Indexer Websocket Documentation

dYdX offers a WebSocket API for streaming v4 updates.

For the deployment by DYDX token holders, use wss://indexer.dydx.trade/v4/ws
For Testnet, use wss://indexer.v4testnet.dydx.exchange/v4/ws

Note: Messages on Indexer WebSocket feeds are typically more recent than data fetched via Indexer's REST API, because the latter is backed by read replicas of the databases that feed the former. Ordinarily this difference is minimal (less than a second), but it might become prolonged under load. Please see Indexer Architecture (opens in a new tab) for more information.

Overall

Connect

Upon connecting to v4 Websockets you will receive an initial connection message with the following format:

{
  "type": "connected",
  "connection_id": "004a1efa-21bb-4b19-a2e9-a8ffadd6dc53",
  "message_id": 0
}

Maintaining a Connection

Every 30 seconds, the websocket API will send a heartbeat ping control frame (opens in a new tab) to the connected client. If a pong event is not received within 10 seconds back, the websocket API will disconnect.

You may subscribe to any channel following the subscribe instructions above. Subscribing to a channel has the following fields:

type - Should always be specified to subscribe
channel - Specifies the channel you are subscribing to. The specific string is specified in each channel’s documentation
id - required for all channels other than market. Specifies the market or subaccount you are subscribing to.

Rate Limiting

The default rate limiting config for websockets is:

2 subscriptions per (connection + channel + channel id) per second.
2 invalid messages per connection per second.

Unsubscribe

Utilize the same message to subscribe but replace the type with unsubscribe. For example: { "type": "unsubscribe", "channel": "v4_trades", "id": "BTC-USD" }

Example

Use a command-line websocket client such as interactive-websocket-cli (opens in a new tab) to connect and subscribe to channels.

Example (with interactive-websocket-cli)

# For the deployment by DYDX token holders, use
# wscli connect wss://indexer.dydx.trade/v4/ws
wscli connect wss://indexer.v4testnet.dydx.exchange/v4/ws
<output from ws-cli>
<type 's' to send> { "type": "subscribe", "channel": "v4_trades", "id": "BTC-USD" }

Subaccounts

This channel provides realtime information about orders, fills, transfers, perpetual positions, and perpetual assets for a subaccount.

Field	Type	Description
type	string	Set to subscribe
channel	string	Set to v4_subaccounts
id	string	Set to the address and subaccount number in the format {address}/{subaccount_number}

Initial Response

Returns everything from the /v4/addresses/:address/subaccountNumber/:subaccountNumber, and /v4/orders?addresses=${address}&subaccountNumber=${subaccountNumber}&status=OPEN.

Example

{
  "type": "subscribed",
  "connection_id": "c5a28fa5-c257-4fb5-b68e-fe084c2768e5",
  "message_id": 1,
  "channel": "v4_subaccounts",
  "id": "dydx199tqg4wdlnu4qjlxchpd7seg454937hjrknju4/0",
  "contents": {
    "subaccount": {
      "address": "dydx199tqg4wdlnu4qjlxchpd7seg454937hjrknju4",
      "subaccountNumber": 0,
      "equity": "100000000000.000000",
      "freeCollateral": "100000000000.000000",
      "openPerpetualPositions": {},
      "assetPositions": {
        "USDC": {
          "symbol": "USDC",
          "side": "LONG",
          "size": "100000000000",
          "assetId": "0"
        }
      },
      "marginEnabled": true
    },
    "orders": []
  }
}

Channel Data

Subsequent responses will contain any update to open orders, changes in account, changes in open positions, and/or transfers in a single message.

export interface SubaccountsChannelData {
	channel: 'v4_trades',
	id: string,
	contents: SubaccountMessageContents,
	blockHeight: string,
	transactionIndex: number,
	eventIndex: number,
	clobPairId: string,
	version: string,
}
 
export interface SubaccountMessageContents {
	// Perpetual position updates on the subaccount
  perpetualPositions?: PerpetualPositionSubaccountMessageContents[],
	// Asset position updates on the subaccount
  assetPositions?: AssetPositionSubaccountMessageContents[],
	// Order updates on the subaccount
  orders?: OrderSubaccountMessageContents[],
	// Fills that occur on the subaccount
  fills?: FillSubaccountMessageContents[],
	// Transfers that occur on the subaccount
  transfers?: TransferSubaccountMessageContents,
}
 
