Realtime Market Data (WebSocket)¶

This section documents Nubra's WebSocket streams for real-time market data in the REST API. Use these streams for low-latency updates on indexes, instruments, order books, option chains, and Greeks.

Available WebSocket Streams¶

Stream	Channel	Description
Index Data	`index`	Live index and instrument ticks including LTP, volume, and change percent.
Index Bucket (OHLCV)	`index_bucket`	Time-bucketed OHLCV data for indexes and instruments.
Order Book	`orderbook`	Market depth with bid/ask levels and LTP.
Greeks	`greeks`	Tick-level option Greeks for option instruments.
Option Chain	`option`	Full option chain updates by asset and expiry.

WebSocket Stream Controls¶

These controls modify how WebSocket streams behave across channels, including update frequency and market mode.

Feature	Command	Scope	Description
Stream Interval	`socket_interval`	Per channel	Controls the update frequency of WebSocket streams (tick, seconds, or minutes).
Post Market Data	`post_market`	Connection-level	Enables static post-market data for testing and validation after market hours.

Message Envelope (GenericData)¶

All WebSocket payloads are wrapped in a common envelope.

message GenericData {
  string key = 1;
  google.protobuf.Any data = 2;
}

key identifies the message type.
data contains one of the stream payloads defined below.

1. Index Data¶

Channel: index

SUBSCRIBE:   batch_subscribe [token] index {"indexes":["BANKNIFTY","TCS","RELIANCE"]} NSE
UNSUBSCRIBE: batch_unsubscribe [token] index {"indexes":["BANKNIFTY","TCS","RELIANCE"]} NSE

Notes: - exchange is specified at the message level (e.g., NSE, BSE). Send separate messages per exchange. - Both index symbols and instrument symbols go in the indexes array. The response separates them into indexes and instruments. - The JSON object must not contain spaces.

Payload (Proto)¶

message BatchWebSocketIndexMessage {
  int64 timestamp = 1;
  repeated WebSocketMsgIndex indexes = 2;
  repeated WebSocketMsgIndex instruments = 3;
}

message WebSocketMsgIndex {
  string indexname = 1;
  int64 timestamp = 2;
  int64 index_value = 3;
  int64 high_index_value = 4;
  int64 low_index_value = 5;
  int64 volume = 6;
  float changepercent = 7;
  int64 tick_volume = 8;
  int64 prev_close = 9;
  string exchange = 10;
  int64 volume_oi = 11;
}

2. Index Bucket (OHLCV)¶

Channel: index_bucket

SUBSCRIBE:   batch_subscribe [token] index_bucket {"indexes":["BANKNIFTY","TCS","RELIANCE"]} 2m NSE
UNSUBSCRIBE: batch_unsubscribe [token] index_bucket {"indexes":["BANKNIFTY","TCS","RELIANCE"]} 2m NSE

Notes: - interval and exchange are specified at the message level. Send separate messages per exchange and interval. - Both index symbols and instrument symbols go in the indexes array. The response separates them into indexes and instruments. - The JSON object must not contain spaces. - Interval values are represented in the payload as an Interval enum. The subscribe command still accepts the string form (e.g., 2m).

Supported Intervals¶

The server accepts the following interval strings in the subscribe command:

1s, 5s, 10s, 30s
1m, 2m, 3m, 5m, 10m, 15m, 30m
1h, 2h, 4h
1d
1w
1mt
1yr

Important: Although the Interval enum includes values from INTERVAL_INVALID = 0 through INTERVAL_1_YEAR = 16, the following enum values are currently not available for index_bucket: - INTERVAL_INVALID = 0 - INTERVAL_1_SECOND = 1 - INTERVAL_10_SECOND = 2 - INTERVAL_1_YEAR = 16

Payload (Proto)¶

message BatchWebSocketIndexBucketMessage {
  int64 timestamp = 1;
  repeated WebSocketMsgIndexBucket indexes = 2;
  repeated WebSocketMsgIndexBucket instruments = 3;
}

message WebSocketMsgIndexBucket {
  string indexname = 1;
  string exchange = 2;
  Interval interval = 3;
  int64 timestamp = 4;
  int64 open = 5;
  int64 high = 6;
  int64 low = 7;
  int64 close = 8;
  int64 bucket_volume = 9;
  int64 tick_volume = 10;
  int64 cumulative_volume = 11;
  int64 bucket_timestamp = 12;
}

