Security order book

Private resource

The request cannot be executed anonymously. The required token parameter must contain an up-to-date Access Token.

HTTP API

This operation can be performed with request to HTTP API.

The request creates a subscription to receive information about the current number of lots and their price in bids and asks of the specified financial asset.

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Request

To create a subscription to a data channel, send a message to the established WebSocket connection with a request body containing the details of the subscription to be created.

Request body

{
  "opcode": "OrderBookGetAndSubscribe",
  "code": "SBER",
  "depth": 10,
  "exchange": "MOEX",
  "instrumentGroup": "TQBR",
  "format": "Simple",
  "frequency": 100,
  "guid": "c328fcf1-e495-408a-a0ed-e20f95d6b813",
  "token": "eyJhbGciOiJ..."
}

Schema

Request body parameters

opcodestringrequired
Operation code:
• OrderBookGetAndSubscribe — Subscription to order book
• BarsGetAndSubscribe — Subscription to price history (candlesticks)
• QuotesSubscribe — Subscription to quotes
• InstrumentsGetAndSubscribeV2 — Subscription to security information updates on the selected exchange
• AllTradesGetAndSubscribe — Subscribe to all trades
• PositionsGetAndSubscribeV2 — Subscription to information about current positions on securities and money
• SummariesGetAndSubscribeV2 — Subscription to portfolio summary information
• RisksGetAndSubscribe — Subscription to consolidated information on portfolio risks
• SpectraRisksGetAndSubscribe — Subscription to information on derivatives market risks (FORTS)
• TradesGetAndSubscribeV2 — Subscription for information on trades
• OrdersGetAndSubscribeV2 — Subscription to information about current orders on the market for the selected exchange and security
• StopOrdersGetAndSubscribeV2 — Subscription to information about current conditional orders in the market for the selected exchange and security
• unsubscribe — Cancelation of previously created subscription
codestringrequired

Security code (ticker)

Example: SBER

depthint32

Order book depth. Default value - 20 (20x20), maximum - 50 (50x50)

Example: 20

exchangestringrequired

Exchange code:

• MOEX — Moscow Exchange
• SPBX — SPB Exchange

Example: MOEX

instrumentGroupstring

Trading mode code (Board):

• List of Moscow Exchange codes is available in table
• SPB Exchange securities always have SPBX code

Example: TQBR

formatstring

The format of the JSON object returned by the server:

• Simple is the original data format. Supports legacy (deprecated) parameters to ensure backward compatibility
• Slim is the lightweight data format for fast messaging. Does not support legacy (deprecated) parameters
• Heavy is the complete data format, evolving and augmented with new fields. Does not support legacy (deprecated) parameters

Example: Simple

frequencyint32

Frequency (interval) of data transmission by the server. The server will return the latest data on request for the time interval specified as the parameter value. Example: the exchange transmits data every 2 ms, but if the parameter value is 10 ms, the server will return only the last value, discarding the previous ones.

Minimum value of the parameter depends on the selected format of the JSON object to be returned:

• Simple — 25 milliseconds
• Slim — 10 milliseconds
• Heavy — 500 milliseconds.

Example: 100

guidstringrequired

The unique identifier of the operation. All incoming messages related to this operation will have this guid field value

Example: c328fcf1-e495-408a-a0ed-e20f95d6b813

tokenstringrequired

Access Token

Example: eyJhbGciOiJ...

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Responses

The content of the response returned to the WebSocket connection depends on the results of processing the request:

• If the request is processed successfully, the server will send one 200 code message in response, confirming that the subscription has been created, after which it will begin transmitting 100 code messages containing the information requested as part of the subscription.
• If the request processing failed, the server will send back one message with an error code corresponding to the reason for the failure, after which it will close the WebSocket connection.

100

Messages from the channel containing the requested information

Simple

Response body

{
  "data": {
    "snapshot": true,
    "bids": [
      {
        "price": 257.70,
        "volume": 157
      }
    ],
    "asks": [
      {
        "price": 257.71,
        "volume": 288
      }
    ],
    "timestamp": 1702631123,
    "ms_timestamp": 1702631123780,
    "depth": 20,
    "existing": true
  },
  "guid": "c328fcf1-e495-408a-a0ed-e20f95d6b813"
}

Schema

Response body parameters

data

object

Requested data

snapshotbooleandeprecated

Deprecated field, will be removed in future updates. Use existing field instead

Example: true

bids

object

Bid data

pricedecimal

Price

Example: 115820

volumeint32

Volume

Example: 23

asks

object

Ask data

pricedecimal

Price

Example: 116030

volumeint32

Volume

Example: 31

timestampdecimaldeprecated

Deprecated field, will be removed in future updates. Use ms_timestamp field instead

