MtGox/API/Streaming

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Revision as of 11:49, 6 March 2012 by Seventoes (talk | contribs) (Add wallet update description)
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Real time streaming data may be obtained over the streaming API, implemented in Socket.io[1]. The original WebSocket API[2] is deprecated as of 11-Nov-2011.

Connecting

The following JavaScript code establishes a connection in the browser: 

<script src="https://socketio.mtgox.com/socket.io/socket.io.js"></script>
<script>
    var conn = io.connect('https://socketio.mtgox.com/mtgox');
    conn.on('message', function(data) {
        // Handle incoming data object.
    });
</script>

The session ID expires after 30 seconds

Handling Events

Socket.io exposes a simple interface for handling events. Handling message events is shown above, but there are other events that may be handled: 

conn.on('connect',    onConnect);
conn.on('disconnect', onDisconnect);
conn.on('error',      onError);
conn.on('message',    onMessage);

Incoming Data

Data arrives as a full object instead of as JSON text, eliminating the need to parse the data in the JavaScript handler. Messages that come across the socket to trigger the message event will contain the following minimum components: 

{
  "op":<OPERATION_TYPE>
}

The OPERATION_TYPE field may take these values:

OPERATION_TYPE Description
subscribe Notification that the user is subscribed to a channel
unsubscribe Messages will no longer arrive over the channel
remark A server message, usually a warning
private The operation for depth, trade, and ticker messages
result The response for op:call operations

op:subscribe and op:unsubscribe

The subscribe and unsubscribe message data are very simple, containing the channel and the operation. 

{
  "channel":<CHANNEL_ID>,
  "op":"subscribe" OR "unsubscribe"
}

Some of the channels are:

Channel ID Description
dbf1dee9-4f2e-4a08-8cb7-748919a71b21 Trades
d5f06780-30a8-4a48-a2f8-7ed181b4a13f Ticker
24e67e0d-1cad-4cc0-9e7a-f8523ef460fe Depth

op:remark

The remark operation contains message and success fields. 

{
  "op":"remark",
  "message":<MESSAGE FROM THE SERVER>,
  "success":<boolean>
}

op:private

The payloads of the op:private messages contain the real time market information. Each message follows this form: 

{
  "channel":<CHANNEL_ID>,
  "op":"private",
  "private":<MESSAGE_TYPE>,
  <MESSAGE_TYPE>:<DATA_PAYLOAD>
}

The MESSAGE_TYPE field may take the values:

MESSAGE_TYPE Description
ticker Ticker messages
trade Trades, as they occur
depth Orders placed or removed
result The result of a websocket-encapsulated version 1 HTTP API request

Ticker

Ticker messages contain the current inside Bid and Ask as well as daily highs, lows, and volume. The fields contained in the ticker match those defined in the version 1.0 API above. All fields contain currency, display, value, and value_int entries. 

{
  "channel":"d5f06780-30a8-4a48-a2f8-7ed181b4a13f",
  "op":"private",
  "origin":"broadcast",
  "private":"ticker",
  "ticker":{
    "avg":{
      "currency":"USD",
      "display":"$2.26847",
      "value":"2.26847",
      "value_int":"226847"
    },
    "buy":{...},
    "high":{...},
    "last":{..},
    "last_local":{...},
    "last_orig":{...},
    "low":{...},
    "sell":{...},
    "vol":{
      "currency":"BTC",
      "display":"118,696.02104208",
      "value":"118696.02104208",
      "value_int":"11869602104208"
    },
    "vwap":{...}
  }
}

Trade

{
  "channel":"dbf1dee9-4f2e-4a08-8cb7-748919a71b21",
  "op":"private",
  "origin":"broadcast",
  "private":"trade",
  "trade":{
    "amount":2.71,
    "amount_int":"271000000",
    "date":1310279340,
    "item":"BTC",
    "price":14.43,
    "price_currency":"USD",
    "price_int":"1443000",
    "primary":"Y",
    "properties":"limit, mixed_currency",
    "tid":"1310279340877902",
    "trade_type":"bid",
    "type":"trade"
  }
}

trade contains the following:

Name Value
amount the traded amount in item (BTC), float, deprecated
amount_int the traded amount * 1E8
date unix timestamp of trade
item What was this trade about
price price per unit, float, deprecated
price_int price in smallest unit as integer (5 decimals of USD, 3 in case of JPY)
price_currency currency in which trade was completed
tid Trade id (big integer, which is in fact trade timestamp in microseconds)
trade_type Did this trade result from the execution of a bid or a ask?

Depth

Changes to the market depth data are broadcast so an up-to-date market depth can be kept by clients. 

{
  "channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe",
  "depth":{
    "currency":"USD",
    "item":"BTC",
    "now":"1323644358437819",
    "price":"14.43",
    "price_int":"1443000",
    "total_volume_int":"849766000",
    "type":1,
    "type_str":"ask",
    "volume":"-2.71",
    "volume_int":"-271000000"
  },
  "op":"private",
  "origin":"broadcast",
  "private":"depth"
}

depth contains the following:

Name Value
currency the currency affected
item the item (BTC)
price price as a float, deprecated
price_int the price at which volume change happened (5 decimal for USD, 3 for JPY)
type 1=ask, 2=bid. deprecated, use type_str
type_str type of order at this depth, either "ask" or "bid"
volume the volume change as float, deprecated
volume_int volume change * 1E8

op:result

Output from HTTP API version 1 requests that were sent over the websocket. 

{
    "id":<REQUEST ID>,
    "op":"result",
    "result": {
        ...
    }
}

"result" contains the result of the call the same as if it were called over the HTTP API. <REQUEST ID> is the ID chosen by you when the request was sent.

