OrderBookIncremental

Order-by-order (L3) book updates for one instrument. Direction: Kraken → client

ID	Field	Type	Encoding	Presence	Description
1	`instrumentId`	`InstrumentId`	field	required
2	`orderBookSeq`	`uint64`	field	required	Contiguous per-instrument update sequence, starting at one
3	`transactTime`	`TimestampNs`	field	required	Time the matching event occurred at the source
4	`orders`	group	group	required
1	↳ `updateAction`	`OrderUpdateAction`	group field	required
2	↳ `side`	`Side`	group field	required
3	↳ `orderId`	`OrderId`	group field	required
4	↳ `price`	`Price`	group field	required
5	↳ `quantity`	`Quantity`	group field	required
6	↳ `orderPriority`	`uint64`	group field	required	Opaque queue priority comparable within one price level

Rows marked ↳ are fields of the repeating group above them. Each group is preceded by a groupSizeEncoding header (blockLength, numInGroup). Every message is preceded by the standard SBE messageHeader (blockLength, templateId, schemaId, version). See encodings.

Session

Market Data