Market:Depth

Announces the current orders in the market depth for a Security.

This subscription is only available for symbols that offer DepthFull in their SubscriptionData.

Controller: Market
Topic: Depth![Code].[Market]
Action: Sub
Permissions: Zenith/Market
Server-side Unsubscribe: Yes

Topic Format

Format	Description	Example
Depth![Code].[Market]	Receive depth orders relating to a symbol.	Depth!BHP.ASX

Fields

Name	Description
Market	The code for the listing Market of the desired symbol. Can be a Mixed Market code.
Code	The code of the desired symbol.

Payload

An ordered array of zero or more Depth Change objects, to be applied in sequence.

Orders are not provided in any particular sort order. Clients will need to apply appropriate sorting.

Depth Change object

Name	Type	Expect	Description
O	String	Always	The operation being performed. One of: A: Adding a new Order. U: Updating an existing Order. R: Removing an Order. C: Clearing all Orders.
Order	Object	Optional	A Depth Order object. Will be omitted when clearing. Will always be provided in all other situations.

Depth Order object

Name	Type	Expect	Description
ID	String	Always	The order identifier, unique for the subscribed Security.
Side	String	Optional	The side of the market the Order is on. Will be provided for additions only. One of: Bid: Bid/buy order. Ask: Ask/sell order.
Price	Decimal	Optional	The price of the Order. Provided for additions or updates if the price has been amended.
Position	Integer	Optional	The position of the Order within the price point. The position is not an index, and may not be sequential. Orders should be sorted within each price point in ascending order based on this field. Provided for additions or updates if the position has changed.
Broker	String	Optional	A code identifying the broker who placed this Order. Will be provided for additions only. Will only be supplied if the identified client has the appropriate rights to view it.
CrossRef	String	Optional	A code referencing this Order. Will be provided for additions only. Will only be supplied if the identified client has the appropriate rights to view it.
Quantity	Decimal	Optional	The total number of shares placed against this Order. May be provided for Additions or Updates. May be null, signifying an undisclosed Order.
HasUndisclosed	Boolean	Optional	Whether there is an additional undisclosed amount. May be provided for Additions or Updates. Will only be supplied if the Order has a Quantity that is non-null, signifying an iceberg-style Order.
Market	String	Optional	The original Market that holds this Order, when using Mixed Markets.
Attributes	Array	Optional	An array of Market-Specific attributes that apply to this Order.

Example

websocket.send(JSON.stringify(
 {
  Controller:"Market",
  Topic:"Depth!BHP.ASX",
  Action:"Sub",
  Confirm:true
 });

Sample Response:

{
 "Controller":"Market",
 "Topic":"Depth!BHP.ASX",
 "Data":
 [
  {
   "O":"A",
   "Order":
   {
    "ID":"DEADBEEF-CAFE-F00D-C0DE-123412341234",
    "Side":"B",
    "Price":42.05,
    "Position":1024,
    "Quantity":null
   }
  },
  {
   "O":"U",
   "Order":
   {
    "ID":"FACEB00C-8BAD-F00D-C0DE-123412341234",
    "Quantity":5000
   }
  }
 ]
}