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CryptoCurrency eXchange WebSockets

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A JavaScript library for connecting to realtime public APIs on all cryptocurrency exchanges.

CCXWS provides a standardized eventing interface for connection to public APIs. Currently CCXWS support ticker, trade and orderbook events.

The CCXWS socket client performs automatic reconnection when there are disconnections. It also has silent reconnection logic to assist when no data has been seen by the client but the socket remains open.

CCXWS uses similar market structures to those generated by the CCXT library. This allows interoperability between the RESTful interfaces provided by CCXT and the realtime interfaces provided by CCXWS.

Check out the FAQS for more inforamtion on common issues you may encounter.

Check out the CONTRIBUTING guide for how to get involved.

Getting Started

Install ccxws

npm install ccxws

Create a new client for an exchange. Subscribe to the events that you want to listen to by supplying a market.

const ccxws = require("ccxws");
const binance = new ccxws.Binance();

// market could be from CCXT or genearted by the user
const market = {
  id: "BTCUSDT", // remote_id used by the exchange
  base: "BTC", // standardized base symbol for Bitcoin
  quote: "USDT", // standardized quote symbol for Tether
};

// handle trade events
binance.on("trade", trade => console.log(trade));

// handle level2 orderbook snapshots
binance.on("l2snapshot", snapshot => console.log(snapshot));

// subscribe to trades
binance.subscribeTrades(market);

// subscribe to level2 orderbook snapshots
binance.subscribeLevel2Snapshots(market);

Exchanges

Exchange API Class Ticker Trades Candles OB-L2
Snapshot
OB-L2
Updates
OB-L3
Snapshot
OB-L3
Updates
Bibox 1 Bibox - -
Binance 1 Binance ✓** - -
Binance Futures Coin-M 1 BinanceFuturesCoinM ✓** - -
Binance Futures USDT-M 1 BinanceFuturesUsdtM ✓** - -
Binance Jersey 1 BinanceJe ✓** - -
Binance US 1 BinanceUs ✓** - -
Bitfinex 2 Bitfinex - - ✓* - ✓*
bitFlyer 1 Bitflyer - - ✓** - -
Bithumb 1 Bithumb - - ✓** - -
BitMEX 1 BitMEX - ✓* - -
Bitstamp 2 Bitstamp - - ✓** - -
Bittrex 3 Bittrex - ✓* - -
Cex.io 1 Cex - -
Coinbase Pro 1 CoinbasePro - - ✓* -
Coinex 1 Coinex - ✓* - -
Deribit 2 Deribit - ✓* - -
Digifinex 1 Digifinex - - ✓* - -
ErisX 3.4 ErisX - - - - - ✓*
Ethfinex 1 Ethfinex - - ✓* - ✓*
FTX 1 Ftx - - ✓* - -
FTX US 1 FtxUs - - ✓* - -
Gate.io 3 Gateio - - ✓* - -
Gemini 1 Gemini - - - ✓* - -
HitBTC 2 HitBTC - ✓* - -
Huobi Global 1 Huobi - - -
Huobi Global Futures 1 HuobiFutures ✓* - -
Huobi Global Swaps 1 HuobiSwaps ✓* - -
Huobi Japan 1 HuobiJapan - - -
Huobi Korea 1 HuobiKorea - - -
Huobi Russia 1 HuobiRussia - - -
KuCoin 2 Kucoin - ✓** - ✓*
Kraken 0 Kraken - ✓* - -
LedgerX 1 LedgerX - - - - - ✓*
Liquid 2 Liquid - - - -
OKEx 3 OKEx ✓* - -
Poloniex 2 Poloniex - - ✓* - -
Upbit 1 Upbit - - - -
ZB 1 Zb - - - -

Notes:

  • ✓* broadcasts a snapshot event at startup
  • ✓** broadcasts a snapshot by using the REST API

Definitions

Trades - A maker/taker match has been made. Broadcast as an aggregated event.

Orderbook level 2 - has aggregated price points for bids/asks that include the price and total volume at that point. Some exchange may include the number of orders making up the volume at that price point.

Orderbook level 3 - this is the most granual order book information. It has raw order information for bids/asks that can be used to build aggregated volume information for the price points.

