l2:perps:grouped

Price-bucketed depth snapshot for depth chart rendering. Conservative bucketing: bids floor, asks ceil — each side rounds away from the spread so grouped depth never overstates near-spread liquidity. 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 (bids floored, asks ceiled)
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`

Subscribe — Raw WebSocket

const ws = new WebSocket("wss://staging.kyan.sh/stream/websocket");
let id = 0;

ws.onopen = () => ws.send(JSON.stringify({ id: ++id, connect: {} }));

ws.onmessage = (e) => {
  const msg = JSON.parse(e.data);

  if (Object.keys(msg).length === 0) { ws.send("{}"); return; } // ping

  if (msg.id === 1) {
    ws.send(JSON.stringify({
      id: ++id,
      subscribe: { channel: "l2:perps:grouped:0.5:ETH_USDC-PERPETUAL", recover: true },
    }));
    return;
  }

  if (msg.push?.pub) {
    const { timestamp, bids, asks } = msg.push.pub.data;
    // Each level: [bucketPrice, amount, cumulativeAmount] — all strings
    // bids: price floored to bucket boundary
    // asks: price ceiled to bucket boundary
  }
};

Recovery

Subscribe with since: {} to receive the last known snapshot on subscribe. On reconnect, the SDK automatically recovers.

Related channels

Channels providing related data.

Channel	Why
Perps L2	Raw ungrouped depth with exact prices and order counts. This channel is a bucketed aggregation of that data.
Perps BBO	Exact top-of-book prices. Grouped bucketing rounds away from the spread, so the first grouped level may differ from BBO.
Index Price	Spot price for the underlying pair.