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December 2, 2017 06:03
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```json | |
{ | |
// Currency pair. | |
// - Always uppercase | |
"pair": ["BTC", "USD"], | |
// decimal numbers are encoded as strings to avoid precision errors with floats. | |
// The best aggregated bid and ask price | |
// - I could also stream the full order book and return topN best bid ask if that would be usefull. | |
"bid": "333.98", | |
"ask": "333.99", | |
"price": "333.99", | |
"size": "0.193", | |
"volume": "5957.11914015", | |
// Timestamps | |
// - format: most likely RFC3339 or epoch ms | |
// - the deltas between these times can be used to gauge how trustworthy the data is. | |
// market_ts is the time returned by the exchange api. | |
// NOTE: not all exchanges provide this. | |
"market_ts": "2006-01-02T15:04:05Z07:00", | |
// server_ts is the time we received this data in the server. | |
// This should be well aligned across exchanges and probably the main ts you want to use. | |
"server_ts": "2006-01-02T15:04:05Z07:00", | |
// request_ts tracks when we started a http request. | |
// NOTE: Only provided if the exchange doesn't have a websocket api. | |
"request_ts": "2006-01-02T15:04:05Z07:00" | |
} | |
``` |
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