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Depth (WebSocket)

Subscribe to real-time market depth (Level 2) updates via WebSocket.

WebSocket URL

Local Host   :  ws://127.0.0.1:8765
Custom Host  :  ws://<your-host>:8765

Subscribe to Depth

Subscribe Message

{
  "action": "subscribe",
  "mode": "depth",
  "instruments": [
    {"exchange": "NSE", "symbol": "RELIANCE"},
    {"exchange": "NSE", "symbol": "INFY"}
  ]
}

Depth Update Message

{
  "type": "depth",
  "data": {
    "exchange": "NSE",
    "symbol": "RELIANCE",
    "ltp": 1187.75,
    "ltq": 100,
    "open": 1172.0,
    "high": 1196.6,
    "low": 1163.3,
    "close": 1165.7,
    "volume": 14414545,
    "totalbuyqty": 591351,
    "totalsellqty": 835701,
    "bids": [
      {"price": 1187.70, "quantity": 886},
      {"price": 1187.65, "quantity": 212},
      {"price": 1187.60, "quantity": 351},
      {"price": 1187.55, "quantity": 343},
      {"price": 1187.50, "quantity": 399}
    ],
    "asks": [
      {"price": 1187.80, "quantity": 767},
      {"price": 1187.85, "quantity": 115},
      {"price": 1187.90, "quantity": 162},
      {"price": 1187.95, "quantity": 1121},
      {"price": 1188.00, "quantity": 430}
    ],
    "timestamp": 1712572800000
  }
}

Unsubscribe from Depth

{
  "action": "unsubscribe",
  "mode": "depth",
  "instruments": [
    {"exchange": "NSE", "symbol": "RELIANCE"}
  ]
}

Python SDK Example

from openalgo import api
import time

# Initialize client with WebSocket
client = api(
    api_key="your_api_key",
    host="http://127.0.0.1:5000",
    ws_url="ws://127.0.0.1:8765"
)

# Instruments to subscribe
instruments = [
    {"exchange": "NSE", "symbol": "RELIANCE"},
    {"exchange": "NSE", "symbol": "INFY"}
]

# Callback for depth updates
def on_depth(data):
    print(f"Depth: {data['symbol']}")
    print(f"  LTP: {data['ltp']}")
    print(f"  Best Bid: {data['bids'][0]['price']} x {data['bids'][0]['quantity']}")
    print(f"  Best Ask: {data['asks'][0]['price']} x {data['asks'][0]['quantity']}")
    print(f"  Total Buy Qty: {data['totalbuyqty']}")
    print(f"  Total Sell Qty: {data['totalsellqty']}")

# Connect and subscribe
client.connect()
client.subscribe_depth(instruments, on_data_received=on_depth)

# Keep running
try:
    time.sleep(60)
finally:
    client.unsubscribe_depth(instruments)
    client.disconnect()

Message Fields

Subscribe/Unsubscribe Message

Field Type Description
action string "subscribe" or "unsubscribe"
mode string "depth"
instruments array Array of instrument objects

Depth Update Message

Field Type Description
type string "depth"
data object Depth data object

Data Object

Field Type Description
exchange string Exchange code
symbol string Trading symbol
ltp number Last traded price
ltq number Last traded quantity
open number Day's open price
high number Day's high price
low number Day's low price
close number Previous close price
volume number Total traded volume
totalbuyqty number Total buy quantity in order book
totalsellqty number Total sell quantity in order book
bids array Top 5 bid levels
asks array Top 5 ask levels
timestamp number Update time (epoch ms)

Bid/Ask Object

Field Type Description
price number Price level
quantity number Quantity at this level

Notes

  • Depth mode provides full order book data (top 5 levels)
  • Highest bandwidth consumption among streaming modes
  • Updates on every order book change
  • Use for:
    • Scalping strategies
    • Order flow analysis
    • Liquidity monitoring
    • Smart order routing

Related Endpoints

Back to: API Documentation