Websocket Market Data

The Websocket endpoint helps the user to retrieve the data for the instruments in almost realtime. It is the most efficient way to retrieve the data as it requires less amount of resources which in turn reduces the latency to a very large extent.

Connection

The endpoint for websocket connection is wss://wss.tiqs.trading. To establish a new connection, the user needs to pass on the following query params

wsURL = "wss://wss.tiqs.trading?appId=<YOUR_APP_ID>&token=<YOUR_TOKEN>"

Sending Message

The websocket receives a JSON string in the following format for the quotes

Payload Structute

{
  "code": "SUBSCRIPTION MODE",
  "mode": "QUOTE MODE",
  "QUOTE MODE": "Array of Tokens"
}

Sample Payload for subscribing ltpc mode

{
  "code": "sub",
  "mode": "ltpc",
  "ltpc": [26009, 26000]
}

Sample Payload for subscribing ltp mode

{
  "code": "sub",
  "mode": "ltp",
  "ltp": [26009, 26000]
}

Sample Payload for subscribing quote mode

{
  "code": "sub",
  "mode": "quote",
  "quote": [26009, 26000]
}

Sample Payload for subscribing full mode

{
  "code": "sub",
  "mode": "full",
  "full": [26009, 26000]
}

Subscription Modes

These are the following subscription modes

Subscription Mode	Description
sub	For Subscribing the Tokens
unsub	For Unsubscribing the Tokens

Quotes Modes

These are the following quotes modes which can be subscribed

Quote Mode	Description	Packet Size
ltpc	The packet contains info about LTP data with closing Price	17 bytes
ltp	The packet contains info about LTP data without closing Price	13 bytes
quote	The packet contains info except market depth	93 bytes
full	The packet contains info including market depth	241 bytes

Market Data Structure for LTPC

Position	Field	Type
0 - 4	Token	`int32`
4 - 8	LTP	`int32`
8 - 9	Net change indicator	`int32`
9 - 13	Net change	`int32`
13 - 17	Previous Trading Day Close Price	`int32`

Note

The extra LTPC Mode is there to have the Previous Day Closing Price as the net change is based on the previous day Settlement Price instead of the Closing Price

Market Data Structure for LTP, Quote and Full

Position	Field	Type
0 - 4	Token	`int32`
4 - 8	LTP	`int32`
8 - 9	Net change indicator	`int8`
9 - 13	Net change	`int32`
13 - 17	LTQ	`int32`
17 - 21	Avg Price	`int32`
21 - 29	Total Buy Quantity	`int64`
29 - 37	Total Sell Quantity	`int64`
37 - 41	Open	`int32`
41 - 45	High	`int32`
45 - 49	Close	`int32`
49 - 53	Low	`int32`
53 - 61	Volume	`int64`
61 - 65	LTT	`int32`
65 - 69	Time	`int32`
69 - 77	OI	`int64`
77 - 85	OI day high	`int64`
85 - 93	OI day low	`int64`
93 - 97	Lower limit	`int32`
97 - 101	Upper limit	`int32`
101 - 241	Market Depth	`byte[]`

Market Depth Structure

The Market Depth Structure consists of 5 Bids and 5 Offers. Each of the Bid and Offer is 14 byte packet. Each Packet of 14 bytes is a combination of quantity(int64, 8 bytes), price (int32, 4 bytes) and orders (int16, 2 bytes)

Position	Field	Type
101 - 115	Bid-1	`int64`, `int32`, `int16`
115 - 129	Bid-2	`int64`, `int32`, `int16`
129 - 143	Bid-3	`int64`, `int32`, `int16`
143 - 157	Bid-4	`int64`, `int32`, `int16`
157 - 171	Bid-5	`int64`, `int32`, `int16`
171 - 185	Offer-1	`int64`, `int32`, `int16`
185 - 199	Offer-2	`int64`, `int32`, `int16`
199 - 213	Offer-3	`int64`, `int32`, `int16`
213 - 227	Offer-4	`int64`, `int32`, `int16`
227 - 241	Offer-5	`int64`, `int32`, `int16`