API

Market

Markets are used as input to many of the client functions. Markets can be generated and stored by you the developer or loaded from the CCXT library.

These properties are required by CCXWS.

  • id: string - the identifier used by the remote exchange
  • base: string - the normalized base symbol for the market
  • quote: string - the normalized quote symbol for the market
  • type: string - the type of market: spot, futures, option, swap

Client

A websocket client that connects to a specific exchange. There is an implementation of this class for each exchange that governs the specific rules for managing the realtime connections to the exchange. You must instantiate the specific exchanges client to conncet to the exchange.

const binance = new ccxws.Binance();
const coinbase = new ccxws.CoinbasePro();

Clients can be instantiated with an options object that has several properties properties:

  • wssPath: string - allows customization of the web socket path. When this is configured, additional rules surrounding connection may be ignored.
  • watcherMs: number - allows customization of the reconnection watcher. This value is the duration of time that must pass without a message for a reconnection is peroformed. This value can be customized depending on the type and liquidity of markets that you are subscribing to.
  • apiKey: string - any API key needed for the exchange
  • apiSecret: string - any API secret needed for the exchange

Events

Subscribe to events by addding an event handler to the client .on(<event>) method of the client. Multiple event handlers can be added for the same event.

Once an event handler is attached you can start the stream using the subscribe<X> methods.

All events emit the market used to subscribe to the event as a second property of the event handler.

binance.on("error", err => console.error(err));
binance.on("trades", (trade, market) => console.log(trade, market));
binance.on("l2snapshot", (snapshot, market) => console.log(snapshot, market));
error emits Error

You must subscribe to the error event to prevent the process exiting. More information in the Node.js Events Documentation

If an EventEmitter does not have at least one listener registered for the 'error' event, and an 'error' event is emitted, the error is thrown, a stack trace is printed, and the Node.js process exits.

ticker emits Ticker, Market

Fired when a ticker update is received. Returns an instance of Ticker and the Market used to subscribe to the event.

trade emits Trade, Market

Fired when a trade is received. Returns an instance of Trade and the Market used to subscribe to the event.

candle emits Candle, Market

Fired when a candle is received. Returns an instance of Candle and the Market used to subscribe to the event.

l2snapshot emits Level2Snapshot, Market

Fired when a orderbook level 2 snapshot is received. Returns an instance of Level2Snapshot and the Market used to subscribe to the event.

The level of detail will depend on the specific exchange and may include 5/10/20/50/100/1000 bids and asks.

This event is also fired when subscribing to the l2update event on many exchanges.

l2update emits Level2Update, Market

Fired when a orderbook level 2 update is recieved. Returns an instance of Level2Update and the Market used to subscribe to the event.

Subscribing to this event may trigger an initial l2snapshot event for many exchanges.

l3snapshot emits Level3Snapshot, Market

Fired when a orderbook level 3 snapshot is received. Returns an instance of Level3Snapshot and the Market used to subscribe to the event.

l3update emits Level3Update, Market

Fired when a level 3 update is recieved. Returns an instance of Level3Update and the Market used to subscribe to the event.

Connection Events

Clients emit events as their state changes.

   +-------+
   |       |
   | start |
   |       |
   +---+---+
       |
       |
       |
       | subscribe
       |
       |
       |
+------v-------+       initiate
|              |       reconnect
|  connecting  <------------------------+
|              |                        |
+------+-------+                        |
       |                                |
       |                        +-------+-------+
       |                        |               |
       | socket                 | disconnected  |
       | open                   |               |
       |                        +-------^-------+
       |                                |
+------v-------+                        |
|              |                        |
|  connected   +------------------------+
|              |        socket
+------+-------+        closed
       |
       |
       |
       | close
       | requested
       |
       |
       |
+------v-------+                  +--------------+
|              |                  |              |
|   closing    +------------------>    closed    |
|              |     socket       |              |
+--------------+     closed       +--------------+
connecting

Fires prior to a socket initiating the connection. This event also fires when a reconnection starts.

connected

Fires when a socket has connected. This event will also fire for reconnection completed.

disconnected

Fires when a socket prematurely disconnects. Automatic reconnection will be triggered. The expected flow is disconnected -> connecting -> connected.

