Subscribes/Unsubscribes to market options Order Book Snapshots data.
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Request
{
"jsonrpc" : "2.0",
"id" : 1,
"method" : "subscribe",
"params" : [ "market:options:order:snapshots", { "instrument": "BTC-24JUN22-15000-P", "exchange": "deribit" } ]
}
Param | Type | Description |
---|---|---|
instrument |
| The asset instrument. (REQUIRED) |
exchange |
| The exchange for which to retrieve asset instruments. (OPTIONAL) |
Response
"result": {
"exchange": "deribit",
"instrument": "BTC-24JUN22-15000-P",
"timestamp": 1638355080000,
"exchangeTimestamp": 1638355095066,
"exchangeTimestampNanoseconds": 0,
"underlyingPrice": 60041.9,
"underlyingIndex": "BTC-24JUN22",
"stats": {
"volume": 1.1,
"price_change": -27.2727,
"low": 0.004,
"high": 0.0055
},
"state": "open",
"openInterest": 430.5,
"minPrice": 0.0001,
"maxPrice": 0.021,
"markPrice": 0.0050063,
"markIv": 102.15,
"lastPrice": 0.004,
"interestRate": 0.0,
"indexPrice": 56942.12,
"greeks": {
"vega": 16.13665,
"theta": -4.02251,
"rho": -6.43421,
"gamma": 0.0,
"delta": -0.01408
},
"estimatedDeliveryPrice": 56942.12,
"bids": [
[0.0045, 34.5],
[0.004, 15.0],
[0.002, 10.0],
[0.0005, 0.2]
],
"bidIv": 100.21,
"bestBidPrice": 0.0045,
"bestBidAmount": 34.5,
"bestAskPrice": 0.0055,
"bestAskAmount": 3.2,
"asks": [
[0.0055, 3.2],
[0.006, 1.0],
[0.0065, 30.6],
[0.007, 17.0],
[0.0085, 10.0],
[0.022, 0.1],
[0.03, 0.1],
[0.032, 0.5],
[0.036, 0.1],
[0.0405, 0.1],
[0.041, 0.1],
[0.05, 0.1],
[0.06, 0.1],
[0.075, 0.1],
[0.085, 0.1],
[0.1, 0.1],
[0.125, 0.1],
[0.15, 0.1],
[0.175, 0.1],
[0.2, 0.1],
[0.225, 0.1],
[0.25, 0.1],
[0.5, 90.0]
],
"askIv": 103.94,
"sequence": 37544581750,
"metadata": null
}
Field | Type | Description |
---|---|---|
exchange |
| The exchange. |
instrument |
| The instrument. |
timestamp |
| The time at which the order book snapshot took place. |
exchangeTimestamp |
| Timestamp that the exchange returned. |
exchangeTimestampNanoseconds |
| Nanoseconds part of |
underlyingPrice |
| Underlying price for implied volatility calculations. |
underlyingIndex |
| Name of the underlying future, or |
stats |
| |
stats.high |
| Highest price during 24h. |
stats.low |
| Lowest price during 24h. |
stats.price_change |
| 24-hour price change expressed as a percentage, null if there weren't any trades. |
stats.volume |
| Volume during last 24h in base currency. |
state |
| The state of the order book. Possible values are |
openInterest |
| The amount of corresponding cryptocurrency contracts, e.g., BTC or ETH. |
minPrice |
| The minimum price for the future. Any sell orders you submit lower than this price will be clamped to this minimum. |
maxPrice |
| The maximum price for the future. Any buy orders you submit higher than this price, will be clamped to this maximum. |
markPrice |
| The mark price for the instrument. |
markIv |
| Implied volatility for mark price. |
lastPrice |
| The price for the last trade. |
interestRate |
| Interest rate used in implied volatility calculations. |
indexPrice |
| Current index price |
greeks |
| |
greeks.delta |
| The delta value for the option. |
greeks.gamma |
| The gamma value for the option. |
greeks.rho |
| The rho value for the option. |
greeks.theta |
| The theta value for the option. |
greeks.vega |
| The vega value for the option. |
estimatedDeliveryPrice |
| The settlement price for the instrument. Only when |
bids |
| List of bids. |
bidIv |
| Implied volatility for best bid. |
bestBidPrice |
| The current best bid price, |
bestBidAmount |
| It represents the requested order size of all best bids. |
bestAskPrice |
| The current best ask price, |
bestAskAmount |
| It represents the requested order size of all best asks. |
asks |
| List of asks. |
askIv |
| Implied volatility for best ask. |
sequence |
| |
metadata |
|
Example
const WebSocket = require('ws');
const ws = new WebSocket('wss://ws.web3api.io/', {headers: {x-api-key:'<api_key>'}});
ws.on('open', () => {
ws.send(JSON.stringify({
jsonrpc: '2.0',
method: 'subscribe',
params: ['market:options:order:snapshots'],
id: 1,
}));
});
ws.on('message', data => {
console.log(JSON.stringify(JSON.parse(data), null, 2));
});