Private per-account messages

The streaming API provides a private channel for every user which receives updates for account-related activities like new orders being created. To subscribe, do: 

{
    "op":"mtgox.subscribe",
    "key":<PRIVATE_IDKEY>
}

<PRIVATE_IDKEY> is obtained by sending a request to generic/private/idkey in the version 1 API. Either over HTTP or through the websocket using op:call.

user_order

user_order is sent when a the status of a user's order is changed. 

{
    "channel":  <USER CHANNEL GUID>
    "op": "private".
    "origin": "broadcast",
    "private": "user_order".
    "user_order": {
        "amount": {
            "currency": "BTC",
            "display": "1.00000000\U00a0BTC",
            "value": "1.00000000",
            "value_int": "100000000"
        },
        "currency": "USD",
        "date": "1330522328",
        "item": "BTC",
        "oid": <ORDER GUID>,
        "price": {
            "currency": "USD",
            "display": "$10.00000",
            "value": "10.00000",
            "value_int": "1000000",
        };
        "status": <ORDER STATUS>,
        "type": <ORDER TYPE>,
    };
}
Name Value
USER CHANNEL GUID GUID of private user channel
ORDER GUID GUID of order
ORDER STATUS New status of the order. Valid states are: pending, post-pending, open, executing, invalid, or stop.
ORDER TYPE bid or ask

When an order is cancelled, the "user_order" field only contains the "oid", and none of the other fields.

wallet

Updates to the user's wallet balance. 

{
    "channel": <USER CHANNEL GUID>,
    "op": "private",
    "origin": "broadcast",
    "private": "wallet",
    "wallet": {
        "op": <UPDATE SOURCE>,
        "amount": {
            ...
        },
        "info": <UPDATE INFO>,
        "ref": <REFERENCE CODE>,
        "balance": {
            ...
        }
    }
}

"..." values above are normal 'amount' type dictionaries containing "currency", "value", "value_int", and "display".

Name Value
USER CHANNEL GUID GUID of private user channel
ORDER GUID GUID of order
UPDATE SOURCE Cause of the balance update. Can be: in, out, earned, spent, withdraw, or deposit
UPDATE INFO Human readable string describing the update. Same string you see in the account history on mtgox.com
REFERENCE CODE Reference code for bank transfers. "null" if this isn't a bank transfer.

Description of the different source types:

Source Description
deposit Account deposits
withdraw Account withdrawals
earned Amount of USD gained from a trade
spent Amount of USD used for a trade
in Amount of BTC gained from a trade
out Amount of BTC used for a trade
fee MtGox fees

Outgoing commands

Direct commands

Commands that can be sent without authentication

unsubscribe

Stop receiving messages from a channel 

{
    "op":"unsubscribe", 
    "channel":<CHANNEL ID>
}

Responds with an identical message to confirm

mtgox.subscribe

Subscribe to a channel to start receiving messages from it. 

{
    "op": "mtgox.subscribe",
    "type": "ticker"
}

"type" can be ticker, trades, or depth.

Authenticated commands

These commands require an API key and secret pair to sign requests. Any of the HTTP API version 1 methods can be called. Responses are op:result 

{
    "op":"call",
    "id":<REQUEST ID>,
    "call":<BASE-64 ENCODED SIGNED REQUEST>,
    "context":"mtgox.com"
}

<REQUEST ID> can be any string, it's used to identify the response as belonging to this request when an answer comes back. md5'ing your nonce is a good way to get an id.

"call" must be a base-64 encoded string consisting of, in order: an API key, a signed copy of the request, and the request text itself.

The queries themselves look like: 

{
    "id":<REQUEST ID>,
    "call":<HTTP API ENDPOINT>,
    "nonce":<REQUEST NONCE>,
    "params":<REQUEST PARAMETERS>,
    "item":"BTC"
}

<HTTP API ENDPOINT> is the last two path components of any version 1 API endpoint, for example private/info, or public/cancelledtrades.

<REQUEST PARAMETERS> is optional for any request that doesn't have parameters.

The signing process is similar to the HTTP API, but because we can't send headers in an open websocket, the API key and signed request are simply prepended to the actual query data and base64 encoded. Reference implementations are available at https://github.com/MtGox/websocket

Here's a sample of how to create a valid request in PHP 5.3: 

$nonce = explode(' ', microtime(false));
$nonce = $nonce[1].substr($nonce[0], 2, 6);
$id = md5($nonce); // id can be anything to recognize this call
$query = array('call' => $call, 'params' => $params, 'item' => $item, 'currency' => $currency, 'id' => $id, 'nonce' => $nonce);
$query = json_encode($query);
// generate signature
$sign = hash_hmac('sha512', $query, base64_decode($apiSecret), true);
// prefix signature to query
$query = pack('H*', str_replace('-','',$apiKey)).$sign.$query;
// send query
$call = array('op' => 'call', 'call' => base64_encode($query), 'id' => $id, 'context' => 'mtgox.com');
// $call can now be pushed out to the websocket

examples

ticker

javascript, using hookio :

http://www.youtube.com/watch?v=KD5ljtNK72U

http://github.com/hookio

http://github.com/cronopio/hook.io-mtgox

Another node.js project, using plain websockets (largely based on cronopio's work) :

https://github.com/dlanod/node-mtgox-websocket-client

A python example : https://github.com/3M3RY/python-mtgox

arbitrage

https://github.com/goteppo/ArBit

websocket

https://github.com/cronopio/hook.io-ws

https://github.com/dlanod/node-mtgox-websocket-client


References

  1. ↑ Socket.io forum announcement by MagicalTux: https://bitcointalk.org/index.php?topic=14412.msg613271#msg613271
  2. ↑ Original WebSocket thread: https://bitcointalk.org/index.php?topic=5855.msg86219
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