Add Event Time field to spot websocket book streams

Hi,

I’d like to request the inclusion of the event time in the spot websocket order book streams.

These streams are the following:

  • Individual Symbol Book Ticker Streams: <symbol>@bookTicker
  • Partial Book Depth Streams: <symbol>@depth<levels> and <symbol>@depth<levels>@100ms

An “E” field should be added to the stream data payload, that contains the Event time similarly as it is present in the Diff. Depth Stream (<symbol>@depth).

This event time is very important to be able to detect network delays in case of websockets and determine if the order book data is still usable or should be considered outdated by the trading algorithm.

(Also while you’re here, you could also add a symbol field to the Partial Book Depth Streams, as it’s missing in those payloads. However, this is not as important as the event time, as this information is also present in the stream name.)

Thank you.

also !bookTicker

2 Likes

Similarly, I find that the lack of an event time for Book Ticker or Partial Book Depth streams is problematic; I have no way of matching messages from these streams with messages from a same-symbol Trade or AggTrade stream

yes event time is important. there is an “u”:400900217, // order book updateId can i eventually trace back to the time of this event in the orderbook diff wss?

Yes please!
This would be a great addition to the REST endpoints as well.

1 Like

thanks for the feedback, will forward to team for review.

2 Likes

You can generate partial book information using the differential book depth stream. The latter has timestamps.

That trick doesn’t help with @bookTicker or !bookTicker.

Hi. I agree with the author. It is very important to add timestamp field to spot Partial Book Depth Streams.
I have many cases where I need only first 5 or 10 best asks/bids. So I don’t need to use ‘Diff. Depth Stream’.
But without a timestamp, I cannot track the relevance of the data when there is a large stream of data through sockets.

1 Like

Hi folks!
We also needed this feature, especially for !bookTicker API.

2 Likes

The event type (‘e’) is also missing from partial depth streams (’@depth@’) and all book tickers stream (’!bookTicker’)

1 Like