Orderbook
To receive orderbook snapshot and notifications about changes in orderbook, the client must connect via WebSocket with the topic orderbook.
Message of type orderbook-snapshot is sent to the client after the connection is initiated with the orderbook topic or without any topic specified. This message represents the state of the orderbook at that moment. Subsequent messages of type orderbook-change are sent with the seqNo property incremented by one, reflecting changes to the orderbook.
Client can request new snapshot anytime with message of type orderbook-snapshot.
WS wss://isot.okte.sk/api/v1/idm/ws?topics=orderbook
Snapshot message example
{
"type": "orderbook-snapshot",
"payload": {
"seqNo": 6351,
"timeDelta": 0,
"data": [
{
"period": {
"start": "2024-11-22T09:00:00Z",
"end": "2024-11-22T10:00:00Z",
"isBlock": false,
"tradingEnd": "2024-11-22T08:30:00Z"
},
"statistics": {
"lastTradeTime": "2024-11-22T07:35:29Z",
"lastPrice": 179.9,
"maxPrice": 179.9,
"minPrice": 24,
"totalVolume": 87764,
"lastQuantity": 46,
"priceDirection": 1
},
"ownStatistics": {
"buy": {
"quantity": 20.1,
"remainingQuantity": 0,
"weigtedAveragePrice": 6.1
},
"sell": {}
},
"buyList": [
{
"price": 62,
"quantity": 6,
"ownQuantity": 0
}
],
"sellList": [],
"blockOrders": []
},
{
"period": {
"start": "2024-11-22T17:00:00Z",
"end": "2024-11-22T19:00:00Z",
"isBlock": true,
"tradingEnd": "2024-11-22T16:30:00Z"
},
"buyList": [],
"sellList": [],
"blockOrders": [
{
"price": 37.6,
"quantity": 23.1,
"direction": "buy"
}
]
}
]
}
}Message fields description
| Field | Description | Format |
| type | Message type for snapshot | Enum (orderbook-snapshot) |
| payload | Message data | OrderbookSnapshot object |
| OrderbookSnapshot | ||
| seqNo | Sequential message number for data consistency verification. | Integer number |
| timeDelta | Time difference between the current and previous change in milliseconds. | Integer number |
| data | Periods of orderbook | Array of PeriodSnapshot objects |
| PeriodSnapshot | ||
| period | Delivery period specification | Period object |
| statistics | General trading statistics | Statistics object |
| ownStatistics | Own trading statistics of client | OwnStatistics object |
| buyList | Price levels for buy side | Array of PriceLevel objects |
| sellList | Price levels for sell side | Array of PriceLevel objects |
| blockOrders | Block orders | Array of BlockOrder objects |
| Period | ||
| start | Delivery period start | Date Time 8601 UTC |
| end | Delivery period end | Date Time 8601 UTC |
| isBlock | Indication of whether it is a period for block orders. | Boolean (true, false) |
| tradingEnd | Trading end time for the period | Date Time 8601 UTC |
| Statistic | ||
| lastTradeTime | Time of the last trade in period | Date Time 8601 UTC |
| lastPrice | Price of the last trade in period in EUR/MWh | Float number (two decimal places) |
| lastQuantity | Quantity of the last trade in period in MW | Float number (one decimal place) |
| priceDirection | Price trend | Integer number (-1, 0, 1) |
| maxPrice | Highest price of all trades in period in EUR/MWh | Float number (two decimal places) |
| minPrice | Lowest price of all trades in period in EUR/MWh | Float number (two decimal places) |
| totalVolume | Total trade volume for the trading period in MW | Float number (one decimal place) |
| OwnStatistic | ||
| buy | Own statistics of buy side for period | OwnStatisticSide object |
| sell | Own statistics of sell side for period | OwnStatisticSide object |
| OwnStatisticSide | ||
| quantity | Own traded volume in period in MW | Float number (one decimal place) |
| remainingQuantity | Remaining quantity of own orders for period in MW | Float number (one decimal place) |
| weigtedAveragePrice | Weighted average price of own trades in EUR/MWh | Float number (two decimal places) |
| PriceLevel | ||
| price | Price in EUR/MWh | Float number (two decimal places) |
| quantity | Quantity in MW | Float number (one decimal place) |
| ownQuantity | Remaining quantity of own orders for price level | Float number (one decimal place) |
| BlockOrder | ||
| price | Price in EUR/MWh | Float number (two decimal places) |
| quantity | Quantity in MW | Float number (one decimal place) |
| direction | Direction / side | Enum (buy, sell) |
Changes message example
{
"type": "orderbook-change",
"payload": {
"seqNo": 3278,
"timeDelta": 3002,
"data": [
