Get L2 orderbook snapshot
Returns the current L2 orderbook snapshot for a market, truncated to the requested number of levels per side.
sigFigs (and roundStep). When aggregating, bids round down and asks round up to the bucket boundary so the displayed spread is never tighter than the true book, and the sizes of all merged levels are summed. Aggregation is applied before nLevels truncation.Path Parameters
Market identifier.
"BTC-USD"
Query Parameters
Number of price levels to return per side (bids and asks). Default 20, maximum 100; requests above the maximum are silently clamped.
1 <= x <= 100Aggregate price levels to this many significant figures. Omit for full precision (no aggregation).
2, 3, 4, 5 Refines the finest bucket into steps of 1, 2, or 5. Takes effect only when sigFigs is 5; ignored otherwise.
1, 2, 5 Response
Orderbook snapshot.
Full orderbook snapshot. Sent on subscribe for l2OrderbookUpdates, periodically re-broadcast on l2Orderbook, and returned by GET /l2OrderBook/{market}.
[price, size] tuple as strings
2 elements[price, size] tuple as strings
2 elementsMax per-market sequence id for this snapshot (sync with stream).
Max global sequence id across levels when available; 0 if the store has no global_sequence column (legacy schema).
Snapshot time (epoch microseconds).