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Order Book Data

Subscribes to real-time market depth data. While received through on_market_data, can be filtered using the orderbook subscription.

Usage

from nubra_python_sdk.ticker import websocketdata
from nubra_python_sdk.start_sdk import InitNubraSdk, NubraEnv


# Initialize the Nubra SDK client
nubra = InitNubraSdk(NubraEnv.UAT)

# Define callback functions

def on_orderbook_data(msg):
    print("[Orderbook] ", msg)

def on_connect(msg):
    print("[status]", msg)

def on_close(reason):
    print(f"Closed: {reason}")

def on_error(err):
    print(f"Error: {err}")

# Initialize WebSocket
socket = websocketdata.NubraDataSocket(
    client=nubra,
    on_orderbook_data=on_orderbook_data,
    on_connect=on_connect,
    on_close=on_close,
    on_error=on_error
    )

socket.connect()
#Subscribe to different data types 
socket.subscribe(["1746686"], data_type="orderbook")

#Infinite loop on the main thread. Nothing after this will run.
#You have to use the pre-defined callbacks to manage subscriptions.
socket.keep_running()
Attribute Data Type Description
ref_ids List[str] List of reference IDs to subscribe to (e.g., ["1746686"])

Response: 

# Response object structure
class OrderBookWrapper:
    ref_id: int                   # Reference ID
    timestamp: int                # Timestamp in Epoch
    last_traded_price: int       # Last traded price
    last_traded_quantity: int     # Last traded quantity
    volume: int                   # Total volume

    # Bids (Buy Orders)
    bids: List[Orders]            # List of Order objects

    # Asks (Sell Orders)
    asks: List[Orders]            # List of Order objects

class Orders:
    price: int                  # Order price
    quantity: int                 # Total quantity at this price
    num_orders: int               # Number of orders at this price

Error Handling

The WebSocket connection includes built-in error handling through the on_error callback. Common errors include: - Connection failures - Authentication errors - Subscription errors - Data parsing errors

Best Practices

  1. Always run WebSocket connections in a separate thread to prevent blocking the main application
  2. Implement proper error handling using the provided callbacks
  3. Use the keep_running() method to maintain the connection
  4. Close the connection properly when done using the close() method
  5. Monitor connection status using the on_connect and on_close callbacks
  6. Use the on_market_data callback as the primary data receiver, while using specific subscriptions to filter data types
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