export interface PerpetualPositionSubaccountMessageContents {
  address: string,
  subaccountNumber: number,
  positionId: string,
  market: string,
  side: PositionSide,
  status: PerpetualPositionStatus,
  size: string,
  maxSize: string,
  netFunding: string,
  entryPrice: string,
  exitPrice?: string,
  sumOpen: string,
  sumClose: string,
  realizedPnl?: string,
  unrealizedPnl?: string,
}
 
export enum PositionSide {
  LONG = 'LONG',
  SHORT = 'SHORT',
}
 
export enum PerpetualPositionStatus {
  OPEN = 'OPEN',
  CLOSED = 'CLOSED',
  LIQUIDATED = 'LIQUIDATED',
}
 
export interface AssetPositionSubaccountMessageContents {
  address: string,
  subaccountNumber: number,
  positionId: string,
  assetId: string,
  symbol: string,
  side: PositionSide,
  size: string,
}
 
export interface OrderSubaccountMessageContents {
  id: string;
  subaccountId: string;
  clientId: string;
  clobPairId: string;
  side: OrderSide;
  size: string;
  ticker: string,
  price: string;
  type: OrderType;
  timeInForce: APITimeInForce;
  postOnly: boolean;
  reduceOnly: boolean;
  status: APIOrderStatus;
  orderFlags: string;
  totalFilled?: string;
  totalOptimisticFilled?: string;
  goodTilBlock?: string;
  goodTilBlockTime?: string;
  removalReason?: string;
  createdAtHeight?: string;
  clientMetadata: string;
  triggerPrice?: string;
  updatedAt?: IsoString;
  updatedAtHeight?: string;
}
 
export enum OrderSide {
  BUY = 'BUY',
  SELL = 'SELL',
}
 
export enum OrderType {
  LIMIT = 'LIMIT',
  MARKET = 'MARKET',
  STOP_LIMIT = 'STOP_LIMIT',
  STOP_MARKET = 'STOP_MARKET',
  TRAILING_STOP = 'TRAILING_STOP',
  TAKE_PROFIT = 'TAKE_PROFIT',
  TAKE_PROFIT_MARKET = 'TAKE_PROFIT_MARKET',
}
 
export enum APITimeInForce {
  // GTT represents Good-Til-Time, where an order will first match with existing orders on the book
  // and any remaining size will be added to the book as a maker order, which will expire at a
  // given expiry time.
  GTT = 'GTT',
  // FOK represents Fill-Or-KILl where it's enforced that an order will either be filled
  // completely and immediately by maker orders on the book or canceled if the entire amount can't
  // be filled.
  FOK = 'FOK',
  // IOC represents Immediate-Or-Cancel, where it's enforced that an order only be matched with
  // maker orders on the book. If the order has remaining size after matching with existing orders
  // on the book, the remaining size is not placed on the book.
  IOC = 'IOC',
}
 
export enum APIOrderStatus {
  OPEN = 'OPEN',
  FILLED = 'FILLED',
  CANCELED = 'CANCELED',
  BEST_EFFORT_CANCELED = 'BEST_EFFORT_CANCELED',
  BEST_EFFORT_OPENED = 'BEST_EFFORT_OPENED',
  UNTRIGGERED = "UNTRIGGERED"
}
 
export interface FillSubaccountMessageContents {
  id: string;
  subaccountId: string;
  side: OrderSide;
  liquidity: Liquidity;
  type: FillType;
  clobPairId: string;
  size: string;
  price: string;
  quoteAmount: string;
  eventId: string,
  transactionHash: string;
  createdAt: IsoString;
  createdAtHeight: string;
  orderId?: string;
  ticker: string;
}
 
export enum Liquidity {
  TAKER = 'TAKER',
  MAKER = 'MAKER',
}
 
export enum FillType {
  // LIMIT is the fill type for a fill with a limit taker order.
  LIMIT = 'LIMIT',
  // LIQUIDATED is for the taker side of the fill where the subaccount was liquidated.
  // The subaccountId associated with this fill is the liquidated subaccount.
  LIQUIDATED = 'LIQUIDATED',
  // LIQUIDATION is for the maker side of the fill, never used for orders
  LIQUIDATION = 'LIQUIDATION',
  // DELEVERAGED is for the subaccount that was deleveraged in a deleveraging event.
  // The fill type will be set to taker.
  DELEVERAGED = 'DELEVERAGED',
  // OFFSETTING is for the offsetting subaccount in a deleveraging event.
  // The fill type will be set to maker.
  OFFSETTING = 'OFFSETTING',
}
 