Interval Enum (Proto)¶

enum Interval {
  INTERVAL_INVALID = 0;
  INTERVAL_1_SECOND = 1;
  INTERVAL_10_SECOND = 2;
  INTERVAL_1_MINUTE = 3;
  INTERVAL_2_MINUTE = 4;
  INTERVAL_3_MINUTE = 5;
  INTERVAL_5_MINUTE = 6;
  INTERVAL_10_MINUTE = 7;
  INTERVAL_15_MINUTE = 8;
  INTERVAL_30_MINUTE = 9;
  INTERVAL_1_HOUR = 10;
  INTERVAL_2_HOUR = 11;
  INTERVAL_4_HOUR = 12;
  INTERVAL_1_DAY = 13;
  INTERVAL_1_WEEK = 14;
  INTERVAL_1_MONTH = 15;
  INTERVAL_1_YEAR = 16;
}

Use these mappings to interpret WebSocketMsgIndexBucket.interval:

1m → INTERVAL_1_MINUTE (3)
2m → INTERVAL_2_MINUTE (4)
3m → INTERVAL_3_MINUTE (5)
5m → INTERVAL_5_MINUTE (6)
10m → INTERVAL_10_MINUTE (7)
15m → INTERVAL_15_MINUTE (8)
30m → INTERVAL_30_MINUTE (9)
1h → INTERVAL_1_HOUR (10)
2h → INTERVAL_2_HOUR (11)
4h → INTERVAL_4_HOUR (12)
1d → INTERVAL_1_DAY (13)
1w → INTERVAL_1_WEEK (14)
1mt → INTERVAL_1_MONTH (15)

Note: Even if the subscribe command allows 1s, 5s, 10s, 30s, the payload enum set shown above does not include 5s or 30s values.

3. Order Book¶

Channel: orderbook

Provides real-time market depth (bids/asks), LTP, volume, and trade quantity for subscribed instruments.

Full Depth (Default – up to 20 levels)¶

SUBSCRIBE:   batch_subscribe [token] orderbook {"instruments":[1120031,73009]}
UNSUBSCRIBE: batch_unsubscribe [token] orderbook {"instruments":[1120031,73009]}

By default, the order book stream sends up to 20 bid and ask levels per instrument.

Order Book Depth (Selective Levels)¶

Users can subscribe to a specific depth level (1–20) instead of receiving all 20 levels.

MESSAGE: batch_subscribe [token] orderbook_depth 4

Notes: - Depth levels can range from 1 to 20. - This setting applies to the orderbook channel. - Example: orderbook_depth 4 will stream top 4 bid and ask levels only, reducing bandwidth and processing load. - If not specified, the default depth is 20 levels.

Payload (Proto)¶

message BatchWebSocketOrderbookMessage {
  int64 timestamp = 1;
  repeated WebSocketMsgOrderBook instruments = 2;
}

message WebSocketMsgOrderBook {
  uint32 inst_id = 1;
  int64 timestamp = 2;
  repeated OrderBookLevel bids = 3;
  repeated OrderBookLevel asks = 4;
  int64 ltp = 5;
  int64 ltq = 6;
  int64 volume = 7;
  int64 ref_id = 8;
}

message OrderBookLevel {
  int64 price = 1;
  int64 quantity = 2;
  int64 orders = 3;
}

Notes¶

The number of bids and asks entries in the payload depends on the subscribed order book depth.
bids[0] and asks[0] represent the best bid and best ask respectively.
Depth subscription helps optimize performance for latency-sensitive strategies.

4. Greeks¶

Channel: greeks

SUBSCRIBE:   batch_subscribe [token] greeks {"instruments":[1120031,1120032]}
UNSUBSCRIBE: batch_unsubscribe [token] greeks {"instruments":[1120031,1120032]}

Payload (Proto)¶

message BatchWebSocketGreeksMessage {
  int64 timestamp = 1;
  repeated WebSocketMsgOptionChainItem instruments = 2;
}

message WebSocketMsgOptionChainItem {
  int64 inst_id = 1;
  int64 ts = 2;
  int64 sp = 3;
  int32 ls = 4;
  int64 ltp = 5;
  float ltpchg = 6;
  float iv = 7;
  float delta = 8;
  float gamma = 9;
  float theta = 10;
  float vega = 11;
  int64 oi = 12;
  int64 volume = 13;
  int64 ref_id = 14;
  int64 prev_oi = 15;
  int64 price_pcp = 16;
}

5. Option Chain¶

Channel: option

SUBSCRIBE:   batch_subscribe [token] option [{"exchange":"NSE","asset":"RELIANCE","expiry":"20260224"},{"exchange":"BSE","asset":"SENSEX","expiry":"20260205"},{"exchange":"NSE","asset":"NIFTY","expiry":"20260203"}]
UNSUBSCRIBE: batch_unsubscribe [token] option [{"exchange":"NSE","asset":"RELIANCE","expiry":"20260224"},{"exchange":"BSE","asset":"SENSEX","expiry":"20260205"},{"exchange":"NSE","asset":"NIFTY","expiry":"20260203"}]

Notes: - The JSON array must not contain spaces. - Option chain updates are received in the older format: one packet per subscribed chain (not batched together).

