Data Socket - Market Depth Update

This WebSocket allows you to stream live five-level market depth for a symbol.

USE CASE

Build a live order book showing the best five bids and asks as they change.

Details

The WebSocket API for receiving stock data is a real-time communication protocol designed to provide seamless and low-latency access to live stock market data. This API allows developers and traders to establish a persistent, bidirectional connection with the server, enabling them to receive continuous updates on stock prices, trading volumes, and other relevant market information.
To quickly get started with the WebSocket API and start receiving real-time stock data, you can explore our sample scripts and code examples in our GitHub repository:
Data WebSocket Sample Scripts
Depth covers 5 levels on each side, for example bid_price1 to bid_price5. For 50 levels use the Tick-by-Tick (TBT) Socket.
Subscribe with data_type set to DepthUpdate in Python. In Node, pass true as the second argument of subscribe.
Depth messages have type set to dp.
Each level has a price, a size and an order count, for example bid_price1, bid_size1 and bid_order1.
In the sample response, levels with no quantity show 0.

Plan limits

Standard plan

Up to 100 symbols, counted per user across all connections

Prime plan

Up to 5,000 symbols, counted per user across all connections

For rate limits and all other plan details, see Plans & rate limits.

Response Attributes (Depth Update)

Attribute	Data Type	Description
`symbol`	string	The symbol in fyers symbology format whose data is received on socket.
`bid_price1-bid_price5`	float	The bid price key represents the highest price at which buyers are willing to purchase a particular security or asset.
`ask_price1-ask_price5`	float	The ask price key represents the lowest price at which sellers are willing to sell a particular security or asset.
`bid_size1-bid_size5`	int	The bid size key represents the quantity or volume of the security or asset that buyers are willing to purchase at a specific bid price level.
`ask_size1-ask_size5`	int	The ask size key represents the quantity or volume of the security or asset that sellers are willing to sell at a specific ask price level.
`bid_order1-bid_order5`	int	The number of bid order.
`ask_order1-ask_order5`	int	The number of ask order.
`type`	string	cn - connection message sub - subscribe message if - index data message dp - market depth data message sf - Equity and option data message

Request

from fyers_apiv3.FyersWebsocket import data_ws

def onmessage(message):
    """
    Callback function to handle incoming messages from the FyersDataSocket WebSocket.

    Parameters:
        message (dict): The received message from the WebSocket.

    """
    print("Response:", message)


def onerror(message):
    """
    Callback function to handle WebSocket errors.

    Parameters:
        message (dict): The error message received from the WebSocket.


    """
    print("Error:", message)


def onclose(message):
    """
    Callback function to handle WebSocket connection close events.
    """
    print("Connection closed:", message)


def onopen():
    """
    Callback function to subscribe to data type and symbols upon WebSocket connection.

    """
    # Specify the data type and symbols you want to subscribe to
    data_type = "DepthUpdate"

    # Subscribe to the specified symbols and data type
    symbols = ['NSE:SBIN-EQ', 'NSE:ADANIENT-EQ']
    fyers.subscribe(symbols=symbols, data_type=data_type)

    # Keep the socket running to receive real-time data
    fyers.keep_running()


# Replace the sample access token with your actual access token obtained from Fyers
access_token = "XXDHHIOKS-100:eajoljXXXXXXXXXX"

# Create a FyersDataSocket instance with the provided parameters
fyers = data_ws.FyersDataSocket(
    access_token=access_token,       # Access token in the format "appid:accesstoken"
    log_path="",                     # Path to save logs. Leave empty to auto-create logs in the current directory.
    litemode=False,                  # Lite mode disabled. Set to True if you want a lite response.
    write_to_file=False,              # Save response in a log file instead of printing it.
    reconnect=True,                  # Enable auto-reconnection to WebSocket on disconnection.
    on_connect=onopen,               # Callback function to subscribe to data upon connection.
    on_close=onclose,                # Callback function to handle WebSocket connection close events.
    on_error=onerror,                # Callback function to handle WebSocket errors.
    on_message=onmessage             # Callback function to handle incoming messages from the WebSocket.
)

# Establish a connection to the Fyers WebSocket
fyers.connect()

{
  "bid_price1":606.25,
  "bid_price2":606.2,
  "bid_price3":606.15,
  "bid_price4":606.1,
  "bid_price5":606.05,
  "ask_price1":606.3,
  "ask_price2":606.35,
  "ask_price3":606.4,
  "ask_price4":606.45,
  "ask_price5":606.5,
  "bid_size1":20,
  "bid_size2":902,
  "bid_size3":111,
  "bid_size4":110,
  "bid_size5":979,
  "ask_size1":282,
  "ask_size2":568,
  "ask_size3":2910,
  "ask_size4":1676,
  "ask_size5":2981,
  "bid_order1":1,
  "bid_order2":3,
  "bid_order3":2,
  "bid_order4":2,
  "bid_order5":9,
  "ask_order1":4,
  "ask_order2":2,
  "ask_order3":12,
  "ask_order4":9,
  "ask_order5":17,
  "type":"dp",
  "symbol":"NSE:SBIN-EQ"
}

Data Socket - Market Depth Update

Response Attributes (Depth Update)

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