export enum TradeType {
  // LIMIT is the trade type for a fill with a limit taker order.
  LIMIT = 'LIMIT',
  // LIQUIDATED is the trade type for a fill with a liquidated taker order.
  LIQUIDATED = 'LIQUIDATED',
  // DELEVERAGED is the trade type for a fill with a deleveraged taker order.
  DELEVERAGED = 'DELEVERAGED',
}
 
export interface TransferSubaccountMessageContents {
  sender: {
    address: string,
    subaccountNumber?: number,
  },
  recipient: {
    address: string,
    subaccountNumber?: number,
  },
  symbol: string,
  size: string,
  type: TransferType,
  createdAt: IsoString,
  createdAtHeight: string,
  transactionHash: string,
}
 
export enum TransferType {
  TRANSFER_IN = 'TRANSFER_IN',
  TRANSFER_OUT = 'TRANSFER_OUT',
  DEPOSIT = 'DEPOSIT',
  WITHDRAWAL = 'WITHDRAWAL',
}

Example

{
  "type": "channel_data",
  "connection_id": "a00edbe8-095a-4da1-8a9d-ff1f91467258",
  "message_id": 4,
  "id": "dydx1zsw8fczav25uvc8rg3zcv6zy9j7yhnktpq374m/0",
  "channel": "v4_subaccounts",
  "version": "2.1.0",
  "contents": {
    "orders": [
      {
        "id": "64fe30a2-006d-5108-a156-cb0c8443546c",
        "side": "BUY",
        "size": "1",
        "totalFilled": "1",
        "price": "1948.65",
        "type": "LIMIT",
        "status": "FILLED",
        "timeInForce": "IOC",
        "reduceOnly": false,
        "orderFlags": "0",
        "goodTilBlock": "61186",
        "goodTilBlockTime": null,
        "postOnly": false,
        "ticker": "ETH-USD"
      }
    ],
    "fills": [
      {
        "id": "c5030bd3-cd85-5046-8f2a-518bbba6ec45",
        "subaccountId": "db535c19-b298-5ee8-bb59-e96c659a8bd4",
        "side": "BUY",
        "liquidity": "TAKER",
        "type": "LIMIT",
        "clobPairId": "1",
        "orderId": "64fe30a2-006d-5108-a156-cb0c8443546c",
        "size": "1",
        "price": "1854.25",
        "quoteAmount": "1854.25",
        "eventId": {
          "type": "Buffer",
          "data": [
            0,
            0,
            238,
            241,
            0,
            0,
            0,
            2,
            0,
            0,
            0,
            77
          ]
        },
        "transactionHash": "C84B0BBCA8E713A2D46EFBA07F2D0A32C1F6E2440794A366B888503935E0EF40",
        "createdAt": "2023-04-04T19:09:24.869Z",
        "createdAtHeight": "61169",
        "ticker": "ETH-USD"
      }
    ]
  }
}

Orderbooks

Field	Type	Description
type	string	Set to subscribe
channel	string	Set to v4_orderbook
id	string	Set to the ticker of the market you would like to subscribe to. For example, BTC-USD

Initial Response

Returns everything from v4/orderbooks/perpetualMarkets/${id} endpoint.

Example

{
  "type": "subscribed",
  "connection_id": "ee5a4696-dce8-44ef-8d68-f0e0d0b06160",
  "message_id": 2,
  "channel": "v4_orderbook",
  "id": "BTC-USD",
  "contents": {
    "bids": [
      {
        "price": "28194",
        "size": "4.764826096"
      },
      {
        "price": "28193",
        "size": "3.115323739"
      },
      {
        "price": "28192",
        "size": "3.400340775"
      },
      {
        "price": "28191",
        "size": "3.177700682"
      },
      {
        "price": "28190",
        "size": "3.055502176"
      },
      {
        "price": "28189",
        "size": "3.672892171"
      },
      {
        "price": "28188",
        "size": "3.597672948"
      },
      {
        "price": "28187",
        "size": "2.561597964"
      },
      {
        "price": "28186",
        "size": "3.070490554"
      },
      {
        "price": "28185",
        "size": "3.550128411"
      },
      {
        "price": "28184",
        "size": "4.213369101"
      },
      {
        "price": "28183",
        "size": "3.608880877"
      },
		],
		"asks": [
      {
        "price": "28195",
        "size": "3.219612343"
      },
      {
        "price": "28196",
        "size": "2.387087565"
      },
      {
        "price": "28197",
        "size": "2.698530469"
      },
      {
        "price": "28198",
        "size": "2.590884421"
      },
      {
        "price": "28199",
        "size": "3.192796678"
      },
		],
	},
}

