Archived

Market Data v2 (Archived)

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Market Data v2

The initial response will show the existing state of the order books and last 50 trades. Subsequent messages show all executed trades and order book changes.

WebSocket Request

wss://api.gemini.com/v2/marketdata

After connecting, subscribe by sending a message:

Field Name	Type	Values
type	string	subscribe
subscriptions	array
-- name	string	l2, candles_1m, candles_5m, candles_15m, candles_30m, candles_1h, candles_6h, candles_1d
-- symbols	array	["BTCUSD", "ETHBTC", ...]

Subscription Example

Code
 
{
  "type": "subscribe",
  "subscriptions": [
    {
      "name": "l2",
      "symbols": ["BTCUSD", "ETHUSD"]
    }
  ]
}

Code
 
import ssl, websocket, _thread as thread

def on_message(ws, message):
    print(message)

def on_open(ws):
    def run(*args):
        ws.send('{"type": "subscribe","subscriptions":[{"name":"l2","symbols":["BTCUSD","ETHUSD"]}]}')
    thread.start_new_thread(run, ())

ws = websocket.WebSocketApp("wss://api.gemini.com/v2/marketdata",
                            on_message=on_message,
                            on_open=on_open)
ws.run_forever(sslopt={"cert_reqs": ssl.CERT_NONE})

Unsubscribe

Code
 
{
  "type": "unsubscribe",
  "subscriptions": [
    {
      "name": "l2",
      "symbols": ["BTCUSD", "ETHBTC"]
    }
  ]
}

---

Level 2 Data

L2 Update Response

Field Name	Type	Values
type	string	l2_updates
symbol	string	BTCUSD, etc.
changes	array of arrays	[side, price, quantity]

Trade Response

Field Name	Type	Values
type	string	trade
symbol	string	BTCUSD, etc.
event_id	long	Event ID of the trade
timestamp	long	Time in milliseconds
price	string	Price of the trade
quantity	string	Quantity traded
side	string	Taker side: buy or sell
tid	long	Trade ID

Examples

Initial L2 response:

Code
 
{
  "type": "l2_updates",
  "symbol": "BTCUSD",
  "changes": [
    ["buy", "9122.04", "0.00121425"],
    ["sell", "9122.07", "0.98942292"]
  ],
  "trades": [
    {
      "type": "trade",
      "symbol": "BTCUSD",
      "eventid": 169841458,
      "timestamp": 1560976400428,
      "price": "9122.04",
      "quantity": "0.0073173",
      "side": "sell",
      "tid": 2840140800042677
    }
  ]
}

L2 update:

Code
 
{
  "type": "l2_updates",
  "symbol": "BTCUSD",
  "changes": [["sell", "9160.20", "0.1921229751"]]
}

---

Candles Data Feed

The Candle Data feed provides periodic updates with OHLCV data for the given timeframe.

Subscribe

Field Name	Type	Values
type	string	subscribe
subscriptions	array
-- name	string	candles_1m, candles_5m, candles_15m, candles_30m, candles_1h, candles_6h, candles_1d
-- symbols	array	["BTCUSD", ...]

Response

Field Name	Type	Values
type	string	candles_1m_updates, candles_5m_updates, etc.
symbol	string	BTCUSD, etc.
changes	array of arrays	[time, open, high, low, close, volume]

Code
 
{
  "type": "subscribe",
  "subscriptions": [
    {
      "name": "candles_15m",
      "symbols": ["BTCUSD"]
    }
  ]
}

Code
 
{
  "type": "candles_15m_updates",
  "symbol": "BTCUSD",
  "changes": [
    [1561054500000, 9350.18, 9358.35, 9350.18, 9355.51, 2.07],
    [1561053600000, 9357.33, 9357.33, 9350.18, 9350.18, 1.5900161]
  ]
}

---

Mark Price Feed

The mark price feed provides mark price updates for perpetual instruments and select spot pairs.

Subscribe

Field Name	Type	Values
type	string	subscribe
subscriptions	array
-- name	string	mark_price
-- symbols	array	["BTCGUSDPERP", "BTCUSD", ...]

Response

Field Name	Type	Values
type	string	mark_price_updates
symbol	string	BTCGUSDPERP
changes	array

Each element of changes:

Field Name	Type	Values
timestamp	integer	nanoseconds
mark_price	string	mark price
spot_index	string	spot index

Code
 
{
  "type": "mark_price_updates",
  "symbol": "BTCGUSDPERP",
  "changes": [
    {
      "timestamp": 1673932381478308169,
      "mark_price": "21154.098",
      "spot_index": "21175.27333"
    }
  ]
}

---

Funding Amount Feed

The Funding Amount feed provides funding amount updates for perpetual instruments.

Subscribe

Field Name	Type	Values
type	string	subscribe
subscriptions	array
-- name	string	funding_amount
-- symbols	array	["BTC-GUSD-PERP", ...]

Response

Field Name	Type	Values
type	string	funding_amount_updates
symbol	string	BTCGUSDPERP
changes	array

Each element of changes:

Field Name	Type	Values
timestamp	integer	nanoseconds
funding_amount	string	funding amount
funding_date_time	integer	funding date time
funding_interval_in_minutes	integer	funding interval in minutes
is_realized	boolean	is realized funding

Code
 
{
  "type": "funding_amount_updates",
  "symbol": "BTCGUSDPERP",
  "changes": [
    {
      "timestamp": 1673932380007696874,
      "funding_amount": "0",
      "funding_date_time": 1673932380007696874,
      "funding_interval_in_minutes": 60,
      "is_realized": false
    }
  ]
}