Build with the L2 Order Book

The l2Book channel streams real-time L2 order book data — bids and asks aggregated into price levels by significant figures. Each message is self-contained, so it’s the simplest channel to consume: you don’t maintain local state between messages. Use it for top-of-book quotes, spread monitoring, and depth analytics.

For high-frequency book tracking across many assets, prefer l2BookDiff — it sends only changed levels and is billed at a fraction of the per-minute rate.

{
  "method": "subscribe",
  "subscription": { "type": "l2Book", "coin": "HYPE" }
}

coin is optional — omit it to stream all assets on one subscription (billed at the higher wildcard rate; see pricing).

Message shape

Each message carries the aggregated book for a coin. Levels are a two-element array — [bids, asks] — and each level is { px, sz, n }.

{
  "channel": "l2Book",
  "data": {
    "coin": "HYPE",
    "levels": [
      [{ "px": "0.50", "sz": "100", "n": 5 }, { "px": "0.49", "sz": "250", "n": 8 }],
      [{ "px": "0.51", "sz": "200", "n": 3 }, { "px": "0.52", "sz": "120", "n": 4 }]
    ]
  }
}

Field	Meaning
`px`	Price level, as a string.
`sz`	Total size resting at that level.
`n`	Number of individual orders at that level.
`levels`	Two-element array: `[bidLevels, askLevels]`.

Consume it

Because each message is a complete snapshot, you can read top-of-book directly — no state to maintain:

ws.on("message", (raw) => {
  const msg = JSON.parse(raw.toString());
  if (msg.channel !== "l2Book") return;

  const [bids, asks] = msg.data.levels;
  const bestBid = bids[0]; // highest bid
  const bestAsk = asks[0]; // lowest ask
  const spread = Number(bestAsk.px) - Number(bestBid.px);

  console.log(`${msg.data.coin} spread: ${spread}`);
});

When to use L2 vs. L2 diff

Use `l2Book` when…	Use `l2BookDiff` when…
You want the simplest integration (no local state)	You track the full book at high frequency
You watch a few assets and care about top-of-book	You subscribe to many assets or the wildcard stream
Bandwidth and CU cost aren’t a concern	You want bandwidth proportional to what changed

​Subscribe

​Message shape

​Consume it

​When to use L2 vs. L2 diff

Subscribe

Message shape

Consume it

When to use L2 vs. L2 diff