Real-Time Best Bid/Ask WebSocket Stream: Technical Overview
Access to real-time market data is a critical requirement in high-frequency trading and automated execution systems. To meet this demand, we have implemented a dedicated WebSocket stream that delivers live updates of the best bid and ask prices for all supported markets. This stream is optimized for low latency and high reliability, enabling trading systems to decide based on the most up-to-date pricing information.
What the Stream Provides
The Best Bid/Ask WebSocket stream provides a continuous data flow reflecting the top-of-book prices for each symbol. Each update includes the highest available buy price (best bid) and the lowest available sell price (best ask), along with the corresponding quantities and trading pair identifier. The structure is optimized to deliver only the most relevant data, avoiding unnecessary noise while preserving accuracy and speed.
Each message includes two timestamps to ensure complete transparency and support latency-sensitive operations. The first is the Event Time, representing the moment our WebSocket server dispatches the message. The second is the Update Time, which indicates when the pricing data was last modified at the matching engine level. This dual-timestamp approach enables clients to calculate transmission delays and validate data freshness with high precision. This consistency makes integration easier for clients familiar with similar market data protocols.
Operational Advantages
This stream is particularly suited for use cases that require immediate access to accurate pricing, such as automated trading systems and market-making algorithms. It allows clients to maintain a real-time view of market conditions, detect spread changes, and execute trades based on current data.
One of the key benefits of this stream is its ultra-low latency, with updates being broadcast immediately after internal state changes are registered. This ensures that clients are operating with the latest possible information. The stream also simplifies spread calculation and allows for efficient tracking of liquidity levels at the top of the book. By exposing both the data update time and the message dispatch time, the system supports comprehensive monitoring of network delays and market reaction windows.
Integration and Message Structure
Clients can connect to the WebSocket endpoint and subscribe to updates for selected trading pairs. Each message is delivered in JSON format and includes clearly defined fields for the symbol, bid and ask prices, respective volumes, and the two timestamps. The format is intentionally lightweight to support high-throughput environments and to reduce parsing complexity on the client side.
The Best Bid/Ask WebSocket stream is an essential infrastructure component for real-time trading. It offers immediate visibility into the market’s most competitive buy and sell prices, complete with precise timing information. This stream is engineered to support fast, informed, and automated trading decisions, providing a reliable foundation for any strategy that depends on top-of-book data.