closing

Fires when the client is preparing to close its connection(s). This event is not fired during reconnections.

closed

Fires when the client has closed its connection(s). This event is not fired during reconnections, it is fired when the close method is called and the connection(s) are successfully closed.

reconnecting

Fires when a socket has initiated the reconnection process due to inactivity. This is fired at the start of the reconnection process reconnecting -> closing -> closed -> connecting -> connected

Methods

subscribeTicker(market): void

Subscribes to a ticker feed for a market. This method will cause the client to emit ticker events that have a payload of the Ticker object.

unsubscribeTicker(market): void

Unsubscribes from a ticker feed for a market.

subscribeTrades(market): void

Subscribes to a trade feed for a market. This method will cause the client to emit trade events that have a payload of the Trade object.

unsubscribeTrades(market): void

Unsubscribes from a trade feed for a market.

*For some exchanges, calling unsubscribe may cause a temporary disruption in all feeds.

subscribeCandles(market): void

Subscribes to a candle feed for a market. This method will cause the client to emit candle events that have a payload of the Candle object. Set the candlePeriod property of the client to control which candle is returned by the feed.

unsubscribeCandles(market): void

Unsubscribes from a candle feed for a market.

*For some exchanges, calling unsubscribe may cause a temporary disruption in all feeds.

subscribeLevel2Snapshots(market): void

Subscribes to the orderbook level 2 snapshot feed for a market. This method will cause the client to emit l2snapshot events that have a payload of the Level2Snaphot object.

This method is a no-op for exchanges that do not support level 2 snapshot subscriptions.

unsubscribeLevel2Snapshots(market): void

Unbusbscribes from the orderbook level 2 snapshot for a market.

*For some exchanges, calling unsubscribe may cause a temporary disruption in all feeds.

subscribeLevel2Updates(market): void

Subscribes to the orderbook level 2 update feed for a market. This method will cause the client to emit l2update events that have a payload of the Level2Update object.

This method is a no-op for exchanges that do not support level 2 snapshot subscriptions.

unsubscribeLevel2Updates(market): void

Unbusbscribes from the orderbook level 2 updates for a market.

*For some exchanges, calling unsubscribe may cause a temporary disruption in all feeds.

subscribeLevel3Snapshots(market): void

Subscribes to the orderbook level 3 snapshot feed for a market. This method will cause the client to emit l3snapshot events that have a payload of the Level3Snaphot object.

This method is a no-op for exchanges that do not support level 2 snapshot subscriptions.

unsubscribeLevel3Snapshots(market): void

Unbusbscribes from the orderbook level 3 snapshot for a market.

*For some exchanges, calling unsubscribe may cause a temporary disruption in all feeds.

subscribeLevel3Updates(market): void

Subscribes to the orderbook level 3 update feed for a market. This method will cause the client to emit l3update events that have a payload of the Level3Update object.

This method is a no-op for exchanges that do not support level 3 snapshot subscriptions.

unsubscribeLevel3Updates(market): void

Unbusbscribes from the orderbook level 3 updates for a market.

*For some exchanges, calling unsubscribe may cause a temporary disruption in all feeds.

Ticker

The ticker class is the result of a ticker event.

Properties

  • exchange: string - the name of the exchange
  • base: string - the normalized base symbol for the market
  • quote: string - the normalized quote symbol for the market
  • timestamp: int - the unix timestamp in milliseconds
  • last: string - the last price of a match that caused a tick
  • open: string - the price 24 hours ago
  • low: string - the highest price in the last 24 hours
  • high: string - the lowest price in the last 24 hours
  • volume: string - the base volume traded in the last 24 hours
  • quoteVolume: string - the quote volume traded in the last 24 hours
  • change: string - the price change (last - open)
  • changePercent: string - the price change in percent (last - open) / open * 100
  • bid: string - the best bid price
  • bidVolume: string - the volume at the best bid price
  • ask: string - the best ask price
  • askVolume: string - the volume at the best ask price

Trade

The trade class is the result of a trade event emitted from a client.

