Stream L2 book

StreamL2Book delivers aggregated price-level order book snapshots, one per block for each market whose book changed. This is ideal for order book displays, depth analysis, pricing, and applications that need current book state without maintaining it incrementally.

Overview

• Every message is a complete snapshot for the market it names
• A market is sent only when its book changed in that block
• Levels are aggregated: a single level can represent many orders, and n reports how many
• Order IDs and user addresses are not exposed on this stream

Request structure

message StreamL2BookRequest {
  repeated string coins = 1;
  repeated string market_types = 2;
  uint32 n_levels = 3;
  uint32 n_sig_figs = 4;
  uint64 mantissa = 5;
}

Coins

Field: coins Type: repeated string

Markets to subscribe to. Empty means all markets.

Market types

Field: market_types Type: repeated string

Accepted values are perp, spot, outcome, or *. The default is ["perp"], so spot and outcome markets are not delivered unless requested. The default never grows: add new market types explicitly, or pass ["*"] to opt in to future types automatically. This field is rejected when combined with an explicit coins list.

Levels

Field: n_levels Type: uint32

Levels per side: 1, 10, 20 (default), or 50.

Significant figures

Field: n_sig_figs Type: uint32

Accepted values are 2, 3, 4, or 5.

Mantissa

Field: mantissa Type: uint64

Accepted values are 2 or 5, and this field is valid only when n_sig_figs = 5. Aggregation rounds bids down and asks up. With n_sig_figs = 5 and mantissa = 2, a bid of 70325 becomes 70324 and an ask of 70325 becomes 70326.

Response structure

message L2BookUpdate {
  string coin = 1;
  uint64 height = 2;
  uint64 time = 3;
  repeated Level bids = 4;
  repeated Level asks = 5;
}
 
message Level {
  string px = 1;
  string sz = 2;
  uint32 n = 3;
}

Key fields

coin: Market symbol.

height: Block number this snapshot reflects.

time: Block timestamp in milliseconds.

bids: Repeated Level, sorted descending by px.

asks: Repeated Level, sorted ascending by px.

px: Price, as a decimal string.

sz: Total size resting at this price level, as a decimal string.

n: Number of orders aggregated into this level.

Choosing a book stream