Important Update: WebSocket OrderBook Throttling

We are making some important changes to our WebSocket APIs, of which you will find detailed below. All changes will be available in Testnet from 14 September 2023 at 04:00 UTC and in Production from 19 September 2023 at 04:00 UTC. 


What Is Changing?

We are introducing throttling on the following three orderbook topics:

  • orderBookL2 – 50ms
  • orderBookL2_25 – 50ms
  • orderBook10 – 50ms

This change will affect all clients subscribing to any or all of the above topics.

As a consequence of throttling, the algorithm will send the latest changes of the orderbook at every throttling interval (if any) and will conflate intermediate updates. For example:

Time stamp Price action (real-time) Throttled API feed received
15:25.30.000 Insert XBTUSD 26239.5 Insert XBTUSD 26239.5
15:25.30.025 Delete XBTUSD 26239.5Insert XBTUSD 26240.0  
15:25.30.045 Delete XBTUSD 26240.0Insert XBTUSD 26240.5  
5:25.30.050   Delete XBTUSD 26239.5Insert XBTUSD 26240.5

All Timestamps of the order book records will be the time when the WebSocket server sends the updates. 


What Should I Change?

No changes on client side are required, the market data protocol used is backwards compatible.


Why are we implementing this change?

As part of our platform improvements and organic growth of our exchange, the number of market data updates become increasingly large. To maintain the highest level of service to our customers, throttling will ensure timely updates during volatile markets while keeping updates flowing unaffected during calm markets. 


If you have any questions about these upcoming changes, please contact Support.

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