developers:websocket:quotes

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developers:websocket:quotes [2025/03/15 14:43] – [Secondary Market Data] chaddevelopers:websocket:quotes [2026/09/08 00:38] (current) – chad
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 +<note warning>**Legacy — V1.** This page documents the ''/v1'' WebSocket API and is retained for existing integrations. New development should use [[developers:apiv2|V2]]. See [[developers:apiv2:migrating|Migrating from V1]].</note>
 +
 ====== Quote Feed ====== ====== Quote Feed ======
  
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 MarketDepthSubscribe { MarketDepthSubscribe {
    ExchangeId = "CME",    ExchangeId = "CME",
-   ContractId = "ESM25",+   ContractId = "ES",
    MarketId = "XCME_C ES (M25)",    MarketId = "XCME_C ES (M25)",
    Buffer = DepthBuffer.Smart,    Buffer = DepthBuffer.Smart,
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 MarketDepthSubscribe { MarketDepthSubscribe {
    ExchangeId = "CME",    ExchangeId = "CME",
-   ContractId = "ESM25",+   ContractId = "ES",
    MarketId = "XCME_C ES (M25)",    MarketId = "XCME_C ES (M25)",
    Buffer = DepthBuffer.NoSubscription,    Buffer = DepthBuffer.NoSubscription,
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   * **MarketDefinition** – Sent once per market, unless already received via another feed.   * **MarketDefinition** – Sent once per market, unless already received via another feed.
   * **MarketSnapshot** – Provides a full market state on initial subscription.   * **MarketSnapshot** – Provides a full market state on initial subscription.
-  * **MarketDepthUpdate** – Sends incremental changes to depth.+  * **MarketDepth** – Sends incremental changes to depth.
  
 Example MBP message handling: Example MBP message handling:
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             break;             break;
  
-        case ServerMessage.PayloadOneofCase.MarketDepthUpdate: +        case ServerMessage.PayloadOneofCase.MarketDepth: 
-            ProcessMarketDepthUpdate(serverMessage.MarketDepthUpdate);+            ProcessMarketDepth(serverMessage.MarketDepth);
             break;             break;
  
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 MarketByOrderSubscribe { MarketByOrderSubscribe {
    exchange_id = "CME",    exchange_id = "CME",
-   contract_id = "ESM25",+   contract_id = "ES",
    market_id = "XCME_C ES (M25)",    market_id = "XCME_C ES (M25)",
    subscribe = true    subscribe = true
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 MarketByOrderSubscribe { MarketByOrderSubscribe {
    exchange_id = "CME",    exchange_id = "CME",
-   contract_id = "ESM25",+   contract_id = "ES",
    market_id = "XCME_C ES (M25)",    market_id = "XCME_C ES (M25)",
    subscribe = false    subscribe = false
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 ^ **Message** ^ **Description** ^ ^ **Message** ^ **Description** ^
 | MarketDepthTrade | If a `Trade` feed is subscribed, the trade ticker is sent as a feed of MarketDepthTrade messages. | | MarketDepthTrade | If a `Trade` feed is subscribed, the trade ticker is sent as a feed of MarketDepthTrade messages. |
-| MarketHighLow | Publishes update to the high and low prices reached by the market. |+| MarketHighLow | Publishes updates to the high and low prices reached by the market. |
 | MarketPriceLimits | Publishes the price limits (bands or collars) set by the exchange for the market. | | MarketPriceLimits | Publishes the price limits (bands or collars) set by the exchange for the market. |
 | MarketSettlement | Contains the latest market settlement, held settlment, open interest, cleared volume and VWAP information as published by the exchange. | | MarketSettlement | Contains the latest market settlement, held settlment, open interest, cleared volume and VWAP information as published by the exchange. |
  • developers/websocket/quotes.1742049798.txt.gz
  • Last modified: 2025/03/15 14:43
  • by chad