Payload (Proto)¶

message WebSocketMsgOptionChainUpdate {
  string asset = 1;
  string expiry = 2;
  repeated WebSocketMsgOptionChainItem ce = 3;
  repeated WebSocketMsgOptionChainItem pe = 4;
  int64 atm = 5;
  int64 currentprice = 6;
  string exchange = 7;
}

Stream Interval Control¶

Users can control the update frequency of WebSocket streams by subscribing to a stream interval. This helps balance latency, bandwidth usage, and subscription limits.

Set Stream Interval¶

MESSAGE: batch_subscribe [token] socket_interval option 1m

Notes: - The stream interval applies to the specified channel (e.g., option, index, orderbook, etc.). - Interval settings are connection-level and affect all subsequent subscriptions on that channel unless changed. - If no interval is specified, the default behavior is tick-level streaming.

Supported Stream Intervals¶

The following interval strings are supported:

1s
5s
10s
30s
1m
5m
10m

Subscription Limits by Interval¶

Second-Based Intervals (Limited)¶

The following intervals have standard subscription limits:

1s
5s
10s
30s

Notes: - These intervals are subject to per-connection and per-channel subscription limits. - Recommended for latency-sensitive strategies requiring near real-time updates.

Minute-Based Intervals (Unlimited)¶

The following intervals currently have no subscription limits:

1m
5m
10m

Notes: - You can subscribe to any number of instruments when using these intervals. - Ideal for strategies focused on candle-based logic, scans, or lower-frequency signals. - Significantly reduces bandwidth and processing overhead compared to second-level streams.

Example¶

Subscribe to the option chain stream with 1-minute updates:

MESSAGE: batch_subscribe [token] socket_interval option 1m
MESSAGE: batch_subscribe [token] option [{"exchange":"NSE","asset":"NIFTY","expiry":"20260203"}]

Best Practices¶

Use second-based intervals only when necessary for execution or market-making strategies.
Prefer minute-based intervals for monitoring, analytics, and signal generation.
Combine socket_interval with features like order book depth control to further optimize performance.

Post Market Data¶

Post market data is available for testing and validation purposes. This data represents the end-of-day static snapshot of the market and does not stream live updates.

Enable Post Market Mode¶

MESSAGE: batch_subscribe [token] post_market true

Notes: - When enabled, WebSocket streams return static post-market data instead of live ticks. - Data remains unchanged for the duration of the session. - This mode is intended for: - Strategy testing - Backtesting validation - UI and integration development - Post market data is available only after the market has closed.

Key Characteristics¶

Static data (no real-time updates)
Uses the same payload structures as live streams
Safe to use without impacting live market limits
Ideal for non-market-hour testing and demos

Example Workflow¶

Enable post market mode and subscribe to an index stream:

MESSAGE: batch_subscribe [token] post_market true
MESSAGE: batch_subscribe [token] index {"indexes":["NIFTY","BANKNIFTY"]} NSE

Notes¶

Post market mode applies at the connection level.
To resume live data, reconnect and do not enable post_market.
Subscription limits may differ from live market streams.

Realtime Market Data (WebSocket)¶

Available WebSocket Streams¶

WebSocket Stream Controls¶

Message Envelope (GenericData)¶

1. Index Data¶

Subscribe / Unsubscribe¶

Payload (Proto)¶

2. Index Bucket (OHLCV)¶

Subscribe / Unsubscribe¶

Supported Intervals¶

Payload (Proto)¶

Interval Enum (Proto)¶

Interval Mapping (Subscribe String → Enum)¶

3. Order Book¶

Subscribe / Unsubscribe¶

Full Depth (Default – up to 20 levels)¶

Order Book Depth (Selective Levels)¶

Payload (Proto)¶

Notes¶

4. Greeks¶

Subscribe / Unsubscribe¶

Payload (Proto)¶

5. Option Chain¶

Subscribe / Unsubscribe¶

Payload (Proto)¶

Stream Interval Control¶

Set Stream Interval¶

Supported Stream Intervals¶

Subscription Limits by Interval¶

Second-Based Intervals (Limited)¶

Minute-Based Intervals (Unlimited)¶

Example¶

Best Practices¶

Post Market Data¶

Enable Post Market Mode¶

Key Characteristics¶

Example Workflow¶

Notes¶