Example: 1610982677

ms_timestampint64

Time (UTC) in Unix Time Milliseconds format

Example: 1610982677578

existingboolean

True will return the response including data from snapshot, i.e. from history. False will return only new events

Example: false

guidstring

The unique identifier of the operation. All incoming messages related to this operation will have this guid field value

Example: c328fcf1-e495-408a-a0ed-e20f95d6b813

Slim (Common)

Response body

{
  "data": {
    "b": [
      {
        "p": 257.70,
        "v": 157
      }
    ],
    "a": [
      {
        "p": 257.71,
        "v": 288
      }
    ],
    "t": 1702631123780,
    "h": false
  },
  "guid": "c328fcf1-e495-408a-a0ed-e20f95d6b813"
}

Schema

Response body parameters

data

object

Requested data

b

object

Bid data

pdecimal

Price

Example: 115820

vint32

Volume

Example: 23

a

object

Ask data

pdecimal

Price

Example: 116030

vint32

Volume

Example: 31

tint64

Time (UTC) in Unix Time Milliseconds format

Example: 1610982677578

hboolean

True will return the response including data from snapshot, i.e. from history. False will return only new events

Example: false

guidstring

The unique identifier of the operation. All incoming messages related to this operation will have this guid field value

Example: c328fcf1-e495-408a-a0ed-e20f95d6b813

Slim (Bonds)

Response body

{
  "data": {
    "b": [
      {
        "p": 70.589,
        "v": 146,
        "y": 16.21
      }
    ],
    "a": [
      {
        "p": 70.772,
        "v": 10,
        "y": 16.14
      }
    ],
    "t": 1702631123780,
    "h": false
  },
  "guid": "c328fcf1-e495-408a-a0ed-e20f95d6b813"
}

Schema

Response body parameters

data

object

Requested data

b

object

Bid data

pdecimal

Price

Example: 70.589

vint32

Volume

Example: 146

ydecimal

Bond yield

Example: 16.14

a

object

Ask data

pdecimal

Price

Example: 70.772

vint32

Volume

Example: 10

ydecimal

Bond yield

Example: 16.21

tint64

Time (UTC) in Unix Time Milliseconds format

Example: 1610982677578

hboolean

True will return the response including data from snapshot, i.e. from history. False will return only new events

Example: false

guidstring

The unique identifier of the operation. All incoming messages related to this operation will have this guid field value

Example: c328fcf1-e495-408a-a0ed-e20f95d6b813

Heavy

Response body

{
  "data": {
    "bids": [
      {
        "price": 257.70,
        "volume": 157
      }
    ],
    "asks": [
      {
        "price": 257.71,
        "volume": 288
      }
    ],
    "msTimestamp": 1702631123780,
    "depth": 20,
    "existing": false
  },
  "guid": "c328fcf1-e495-408a-a0ed-e20f95d6b813"
}

Schema

Response body parameters

data

object

Requested data

bids

object

Bid data

pricedecimal

Price

Example: 115820

volumeint32

Volume

Example: 23

asks

object

Ask data

pricedecimal

Price

Example: 116030

volumeint32

Volume

Example: 31

ms_timestampint64

Time (UTC) in Unix Time Milliseconds format

Example: 1610982677578

existingboolean

True will return the response including data from snapshot, i.e. from history. False will return only new events

Example: false

guidstring

The unique identifier of the operation. All incoming messages related to this operation will have this guid field value

Example: c328fcf1-e495-408a-a0ed-e20f95d6b813

200

Successful request processing report

Body

{
  "message": "Handled successfully",
  "httpCode": 200,
  "requestGuid": "c328fcf1-e495-408a-a0ed-e20f95d6b813"
}

Schema

Response body parameters

messagestring

Text description of the returned HTTP code

Example: Handled successfully

httpCodeint32

HTTP message code

Example: 200

requestGuidstring

The unique identifier of the operation. All incoming messages related to this operation will have this guid field value

Example: c328fcf1-e495-408a-a0ed-e20f95d6b813

401

Failed to process request. Access token is invalid, not specified in the message or belongs to other system environment

Body

{
  "requestGuid": "c328fcf1-e495-408a-a0ed-e20f95d6b813",
  "httpCode": 401,
  "message": "Invalid JWT token!"
}

Schema

Response body parameters

requestGuidstring

The unique identifier of the operation. All incoming messages related to this operation will have this guid field value

Example: c328fcf1-e495-408a-a0ed-e20f95d6b813

httpCodeint32

HTTP message code

Example: 401

messagestring

Text description of the returned HTTP code

Example: Invalid JWT token!