Properties

  • exchange: string - the name of the exchange
  • base: string - the normalized base symbol for the market
  • quote: string - the normalized quote symbol for the market
  • tradeId: string - the unique trade identifer from the exchanges feed
  • unix: int - the unix timestamp in milliseconds for when the trade executed
  • side: string - whether the buyer buy or seller sell was the maker for the match
  • price: string - the price at which the match executed
  • amount: string - the amount executed in the match
  • buyOrderId: string - the order id of the buy side
  • sellOrderId: string - the order id of the sell side

Candle

The candle class is the result of a candle event emitted from a client.

Properties

  • timestampMs: int - the unix timestamp in milliseconds for the candle
  • open: string - the open price for the period
  • high: string - the high price for the period
  • low: string - the low price for the period
  • close: string - the close price for the period
  • volume: string - the volume exchanged during the period

Level2Point

Represents a price point in a level 2 orderbook

Properties

  • price: string - price
  • size: string - aggregated volume for all orders at this price point
  • count: int - optional number of orders aggregated into the price point

Level2Snapshot

The level 2 snapshot class is the result of a l2snapshot or l2update event emitted from the client.

Properties

  • exchange: string - the name of the exchange
  • base: string - the normalized base symbol for the market
  • quote: string - the normalized quote symbol for the market
  • timestampMs: int - optional timestamp in milliseconds for the snapshot
  • sequenceId: int - optional sequence identifier for the snapshot
  • asks: [Level2Point] - the ask (seller side) price points
  • bids: [Level2Point] - the bid (buyer side) price points

Level2Update

The level 2 update class is a result of a l2update event emitted from the client. It consists of a collection of bids/asks even exchanges broadcast single events at a time.

Properties

  • exchange: string - the name of the exchange
  • base: string - the normalized base symbol for the market
  • quote: string - the normalized quote symbol for the market
  • timestampMs: int - optional timestamp in milliseconds for the snapshot
  • sequenceId: int - optional sequence identifier for the snapshot
  • asks: [Level2Point] - the ask (seller side) price points
  • bids: [Level2Point] - the bid (buyer side) price points

Level3Point

Represents a price point in a level 3 orderbook

Properties

  • orderId: string - identifier for the order
  • price: string - price
  • size: string - volume of the order
  • meta: object - optional exchange specific metadata with additional information about the update.

Level3Snapshot

The level 3 snapshot class is the result of a l3snapshot or l3update event emitted from the client.

Properties

  • exchange: string - the name of the exchange
  • base: string - the normalized base symbol for the market
  • quote: string - the normalized quote symbol for the market
  • timestampMs: int - optional timestamp in milliseconds for the snapshot
  • sequenceId: int - optional sequence identifier for the snapshot
  • asks: [Level3Point] - the ask (seller side) price points
  • bids: [Level3Point] - the bid (buyer side) price points

Level3Update

The level 3 update class is a result of a l3update event emitted from the client. It consists of a collection of bids/asks even exchanges broadcast single events at a time.

Additional metadata is often provided in the meta property that has more detailed information that is often required to propertly manage a level 3 orderbook.

Properties

  • exchange: string - the name of the exchange
  • base: string - the normalized base symbol for the market
  • quote: string - the normalized quote symbol for the market
  • timestampMs: int - optional timestamp in milliseconds for the snapshot
  • sequenceId: int - optional sequence identifier for the snapshot
  • asks: [Level3Point] - the ask (seller side) price points
  • bids: [Level3Point] - the bid (buyer side) price points

Caveats

Snapshots broadcast using the REST API

For exchanges which request the Level2Snapshot or Level3Snapshot over REST, there can be a race condition where messages are missed between the snapshot and the first update, for example the snapshot sequenceId is 100 and the first update's sequenceId is 105.

For a not-so-reliable fix you can monkey-patch a delay so that the snapshot is requested after subscribing to updates to better ensure the snapshot arrives with a sequenceId >= the first update that arrives. See example below:

const REST_DELAY_MS = 500
client._originalRequestLevel2Snapshot = client._requestLevel2Snapshot;
client._requestLevel2Snapshot = market => setTimeout(() => client._originalRequestLevel2Snapshot(market), REST_DELAY_MS);

Otherwise you should be prepared to manually verify the sequenceId if possible, and request the snapshot again if there is a gap between the snapshot and the first update by calling client.requestLevel2Snapshot(market) again.


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