |
| takerOrderDirection | Direction of the taker's order (e.g., 'long'). |
| takerOrderBaseAssetAmount | Base asset amount specified in the taker's order. |
| takerOrderCumulativeBaseAssetAmountFilled | Cumulative base asset amount filled in the taker's order. |
| takerOrderCumulativeQuoteAssetAmountFilled | Cumulative quote asset amount filled in the taker's order. |
| maker | The address or identifier of the maker in the trade. |
| makerOrderId | Order ID of the maker's order. |
| makerOrderDirection | Direction of the maker's order (e.g., 'short'). |
| makerOrderBaseAssetAmount | Base asset amount specified in the maker's order. |
| makerOrderCumulativeBaseAssetAmountFilled | Cumulative base asset amount filled in the maker's order. |
| makerOrderCumulativeQuoteAssetAmountFilled | Cumulative quote asset amount filled in the maker's order. |
| oraclePrice | The oracle price at the time of the trade. |
| txSig | Transaction signature. |
| slot | Slot number in which the trade occurred. |
| action | Type of action that occurred (e.g., 'fill'). |
| actionExplanation | Explanation of the action (e.g., 'orderFilledWithMatch' indicating order filled with a matching order). |
| referrerReward | Reward amount for the referrer, if applicable. |


## Websocket - Unsubscribing

To unsubscribe to a channel, send a subscribe-like message, with the message type set to `unsubscribe`. Unsubscribe requests to channels not previously subscribed to will have no impact.
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