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Exchange WebSocket Overview

The WebSocket feed is publicly available and provides real-time market data updates for orders and trades. Two endpoints are supported in both production and sandbox:

  • Coinbase Market Data is our traditional feed which is available without authentication.
  • Coinbase Direct Market Data has direct access to Coinbase Exchange servers and requires Authentication.
tip

You can subscribe to both endpoints, but if ws-direct is your primary connection, we recommend using ws-feed as a failover.

info

Coinbase Market Data
production = wss://ws-feed.exchange.coinbase.com
sandbox = wss://ws-feed-public.sandbox.exchange.coinbase.com

Coinbase Direct Market Data
production = wss://ws-direct.exchange.coinbase.com
sandbox = wss://ws-direct.sandbox.exchange.coinbase.com

Protocol​

The WebSocket feed uses a bidirectional protocol that encodes all messages as JSON objects. All messages have a type attribute that can be used to handle the message appropriately.

tip

New message types can be added at any time. Clients are expected to ignore messages they do not support.

Subscribe​

To begin receiving feed messages, you must send a subscribe message to the server indicating which channels and products to receive. This message is mandatory—you are disconnected if no subscribe has been received within 5 seconds.

caution

To receive feed messages, you must send a subscribe message or you are disconnected in 5 seconds.

// Request
// Subscribe to ETH-USD and ETH-EUR with the level2, heartbeat and ticker channels,
// plus receive the ticker entries for ETH-BTC and ETH-USD
{
  "type": "subscribe",
  "product_ids": ["ETH-USD", "ETH-EUR"],
  "channels": [
    "level2",
    "heartbeat",
    {
      "name": "ticker",
      "product_ids": ["ETH-BTC", "ETH-USD"]
    }
  ]
}

You receive a subscriptions message as a response to an subscribe message.

Unsubscribe​

To unsubscribe from channel/product pairs, send an unsubscribe message. The structure is equivalent to subscribe messages.

tip

You can also unsubscribe from a channel entirely by providing no product IDs.

// Request
{
  "type": "unsubscribe",
  "channels": ["heartbeat"]
}

You receive a subscriptions message as a response to an unsubscribe message.

Specifying Product IDs​

There are two ways to specify the product IDs to listen for within each channel:

  • You can define product IDs for an individual channel.
  • You can define product IDs at the root of the object—this adds them to all the channels you subscribe to.
// Request
{
  "type": "unsubscribe",
  "product_ids": ["ETH-USD", "ETH-EUR"],
  "channels": ["ticker"]
}

Subscriptions Message​

A subscriptions message is sent in response to both subscribe and unsubscribe messages.

In response to a subscribe message, the subscriptions message lists all channels you are subscribed to. Subsequent subscribe messages add to the list of subscriptions. If you subscribed to a channel without being authenticated, you will remain in the unauthenticated channel.

// Response
{
  "type": "subscriptions",
  "channels": [
    {
      "name": "level2",
      "product_ids": ["ETH-USD", "ETH-EUR"]
    },
    {
      "name": "heartbeat",
      "product_ids": ["ETH-USD", "ETH-EUR"]
    },
    {
      "name": "ticker",
      "product_ids": ["ETH-USD", "ETH-EUR", "ETH-BTC"]
    }
  ]
}

Websocket Compression Extension​

Websocket compression, defined in RFC7692, compresses the payload of WebSocket messages which can increase total throughput and potentially reduce message delivery latency. The permessage-deflate extension can be enabled by adding the extension header. Currently, it is not possible to specify the compression level.

From RFC7692:

The simplest "Sec-WebSocket-Extensions" header in a client (or server's) opening handshake to offer (or accept) use of the "permessage-deflate" extension looks like this:

    GET wss://ws-feed.exchange.coinbase.com
       Sec-WebSocket-Extensions: permessage-deflate

Sequence Numbers​

Most feed messages contain a sequence number. Sequence numbers are increasing integer values for each product, with each new message being exactly one sequence number greater than the one before it.

Sequence numbers that are greater than one integer value from the previous number indicate that a message has been dropped. Sequence numbers that are less than the previous number can be ignored or represent a message that has arrived out of order.

In either situation you may need to perform logic to make sure your system is in the correct state.

caution

Even though a WebSocket connection is over TCP, the WebSocket servers receive market data in a manner that can result in dropped messages. Your feed consumer should be designed to handle sequence gaps and out of order messages, or should use channels that guarantee delivery of messages.

tip

To guarantee that messages are delivered and your order book is in sync, consider using the level2 channel.

End-to-end Example​

Below is an end-to-end example for Python that handles authentication and connection to the Exchange WebSocket. This code sample can be cloned at Coinbase Samples.


import asyncio, base64, hashlib, hmac, json, os, time, websockets

API_KEY = str(os.environ.get('API_KEY'))
PASSPHRASE = str(os.environ.get('PASSPHRASE'))
SECRET_KEY = str(os.environ.get('SECRET_KEY'))

URI = 'wss://ws-feed.exchange.coinbase.com'
SIGNATURE_PATH = '/users/self/verify'

channel = 'level2'
product_ids = 'ETH-USD'


async def generate_signature():
    timestamp = str(time.time())
    message = f'{timestamp}GET{SIGNATURE_PATH}'
    hmac_key = base64.b64decode(SECRET_KEY)
    signature = hmac.new(
        hmac_key,
        message.encode('utf-8'),
        digestmod=hashlib.sha256).digest()
    signature_b64 = base64.b64encode(signature).decode().rstrip('\n')
    return signature_b64, timestamp


async def websocket_listener():
    signature_b64, timestamp = await generate_signature()
    subscribe_message = json.dumps({
        'type': 'subscribe',
        'channels': [{'name': channel, 'product_ids': [product_ids]}],
        'signature': signature_b64,
        'key': API_KEY,
        'passphrase': PASSPHRASE,
        'timestamp': timestamp
    })

    while True:
        try:
            async with websockets.connect(URI, ping_interval=None) as websocket:
                await websocket.send(subscribe_message)
                while True:
                    response = await websocket.recv()
                    json_response = json.loads(response)
                    print(json_response)

        except (websockets.exceptions.ConnectionClosedError, websockets.exceptions.ConnectionClosedOK):
            print('Connection closed, retrying..')
            await asyncio.sleep(1)


if __name__ == '__main__':
    try:
        asyncio.run(websocket_listener())
    except KeyboardInterrupt:
        print("Exiting WebSocket..")

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