Book (Level 2)

CHANNEL
wss://ws.kraken.com/v2
book

The book channel streams level 2 (L2) order book. It describes the individual price levels in the book with aggregated order quantities at each level.

Subscriptions to this channel can be made for multiple symbols at once by specifying a list of pairs in the symbol.

For more detail on maintaining the order book and generating a checksum, see guide.

Subscribe Request

Subscribe Schema

MESSAGE BODY

method string required

Value: subscribe

params object

channel string required

Value: book

symbol array of strings required

Example: ["BTC/USD", "MATIC/GBP"]

A list of currency pairs.

depth integer

Possible values: [10, 25, 100, 500, 1000]

Default value: 10

The number of price levels to be received.

snapshot boolean

Possible values: [true, false]

Default value: true

Request a snapshot after subscribing.

req_id integer

Optional client originated request identifier sent as acknowledgment in the response.

Subscribe Ack Schema

There is an separate acknowledgement response for each symbol in the subscription list.

MESSAGE BODY

method string required

Value: subscribe

result object

channel string required

Value: book

symbol string required

Example: "BTC/USD"

The currency pair associated with this subscription.

depth integer

Possible values: [10, 25, 100, 500, 1000]

Specifies the number of price levels (in each side of the book) to be received.

snapshot boolean

Possible values: [true, false]

Indicates if a snapshot is requested.

warnings array of strings

An advisory message, highlighting deprecated fields or upcoming changes to the channel.

success boolean

Possible values: [true, false]

Indicates if the request was successfully processed by the engine.

error string conditional

Condition: If success is false.

Error message.

time_in string

Format: RFC3339

Example: 2022-12-25T09:30:59.123456Z

The timestamp when the subscription was received on the wire, just prior to parsing data.

time_out string

Format: RFC3339

Example: 2022-12-25T09:30:59.123456Z

The timestamp when the acknowledgement was sent on the wire, just prior to transmitting data.

req_id integer

Optional client originated request identifier sent as acknowledgment in the response.

Example: Subscribe

{
    "method": "subscribe",
    "params": {
        "channel": "book",
        "symbol": [
            "ALGO/USD",
            "MATIC/USD"
        ]
    }
}

Example: Subscribe Ack

{
    "method": "subscribe",
    "result": {
        "channel": "book",
        "depth": 10,
        "snapshot": true,
        "symbol": "ALGO/USD"
    },
    "success": true,
    "time_in": "2023-10-06T17:35:55.219022Z",
    "time_out": "2023-10-06T17:35:55.219067Z"
}

{
    "method": "subscribe",
    "result": {
        "channel": "book",
        "depth": 10,
        "snapshot": true,
        "symbol": "MATIC/USD"
    },
    "success": true,
    "time_in": "2023-10-06T17:35:55.219022Z",
    "time_out": "2023-10-06T17:35:55.219067Z"
}

Snapshot Response

Snapshot Schema

The returned snapshot data contains the specified number of bids and asks for the symbol including a CRC32 checksum of the top 10 bids and asks.

MESSAGE BODY

channel string

Value: book

type string

Value: snapshot

data array [

[0] book object

The book element is always the first and only item in the data payload.

asks array [

[many] level object

price float

The ask price.

qty float

The ask quantity.

]

bids array [

[many] level object

price float

The bid price.

qty float

The bid quantity.

]

checksum integer

CRC32 checksum for the top 10 bids and asks.

symbol string

Example: "BTC/USD"

The symbol of the currency pair.

]