Channel Data

interface OrderbookChannelData {
	channel: 'v4_orderbook',
	id: string,
	contents: OrderbookMessageContents,
	clobPairId: string,
	version: string,
}
 
interface OrderbookMessageContents {
  bids?: PriceLevel[],
  asks?: PriceLevel[],
}
 
// The first string indicates the price, the second string indicates the size
type PriceLevel = [string, string];

Example

{
  "type": "channel_data",
  "connection_id": "ee5a4696-dce8-44ef-8d68-f0e0d0b06160",
  "message_id": 484,
  "id": "BTC-USD",
  "channel": "v4_orderbook",
  "version": "0.0.1",
  "contents": {
    "bids": [
      [
        "27773",
        "1.986168516"
      ]
    ]
  }
}

Trades

Field	Type	Description
type	string	Set to subscribe
channel	string	Set to v4_trades
id	string	Set to the ticker of the market you would like to subscribe to. For example, BTC-USD

Initial Response

Returns everything from v4/trades/perpetualMarkets/${id} endpoint.

Example

{
  "type": "subscribed",
  "connection_id": "57844645-0b1d-4c3f-ad71-1c6154154a13",
  "message_id": 1,
  "channel": "v4_trades",
  "id": "BTC-USD",
  "contents": {
    "trades": [
      {
        "side": "BUY",
        "size": "0.00396135",
        "price": "27848",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000019216",
        "price": "27841",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.001682908",
        "price": "27840",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000311013",
        "price": "27840",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000000011",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000000017",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000226026",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000000004",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000000006",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000226015",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000003739",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "SELL",
        "size": "0.000164144",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:56.226Z",
        "createdAtHeight": "49592"
      },
      {
        "side": "BUY",
        "size": "0.037703477",
        "price": "27848",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
      {
        "side": "SELL",
        "size": "0.000000321",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
      {
        "side": "SELL",
        "size": "0.06706869",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
      {
        "side": "SELL",
        "size": "0.002573305",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
      {
        "side": "SELL",
        "size": "0.001525924",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
      {
        "side": "SELL",
        "size": "0.00387205",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
      {
        "side": "SELL",
        "size": "0.000094697",
        "price": "27845",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
      {
        "side": "SELL",
        "size": "0.002828331",
        "price": "27842",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
      {
        "side": "SELL",
        "size": "0.000100428",
        "price": "27845",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
      {
        "side": "BUY",
        "size": "0.000098184",
        "price": "27848",
        "createdAt": "2023-04-04T00:28:50.516Z",
        "createdAtHeight": "49591"
      },
    ],
	},
}

Channel Data

interface TradeChannelData {
	channel: 'v4_trades',
	id: string,
	contents: TradeMessageContents,
	blockHeight: string,
	clobPairId: string,
	version: string,
}
 
interface TradeMessageContents {
  trades: TradeContent[],
}
 
interface TradeContent {
	// Unique id of the trade, which is the taker fill id.
  id: string,
  size: string,
  price: string,
  side: string,
  createdAt: IsoString,
  type: TradeType,
}

Example

{
  "type": "channel_data",
  "connection_id": "57844645-0b1d-4c3f-ad71-1c6154154a13",
  "message_id": 4,
  "id": "BTC-USD",
  "channel": "v4_trades",
  "version": "1.1.0",
  "contents": {
    "trades": [
      {
        "id": "8ee6d90d-272d-5edd-bf0f-2e4d6ae3d3b7",
        "size": "0.000100431",
        "price": "27839",
        "side": "BUY",
        "createdAt": "2023-04-04T00:29:19.353Z",
        "type": "LIQUIDATED"
      },
      {
        "id": "38e64479-af09-5417-a795-195f83879156",
        "size": "0.000000004",
        "price": "27839",
        "side": "BUY",
        "createdAt": "2023-04-04T00:29:19.353Z",
        "type": "LIQUIDATED"
      },
      {
        "id": "d310c32c-f066-5ba8-a97d-10a29d9a6c84",
        "size": "0.000000005",
        "price": "27837",
        "side": "SELL",
        "createdAt": "2023-04-04T00:29:19.353Z",
        "type": "LIMIT"
      },
      {
        "id": "dd1088b5-5cab-518f-a59c-4d5f735ab861",
        "size": "0.000118502",
        "price": "27837",
        "side": "SELL",
        "createdAt": "2023-04-04T00:29:19.353Z",
        "type": "LIMIT"
      },
    ],
  },
}

Markets

Field	Type	Description
type	string	Set to subscribe
channel	string	Set to v4_markets

Initial Response

Returns everything from v4/perpetualMarkets endpoint.

