Market Data - Roxom API

Overview

Access real-time market data through WebSocket streams. All WebSocket connections require authentication using API key headers during the connection handshake.

Available streams

Level 1 Quotes

Best bid and ask prices and quantities in real-time

Trade Executions

Real-time trade data with volume statistics

Order Book Depth

Complete order book with multiple price levels

Ticker Data

Real-time ticker data and price statistics

Stream types overview

Channel	Description	Update Frequency	Authentication
`level1`	Best bid and ask quotes	Real-time	Required
`trade`	Trade executions with volume stats	Per trade	Required
`depth`	Full order book depth	Real-time	Required
`ticker`	Comprehensive ticker data including funding rates, open interest, and mark prices	Real-time	Required

Multiple streams example

{
  "op": "subscribe",
  "args": [
    { "channel": "level1", "symbol": "US500-BTC" },
    { "channel": "trade", "symbol": "GOLD-BTC" },
  ]
}

JavaScript implementation

// Create authenticated WebSocket connection (see Connection docs)
const ws = new WebSocket('wss://ws.roxom.com/ws', [], {
  headers: {
    'X-API-Key': 'your-api-key',
    'X-API-Signature': 'base64-encoded-rsa-signature'
  }
});

ws.onopen = function() {
  // Subscribe to multiple market data streams
  ws.send(JSON.stringify({
    op: 'subscribe',
    args: [
      { channel: 'level1', symbol: 'US500-BTC' },
      { channel: 'trade', symbol: 'GOLD-BTC' },
    ]
  }));
};

ws.onmessage = function(event) {
  const data = JSON.parse(event.data);
  
  // Handle subscription confirmations
  if (data.event === 'subscribe') {
    console.log('Subscribed to:', data.arg.channel, data.arg.instId);
    return;
  }
  
  // Handle market data events
    if (data.topic) {
      const [channel, symbol] = data.topic.split('.');
      
      switch (channel) {
        case 'level1':
          handleLevel1Update(symbol, data.data);
          break;
        case 'trade':
          handleTradeUpdate(symbol, data.data);
          break;
        case 'depth':
          handleDepthUpdate(symbol, data.data);
          break;
      }
    }
  };

function handleLevel1Update(symbol, data) {
  console.log(`${symbol} Level 1 - Bid: ${data.bid[0]} Ask: ${data.ask[0]}`);
}

function handleTradeUpdate(symbol, data) {
  console.log(`${symbol} Trade - ${data.takerSide} ${data.vwap} Vol: ${data.volume}`);
}

function handleDepthUpdate(symbol, data) {
  console.log(`${symbol} Depth - ${data.type} update with ${data.bid.length} bids, ${data.ask.length} asks`);
}

Supported trading pairs

Symbol	Description	Base Asset	Quote Asset
`US500-BTC`	S&P 500 Index to Bitcoin	US500	BTC
`GOLD-BTC`	Gold to Bitcoin	GOLD	BTC
`USDT-BTC`	Tether to Bitcoin	USDT	BTC
`OIL-BTC`	WTI Crude Oil to Bitcoin	OIL	BTC

Message format

All market data messages follow a consistent structure:

{
  "topic": "channel.symbol",
  "type": "snapshot|delta|update",
  "createdTime": 1640995200000000000,
  "data": {
    // Channel-specific data
  }
}

Subscription management

{
  "op": "subscribe",
  "args": [
    { "channel": "level1", "symbol": "US500-BTC" }
  ]
}

Unsubscribe from streams

{
  "op": "unsubscribe",
  "args": [
      { "channel": "trade", "symbol": "GOLD-BTC" }
  ]
}

Best practices

Subscription Strategy

Subscribe only to data you actually need
Use batch subscriptions for multiple symbols
Unsubscribe from unused streams to reduce bandwidth
Validate symbol names before subscribing

Data Processing

Handle snapshot vs delta updates appropriately
Implement proper order book reconstruction for depth streams
Buffer high-frequency updates for UI rendering
Maintain local state for efficient processing

Performance Optimization

Process messages asynchronously
Use efficient data structures for order books
Implement proper memory management
Monitor bandwidth usage and adjust subscriptions

Error handling

Common market data stream errors and solutions:

Invalid Symbol

Error: Subscription rejected due to invalid trading pairSolution: Verify symbol format matches supported trading pairs exactly

Rate Limiting

Error: Too many subscription requestsSolution: Batch multiple subscriptions into single request

Connection Issues

Error: Message delivery interruptionSolution: Implement reconnection logic and state recovery

Next steps

Learn about Level 1 Quotes implementation details
Explore Trade Executions for real-time trade data
Review Order Book Depth for full market depth
Set up Connection Management for reliable connectivity
Explore Account Updates for private data streams

​Overview

​Available streams

Level 1 Quotes

Trade Executions

Order Book Depth

Ticker Data

​Stream types overview

​Quick subscribe

​Multiple streams example

​JavaScript implementation

​Supported trading pairs

​Message format

​Subscription management

​Subscribe to streams

​Unsubscribe from streams

​Best practices

​Error handling

​Next steps