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Market Quotes: Real-Time Order Book Data

The Market Quote API provides real-time order book snapshots for specified instruments.

Each market quote includes:

  • Bid and ask prices
  • Available quantities
  • Number of orders at each price level
  • Last traded price and volume

Nubra supports up to 20 levels of depth on both the bid and ask side, enabling advanced market microstructure and execution logic.

Market Quotes are typically used for:

  • Price discovery
  • Spread monitoring
  • Liquidity analysis
  • Execution and hedging strategies

Basic Usage Example

Code

from nubra_python_sdk.marketdata.market_data import MarketData
from nubra_python_sdk.start_sdk import InitNubraSdk, NubraEnv

# Initialize the Nubra SDK client
# Use NubraEnv.UAT for testing or NubraEnv.PROD for production
nubra = InitNubraSdk(NubraEnv.UAT)

# Initialize MarketData
mdInstance = MarketData(nubra)

# Fetch market quote (up to 5 levels)
quote = mdInstance.quote(ref_id=1842210, levels=5)

The ref_id must be obtained from the Instrument Tracker API
levels controls the bid/ask depth (0–20)

Sample Market Quote Response


  orderBook=OrderBook(
    ref_id=1842210,
    timestamp=1765187999950452423,
    bid=[
      OrderLevel(price=153870, quantity=477, num_orders=2),
      OrderLevel(price=153850, quantity=5015, num_orders=3),
      OrderLevel(price=153840, quantity=2, num_orders=2),
      OrderLevel(price=153830, quantity=569, num_orders=2),
      OrderLevel(price=153820, quantity=505, num_orders=2)
    ],
    ask=[
      OrderLevel(price=153970, quantity=1, num_orders=1),
      OrderLevel(price=154000, quantity=5720, num_orders=12),
      OrderLevel(price=154010, quantity=1132, num_orders=5),
      OrderLevel(price=154050, quantity=9, num_orders=4),
      OrderLevel(price=154100, quantity=551, num_orders=11)
    ],
    last_traded_price=153990,
    last_traded_quantity=2,
    volume=1336450
  )
Order Book Visualization

Visual representation of the same order book data

Accessing Market Quote Data

order_book = quote.orderBook

print(f"Reference ID: {order_book.ref_id}")
print(f"Timestamp: {order_book.timestamp}")
print(f"Last Traded Price: {order_book.last_traded_price}")
print(f"Last Traded Quantity: {order_book.last_traded_quantity}")
print(f"Volume: {order_book.volume}")
print(f"Bid Levels: {len(order_book.bid)}")
print(f"Ask Levels: {len(order_book.ask)}")

Bid & Ask Levels

print("Bid Orders:")
for bid in order_book.bid:
    print(f"Price: {bid.price}, Quantity: {bid.quantity}, Orders: {bid.num_orders}")

print("Ask Orders:")
for ask in order_book.ask:
    print(f"Price: {ask.price}, Quantity: {ask.quantity}, Orders: {ask.num_orders}")

Bid levels are ordered from highest to lowest price
Ask levels are ordered from lowest to highest price

Request Parameters

Parameter Type Description
ref_id int Instrument reference ID from Instrument Tracker
levels int Depth of bid/ask spread (0–20)

Response Structure

class OrderBookWrapper:
    orderBook: OrderBook

class OrderBook:
    ref_id: int
    timestamp: int
    bid: List[OrderLevel]
    ask: List[OrderLevel]
    last_traded_price: int
    last_traded_quantity: int
    volume: int

class OrderLevel:
    price: int
    quantity: int
    num_orders: int

Key Takeaways

  • Market Quotes provide real-time order book snapshots
  • Supports up to 20 depth levels
  • ref_id is mandatory and resolved via Instrument Tracker
  • Ideal for liquidity-aware and execution-focused strategies
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