L2 book stream - Kuru

Messages

WSS

/

ws

l2Book@f@<coalesceMs>

This market-scoped snapshot stream sends the current finalized book when the subscription starts and then publishes complete snapshots on the requested cadence. It does not use a replay cursor.

{
  "op": "sub",
  "id": 3,
  "t": "l2Book@f@500",
  "m": "0x8121EE960066e4344A213F9aC7502395502aEe7a",
  "feedEpoch": 0,
  "n": 20,
  "g": "sf",
  "sf": 5,
  "mt": 2,
  "e": false
}

n is depth per side from 1 through 200. Grouping g is none, tick, or sf. Use tk with tick grouping, sf and optional mt with significant figures, and e=true for active/passive decomposition.

Decoded event

The shape below is the inner message returned by decodeExchangeWsEnvelope or decodeExchangeWsMessage. Every binary socket message also carries an outer id: bigint, matching your subscription ID. Use it to route snapshots, replay, and live updates. See binary subscription envelopes.

type ExchangeWsL2Grouping =
  | { kind: "none" }
  | { kind: "nativeTick"; tickSize: bigint }
  | {
      kind: "significantFigures";
      figures: number;
      mantissa: number | null;
    };

interface ExchangeWsCompactL2Level {
  price: bigint;
  totalBase: bigint;
}

interface ExchangeWsExtendedL2Level extends ExchangeWsCompactL2Level {
  activeBase: bigint;
  passiveBase: bigint;
  activeOrderCount: number;
}

interface ExchangeWsL2BookFrameBase {
  wireVersion: 1;
  feedEpoch: bigint;
  view: "finalized";
  kind: "l2Book";
  marketAddress: string;
  marketSeq: bigint;
  globalSeq: bigint;
  stateHead: { blockNumber: bigint; blockId: string };
  durationMs: bigint;
  maxDepthPerSide: number;
  grouping: ExchangeWsL2Grouping;
}

type ExchangeWsL2BookFrame =
  | (ExchangeWsL2BookFrameBase & {
      levelFormat: "compact";
      bids: ExchangeWsCompactL2Level[];
      asks: ExchangeWsCompactL2Level[];
    })
  | (ExchangeWsL2BookFrameBase & {
      levelFormat: "extended";
      bids: ExchangeWsExtendedL2Level[];
      asks: ExchangeWsExtendedL2Level[];
    });

Bids are ordered high to low and asks low to high. Prices are native pp integers; base quantities remain native integers in market size precision. The decoder performs no scaling. Native tick grouping keeps tickSize in protocol ticks.

Messages

l2Book@f subscription

type:object