Feed 'O' - Orders

Orders Feed

Requests

Subscribe

{"event": "bind", "feed": "O", "feedId": "BTC-EUR"}

Use instrument name or instrument id as feedId value to subscribe to updates for particular instrument. If feedId field is absent, no filter is applied.

Unsubscribe

{"event": "unbind", "feed": "O"}

Feed handling

Definitions

order = [
  0: instrumentName (string)
  1: orderType (unsigned int16)
  2: orderSide (Efx::Side)
  3: orderCancelReason (Efx::CancelReason)
  4: orderId (Efx::OrderId)
  5: clientOrderId (Efx::ClientOrderId)
  6: orderPrice (Efx::Price)
  7: initialSize (Efx::Size)
  8: sizeLeft (Efx::Size)
  9: createdAt (Efx::Timestamp)
  10: bySizeOrByVolume (unsigned int16)
]

deal = [
  0: instrumentName (string)
  1: orderType (unsigned int16)
  2: orderSide (Efx::Side)
  3: orderCancelReason (Efx::CancelReason)
  4: orderId (Efx::OrderId)
  5: clientOrderId (Efx::ClientOrderId)
  6: orderPrice (Efx::Price)
  7: initialSize (Efx::Size)
  8: sizeOrVolumeLeft (Efx::Size)
  9: createdAt (Efx::Timestamp)
  10: dealMoment (Efx::Timestamp)
  11: dealId (Efx::DealId)
  12: dealAggressorSide (Efx::Side)
  13: dealPrice (Efx::Price)
  14: dealSize (Efx::Size)
  15: dealVolume (Efx::Size)
  16: dealDelta (Efx::Size)
  17: counterpartyId (Efx::ClientId)
  18: isOrderByVolume (unsigned int16)
  19: counterpartySubaccountId (Efx::ClientId)
  20: linkedTo (Efx::DealId)
]

Possible Updates

// snapshot
['O', feed_id, 'S', [array of order]]

// new order
['O', feed_id, '+', order]

// del position
['O', feed_id, '-', order]

// new deal
['O', feed_id, 'D', deal]

// failed to subscribe
['O', feed_id, 'Z', 2]

// unsubscribed
['O', feed_id, 'U', 0]

feed_id is copied from subscription request and 0 if not provided