Changes to Order Book Level 2 Data

As part of our continuous improvements to the BitMEX platform, we will be updating our market data service to start publishing timestamps on all Order Book Level 2 feed updates.

Below is a summary of the changes made:

  • All partial, update, insert, and delete messages for the orderBookL2 and orderBookL2_25 topics will now include a timestamp. Other topics are unaffected by this change.
  • For the orderBookL2 topic, the timestamp for partials will be the time that the partial was generated at, and the timestamp for update, insert, and delete messages will be the time that the event occurred in the matching engine.
  • As the orderBookL2_25 topic is a throttled feed, the timestamps for this topic will be the time that the updated price levels are published. The timestamps will not correspond to events in the matching engine.

This change has been applied in Testnet and will be in production effective 14 February 2022 at 08:00:00 UTC.

If you have any further questions, please contact Support.