l2:perps:grouped

Price-bucketed depth snapshot. Prices are floored to the nearest bucket boundary (e.g., 2495.37 at bucket 0.5 becomes 2495.0). Includes cumulative depth for depth chart rendering. Published every 250ms when the book has updates.

Channel: l2:perps:grouped:{bucket}:{instrument} Example: l2:perps:grouped:0.5:ETH_USDC-PERPETUAL

Payload

{
  "timestamp": 1704067200000,
  "bids": [
    ["2495", "15000.5", "15000.5"],
    ["2494.5", "8200", "23200.5"]
  ],
  "asks": [
    ["2495.5", "12000", "12000"],
    ["2496", "9500", "21500"]
  ]
}

Field	Type	Description
`timestamp`	integer	Unix timestamp in milliseconds
`bids`	array	Bid levels, best (highest) first. Each: `[price, amount, cumulative]`
`asks`	array	Ask levels, best (lowest) first. Each: `[price, amount, cumulative]`

Level array elements:

Index	Type	Description
0	string	Bucket boundary price (floored)
1	string	Total amount at this bucket (notional USD)
2	string	Cumulative amount from best to this level

Available Buckets

Instrument	Buckets
`ETH_USDC-PERPETUAL`	`0.1`, `0.2`, `0.5`, `1`, `10`, `100`
`BTC_USDC-PERPETUAL`	`1`, `2`, `5`, `10`, `100`, `1000`

sub.on("publication", (ctx) => {
  const { timestamp, bids, asks } = ctx.data;
  // Each level: [bucketPrice, amount, cumulativeAmount]
  for (const [price, amount, cumulative] of bids) {
    // price, amount, cumulative are all strings
  }
});

Recovery

Subscribe with since: {} to receive the last cached snapshot as the first publication, before any live updates. On reconnect, the SDK automatically recovers the latest snapshot.