market:options:order:snapshots [ENT]

Subscribes/Unsubscribes to market options Order Book Snapshots data.

Make sure you're connected.

Request

{
  "jsonrpc" : "2.0",
  "id"      : 1,
  "method"  : "subscribe",
  "params"  : [ "market:options:order:snapshots", { "instrument": "BTC-24JUN22-15000-P", "exchange": "deribit" } ]
}

Param

Type

Description

instrument

string

The asset instrument. (REQUIRED)

exchange

string

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

string

The exchange.

instrument

string

The instrument.

timestamp

number

The time at which the order book snapshot took place.

exchangeTimestamp

number | null

Timestamp that the exchange returned.

exchangeTimestampNanoseconds

number | null

Nanoseconds part of exchangeTimestamp.

underlyingPrice

number | null

Underlying price for implied volatility calculations.

underlyingIndex

string | null

Name of the underlying future, or indexPrice.

stats

object | null

stats.high

number | null

Highest price during 24h.

stats.low

number | null

Lowest price during 24h.

stats.price_change

number | null

24-hour price change expressed as a percentage, null if there weren't any trades.

stats.volume

number | null

Volume during last 24h in base currency.

state

string | null

The state of the order book. Possible values are open and closed.

openInterest

number | null

The amount of corresponding cryptocurrency contracts, e.g., BTC or ETH.

minPrice

number | null

The minimum price for the future. Any sell orders you submit lower than this price will be clamped to this minimum.

maxPrice

number | null

The maximum price for the future. Any buy orders you submit higher than this price, will be clamped to this maximum.

markPrice

number | null

The mark price for the instrument.

markIv

number | null

Implied volatility for mark price.

lastPrice

number | null

The price for the last trade.

interestRate

number | null

Interest rate used in implied volatility calculations.

indexPrice

number | null

Current index price

greeks

object | null

greeks.delta

number | null

The delta value for the option.

greeks.gamma

number | null

The gamma value for the option.

greeks.rho

number | null

The rho value for the option.

greeks.theta

number | null

The theta value for the option.

greeks.vega

number | null

The vega value for the option.

estimatedDeliveryPrice

number | null

The settlement price for the instrument. Only when state = open.

bids

array of [price, amount]

List of bids.

bidIv

number | null

Implied volatility for best bid.

bestBidPrice

number | null

The current best bid price, null if there aren't any bids.

bestBidAmount

number | null

It represents the requested order size of all best bids.

bestAskPrice

number | null

The current best ask price, null if there aren't any asks.

bestAskAmount

number | null

It represents the requested order size of all best asks.

asks

array of [price, amount]

List of asks.

askIv

number | null

Implied volatility for best ask.

sequence

number | null

metadata

object | null

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));
});