Encelado/DesktopBot/Documents/Alpaca/real-time-crypto-pricing-data.md

Real-time Crypto Data

Crypto Data API provides websocket streaming for trades, quotes, orderbooks, minute bars and daily bars. This helps receive the most up to date market information that could help your trading strategy to act upon certain market movements.

Alpaca executes your crypto orders in its own exchange, and also supports Kraken, which is another crypto exchange. Therefore, v1beta3 crypto market data endpoint distributes data from Alpaca and Kraken.

You can find the general description of the real-time WebSocket Stream here. This page focuses on the crypto stream.

👍 Advanced Websockets Tutorial

Check out our tutorial Advanced Live Websocket Crypto Data Streams in Python for some tips on handling live crypto data stream in Python.

URL

The URL for the crypto stream is

wss://stream.data.alpaca.markets/v1beta3/crypto/{loc}

Sandbox URL:

wss://stream.data.sandbox.alpaca.markets/v1beta3/crypto/{loc}

Possible values {loc} can have are:

• us - Alpaca US
• us-1 - Kraken US
• eu-1 - Kraken EU

The location us-1 represents the states listed below:

1. AL (Alabama)
2. AK (Alaska)
3. AR (Arkansas)
4. CO (Colorado)
5. DC (District of Columbia)
6. DE (Delaware)
7. FL (Florida)
8. HI (Hawaii)
9. LA (Louisiana)
10. MN (Minnesota)
11. NV (Nevada)
12. NH (New Hampshire)
13. NJ (New Jersey)
14. NM (New Mexico)
15. OK (Oklahoma)
16. OR (Oregon)
17. PA (Pennsylvania)
18. PR (Puerto Rico)
19. TN (Tennessee)
20. TX (Texas)
21. VA (Virginia)
22. WI (Wisconsin)
23. WY (Wyoming)

Please note that, at the moment us-1 and eu-1 stream Kraken market data (which is another crypto exchange), but the providers may change over time.

Multiple data points may arrive in each message received from the server. These data points have the following formats, depending on their type.

Channels

Trades

Schema

Attribute	Type	Notes
T	string	message type, always “t”
S	string	symbol
p	number	trade price
s	number	trade size
t	string	RFC-3339 formatted timestamp with nanosecond precision
i	int	trade ID
tks	string	taker side: B for buyer, S for seller

Example

{
  "T": "t",
  "S": "AVAX/USD",
  "p": 47.299,
  "s": 29.205707815,
  "t": "2024-03-12T10:27:48.858228144Z",
  "i": 3447222699101865076,
  "tks": "S"
}

Quotes

Schema

Attribute	Type	Notes
T	string	message type, always “q”
S	string	symbol
bp	number	bid price
bs	number	bid size
ap	number	ask price
as	number	ask size
t	string	RFC-3339 formatted timestamp with nanosecond precision

Example

{
  "T": "q",
  "S": "BAT/USD",
  "bp": 0.35718,
  "bs": 13445.46,
  "ap": 0.3581,
  "as": 13561.902,
  "t": "2024-03-12T10:29:43.111588173Z"
}

Bars

📘 Crypto bars contain quote mid-prices

Due to the volatility of some currencies, including lack of trade volume at any given time, we include the quote midpoint prices in the bars to offer a better data experience. If in a bar no trade happens, the volume will be 0, but the prices will be determined by the quote prices.

There are three separate channels where you can stream trade aggregates (bars).

Minute Bars (bars)

Minute bars are emitted right after each minute mark. They contain the trades and quote midpoints from the previous minute.

Daily Bars (dailyBars)

Daily bars are emitted right after each minute mark after the market opens. The daily bars contain all trades and quote midprices until the time they were emitted.

Updated Bars (updatedBars)

Updated bars are emitted after each half-minute mark if a “late” trade arrived after the previous minute mark. For example if a trade with a timestamp of 16:49:59.998 arrived right after 16:50:00, just after 16:50:30 an updated bar with t set to 16:49:00 will be sent containing that trade, possibly updating the previous bar’s closing price and volume.

Schema

Attribute	Type	Description
T	string	message type: “b”, “d” or “u”
S	string	symbol
o	number	open price
h	number	high price
l	number	low price
c	number	close price
v	int	volume
t	string	RFC-3339 formatted timestamp

Example

{
  "T": "b",
  "S": "BTC/USD",
  "o": 71856.1435,
  "h": 71856.1435,
  "l": 71856.1435,
  "c": 71856.1435,
  "v": 0,
  "t": "2024-03-12T10:37:00Z",
  "n": 0,
  "vw": 0
}

Orderbooks

Schema

Attribute	Type	Notes
T	string	message type, always “o”
S	string	symbol
t	string	RFC-3339 formatted timestamp with nanosecond precision
b	array	bids: array of p (price) and s pairs. If s is zero, it means that that bid entry was removed from the orderbook. Otherwise it was added or updated.
a	array	asks: array of p (price) and s pairs. If s is zero, it means that that ask entry was removed from the orderbook. Otherwise it was added or updated.
r	boolean	reset: if true, the orderbook message contains the whole server side orderbook. This indicates to the client that they should reset their orderbook. Typically sent as the first message after subscription.

Example

Initial full orderbook

{
  "T": "o",
  "S": "BTC/USD",
  "t": "2024-03-12T10:38:50.79613221Z",
  "b": [
    {
      "p": 71859.53,
      "s": 0.27994
    },
    {
      "p": 71849.4,
      "s": 0.553986
    },
    {
      "p": 71820.469,
      "s": 0.83495
    },
   ...
  ],
  "a": [
    {
      "p": 71939.7,
      "s": 0.83953
    },
    {
      "p": 71940.4,
      "s": 0.28025
    },
    {
      "p": 71950.715,
      "s": 0.555928
    },
    ...
  ],
  "r": true
}

r is true, meaning that this message contains the whole BTC/USD orderbook. It's truncated here for readability, the actual book has a lot more bids & asks.

Update message

{
  "T": "o",
  "S": "MKR/USD",
  "t": "2024-03-12T10:39:39.445492807Z",
  "b": [],
  "a": [
    {
      "p": 2614.587,
      "s": 12.5308
    }
  ]
}

This means that the ask price level 2614.587 was changed to 12.5308. If there were previously no 2614.587 ask entry in the orderbook, then it should be added, if there were, its size should be updated.

Remove message

{
  "T": "o",
  "S": "CRV/USD",
  "t": "2024-03-12T10:39:40.501160019Z",
  "b": [
    {
      "p": 0.7904,
      "s": 0
    }
  ],
  "a": []
}

This means that the 0.7904 bid price level should be removed from the orderbook.

Example

$ wscat -c wss://stream.data.alpaca.markets/v1beta3/crypto/us
connected (press CTRL+C to quit)
< [{"T":"success","msg":"connected"}]
> {"action": "auth", "key": "**\***", "secret": "**\***"}
< [{"T":"success","msg":"authenticated"}]
> {"action": "subscribe", "bars": ["BTC/USD"]}
< [{"T":"subscription","trades":[],"quotes":[],"orderbooks":[],"bars":["BTC/USD"],"updatedBars":[],"dailyBars":[]}]
< [{"T":"b","S":"BTC/USD","o":26675.04,"h":26695.36,"l":26668.79,"c":26688.7,"v":3.227759152,"t":"2023-03-17T12:28:00Z","n":93,"vw":26679.5912436798}]
< [{"T":"b","S":"BTC/USD","o":26687.9,"h":26692.91,"l":26628.55,"c":26651.39,"v":11.568622108,"t":"2023-03-17T12:29:00Z","n":197,"vw":26651.7679765663}]