Example

{
    "channel": "book",
    "type": "snapshot",
    "data": [
        {
            "symbol": "MATIC/USD",
            "bids": [
                {
                    "price": 0.5666,
                    "qty": 4831.75496356
                },
                {
                    "price": 0.5665,
                    "qty": 6658.22734739
                },
                {
                    "price": 0.5664,
                    "qty": 18724.91513344
                },
                {
                    "price": 0.5663,
                    "qty": 11563.92544914
                },
                {
                    "price": 0.5662,
                    "qty": 14006.65365711
                },
                {
                    "price": 0.5661,
                    "qty": 17454.85679807
                },
                {
                    "price": 0.566,
                    "qty": 18097.1547
                },
                {
                    "price": 0.5659,
                    "qty": 33644.89175666
                },
                {
                    "price": 0.5658,
                    "qty": 148.3464
                },
                {
                    "price": 0.5657,
                    "qty": 606.70854372
                }
            ],
            "asks": [
                {
                    "price": 0.5668,
                    "qty": 4410.79769741
                },
                {
                    "price": 0.5669,
                    "qty": 4655.40412487
                },
                {
                    "price": 0.567,
                    "qty": 49844.89424998
                },
                {
                    "price": 0.5671,
                    "qty": 24306.41678
                },
                {
                    "price": 0.5672,
                    "qty": 29783.25223475
                },
                {
                    "price": 0.5673,
                    "qty": 57234.71239278
                },
                {
                    "price": 0.5674,
                    "qty": 45065.04744
                },
                {
                    "price": 0.5675,
                    "qty": 5912.76380354
                },
                {
                    "price": 0.5676,
                    "qty": 42514.92434778
                },
                {
                    "price": 0.5677,
                    "qty": 36304.0847022
                }
            ],
            "checksum": 2439117997
        }
    ]
}

Update Response

The data contains the updates of the bids and asks for the relevant symbol including a CRC32 checksum of the top 10 bids and asks.

Note, it is possible to have multiple updates to the same price level in a single update message. Updates should always be processed in sequence.

Update Schema

MESSAGE BODY

channel string

Value: book

type string

Value: update

data array [

[0] book object

The book element is always the first and only item in the data payload.

asks array [

[many] level object

price float

The ask price.

qty float

The ask quantity.

]

bids array [

[many] level object

price float

The bid price.

qty float

The bid quantity.

]

checksum integer

CRC32 checksum for the top 10 bids and asks.

symbol string

Example: "BTC/USD"

The symbol of the currency pair.

timestamp string

Format: RFC3339

Example: 2022-12-25T09:30:59.123456Z

The book order update timestamp.

]

Example

{
    "channel": "book",
    "type": "update",
    "data": [
        {
            "symbol": "MATIC/USD",
            "bids": [
                {
                    "price": 0.5657,
                    "qty": 1098.3947558
                }
            ],
            "asks": [],
            "checksum": 2114181697,
            "timestamp": "2023-10-06T17:35:55.440295Z"
        }
    ]
}

Unsubscribe Request

Unsubscribe Schema

MESSAGE BODY

method string required

Value: unsubscribe

params object

channel string required

Value: book

symbol array of strings required

Example: ["BTC/USD", "MATIC/GBP"]

A list of currency pairs.

depth integer

Possible values: [10, 25, 100, 500, 1000]

The number of price levels to be unsubscribed.

req_id integer

Optional client originated request identifier sent as acknowledgment in the response.

Unsubscribe Ack Schema

There is an separate acknowledgement response for each symbol in the unsubscription list.

MESSAGE BODY

method string required

Value: unsubscribe

result object

channel string required

Value: book

symbol string required

Example: "BTC/USD"

The currency pair associated with this subscription.

depth integer

Possible values: [10, 25, 100, 500, 1000]

Specifies the number of price levels (in each side of the book) to be unsubscribed.

success boolean

Possible values: [true, false]

Indicates if the request was successfully processed by the engine.

error string conditional

Condition: If success is false.

Error message.

time_in string

Format: RFC3339

Example: 2022-12-25T09:30:59.123456Z

The timestamp when the subscription was received on the wire, just prior to parsing data.

time_out string

Format: RFC3339

Example: 2022-12-25T09:30:59.123456Z

The timestamp when the acknowledgement was sent on the wire, just prior to transmitting data.

req_id integer

Optional client originated request identifier sent as acknowledgment in the response.

Example: Unsubscribe

{
    "method": "unsubscribe",
    "params": {
        "channel": "book",
        "symbol": [
            "ALGO/USD",
            "MATIC/USD"
        ]
    }
}

Example: Unsubscribe Ack

{
    "method": "unsubscribe",
    "result": {
        "channel": "book",
        "depth": 10,
        "snapshot": true,
        "symbol": "ALGO/USD"
    },
    "success": true,
    "time_in": "2023-10-06T17:35:55.219022Z",
    "time_out": "2023-10-06T17:35:55.219067Z"
}

{
    "method": "unsubscribe",
    "result": {
        "channel": "book",
        "depth": 10,
        "snapshot": true,
        "symbol": "MATIC/USD"
    },
    "success": true,
    "time_in": "2023-10-06T17:35:55.219022Z",
    "time_out": "2023-10-06T17:35:55.219067Z"
}