Example

{
  "type": "subscribed",
  "connection_id": "6e0af39b-5937-459a-b7ac-cc8abe1049db",
  "message_id": 1,
  "channel": "v4_markets",
  "contents": {
    "markets": {
      "BTC-USD": {
        "clobPairId": "0",
        "ticker": "BTC-USD",
        "status": "ACTIVE",
        "baseAsset": "",
        "quoteAsset": "",
        "oraclePrice": "27752.92",
        "priceChange24H": "0",
        "volume24H": "63894023.044245577",
        "trades24H": 143820,
        "nextFundingRate": "0",
        "initialMarginFraction": "0.050000",
        "maintenanceMarginFraction": "0.030000",
        "basePositionSize": "0",
        "incrementalPositionSize": "0",
        "maxPositionSize": "0",
        "openInterest": "1891.473716288",
        "atomicResolution": -10,
        "quantumConversionExponent": -8,
        "tickSize": "1",
        "stepSize": "0.000000001",
        "stepBaseQuantums": 10,
        "subticksPerTick": 10000
      },
      "ETH-USD": {
        "clobPairId": "1",
        "ticker": "ETH-USD",
        "status": "ACTIVE",
        "baseAsset": "",
        "quoteAsset": "",
        "oraclePrice": "1808.2",
        "priceChange24H": "0",
        "volume24H": "67487133.70842158",
        "trades24H": 137552,
        "nextFundingRate": "0",
        "initialMarginFraction": "0.050000",
        "maintenanceMarginFraction": "0.030000",
        "basePositionSize": "0",
        "incrementalPositionSize": "0",
        "maxPositionSize": "0",
        "openInterest": "44027.853711",
        "atomicResolution": -9,
        "quantumConversionExponent": -9,
        "tickSize": "0.01",
        "stepSize": "0.000001",
        "stepBaseQuantums": 1000,
        "subticksPerTick": 10000
      }
    }
  }
}

Channel Data

interface MarketChannelData {
	channel: 'v4_markets',
	id: 'v4_markets',
	contents: MarketMessageContents,
	version: string,
}
 
interface MarketMessageContents {
  trading?: TradingMarketMessageContents,
  oraclePrices?: OraclePriceMarketMessageContentsMapping,
}
 
type TradingMarketMessageContents = {
  [ticker: string]: TradingPerpetualMarketMessage
};
 
interface TradingPerpetualMarketMessage {
  id?: string;
  clobPairId?: string;
  ticker?: string;
  marketId?: number;
  status?: PerpetualMarketStatus; // 'ACTIVE', 'PAUSED', 'CANCEL_ONLY', 'POST_ONLY', or 'INITIALIZING'
  baseAsset?: string;
  quoteAsset?: string;
  initialMarginFraction?: string;
  maintenanceMarginFraction?: string;
  basePositionSize?: string;
  incrementalPositionSize?: string;
  maxPositionSize?: string;
  openInterest?: string;
  quantumConversionExponent?: number;
  atomicResolution?: number;
  subticksPerTick?: number;
  stepBaseQuantums?: number;
  priceChange24H?: string;
  volume24H?: string;
  trades24H?: number;
  nextFundingRate?: string;
}
 
type OraclePriceMarketMessageContentsMapping = {
  [ticker: string]: OraclePriceMarket,
};
 
interface OraclePriceMarket {
  oraclePrice: string,
  effectiveAt: IsoString,
  effectiveAtHeight: string,
  marketId: number,
}

Example

{
  "type": "channel_data",
  "connection_id": "1f4ec0e3-ff95-48cc-94f1-7118a19412ff",
  "message_id": 2,
  "channel": "v4_markets",
  "version": "0.0.1",
  "contents": {
    "trading": {
      "BTC-USD": {
        "nextFundingRate": "0.00006821875"
      },
      "ETH-USD": {
        "volume24H": "1462890959.6541",
        "nextFundingRate": "0.00007478125"
      }
    }
  }
}

Indexer API Full Node Endpoints

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