{
"period": {
"start": "2024-11-20T19:00:00Z",
"end": "2024-11-20T20:00:00Z",
"isBlock": false,
"tradingEnd": "2024-11-20T18:30:00Z"
},
"statistics": {
"lastTradeTime": "2024-11-19T15:41:28.885Z",
"lastPrice": 291.27,
"maxPrice": 291.27,
"minPrice": 291.26,
"totalVolume": 30.0,
"lastQuantity": 10.0,
"priceDirection": 1
},
"ownStatistics": {
"buy": {},
"sell": {
"quantity": 0,
"remainingQuantity": 291.27,
"weigtedAveragePrice": 0
}
},
"buyChanges": [
{
"index": 0,
"action": "remove",
"price": 94.84,
"quantity": 5,
"quantityDelta": -5,
"ownQuantity": 0,
"ownQuantityDelta": 0
}
],
"sellChanges": [
{
"index": 0,
"action": "update",
"price": 291.27,
"quantity": 1.7,
"quantityDelta": 0.7,
"ownQuantity": 0,
"ownQuantityDelta": 0
},
{
"index": 0,
"action": "add",
"price": 291.26,
"quantity": 5,
"quantityDelta": 5,
"ownQuantity": 0,
"ownQuantityDelta": 0
}
],
"blockOrderChanges": [
{
"action": "add",
"price": 21.8,
"quantity": 11.2,
"direction": "sell"
}
],
"action": "update"
}
]
}
}Message fields description
| Field | Description | Format |
| type | Message type for chage | Enum (orderbook-change) |
| payload | Message data | OrderbookSnapshot object |
| OrderbookSnapshot | ||
| seqNo | Sequential message number for data consistency verification | Integer number |
| timeDelta | Time difference between the current and previous change in milliseconds | Integer number |
| data | Updated periods of orderbook | Array of PeriodChange objects |
| PeriodChange | ||
| period | Delivery period specification | Period object |
| statistics | General trading statistics | Statistics object |
| ownStatistics | Own trading statistics of client | OwnStatistics object |
| buyChanges | Price level changes for buy side | Array of PriceLevelChange objects |
| sellChanges | Price level changes for sell side | Array of PriceLevelChange objects |
| blockOrderChanges | Block orders | Array of BlockOrderChange objects |
| action | Type of change of period | Enum (remove, update, add) |
| Period | ||
| start | Delivery period start | Date Time 8601 UTC |
| end | Delivery period end | Date Time 8601 UTC |
| isBlock | Indication of whether it is a period for block orders | Boolean (true, false) |
| tradingEnd | Trading end time for the period | Date Time 8601 UTC |
| Statistic | ||
| lastTradeTime | Time of the last trade in period | Date Time 8601 UTC |
| lastPrice | Price of the last trade in period in EUR/MWh | Float number (two decimal places) |
| lastQuantity | Quantity of the last trade in period in MW | Float number (one decimal place) |
| priceDirection | Price trend | Integer number (-1, 0, 1) |
| maxPrice | Highest price of all trades in period in EUR/MWh | Float number (two decimal places) |
| minPrice | Lowest price of all trades in period in EUR/MWh | Float number (two decimal places) |
| totalVolume | Total trade volume for the trading period in MW | Float number (one decimal place) |
| OwnStatistic | ||
| buy | Own statistics of buy side for period | OwnStatisticSide object |
| sell | Own statistics of sell side for period | OwnStatisticSide object |
| OwnStatisticSide | ||
| quantity | Own traded volume in period in MW | Float number (one decimal place) |
| remainingQuantity | Remaining quantity of own orders for period in MW | Float number (one decimal place) |
| weigtedAveragePrice | Weighted average price of own trades in EUR/MWh | Float number (two decimal places) |
| PriceLevelChange | ||
| index | Position of the change within the market depth for the period | Integer number |
| action | Type of price level change | Enum (remove, update, add) |
| price | Price in EUR/MWh | Float number (two decimal places) |
| quantity | Quantity in MW | Float number (one decimal place) |
| quantityDelta | Change in quantity compared to the previous amount in MW | Float number (one decimal place) |
| ownQuantity | Remaining quantity of own orders for price level | Float number (one decimal place) |
| ownQuantityDelta | Change in quantity compared to the previous amount in MW. | Float number (one decimal place) |
| BlockOrderChange | ||
| action | Type of block order change | Enum (remove, update, add) |
| price | Price in EUR/MWh | Float number (two decimal places) |
| quantity | Quantity in MW | Float number (one decimal place) |
| direction | Direction / side | Enum (buy, sell) |
Snapshot request message example
{
"type": "orderbook-snapshot"
}