l2:perps

Full 20-level depth snapshot. Subscribe to a single channel and use tier tag filtering to select your update frequency.

Channel: l2:perps:{instrument} Example: l2:perps:BTC_USDC-PERPETUAL

Payload

{
  "timestamp": 1704067200000,
  "bids": [
    ["50000", "1000", "3"],
    ["49900", "500", "2"]
  ],
  "asks": [
    ["50100", "800", "2"],
    ["50200", "400", "1"]
  ]
}

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

Level array elements:

Index	Type	Description
0	string	Price
1	string	Amount (notional USD)
2	string	Number of orders at this level

Tag Filtering

Each publication carries a tier tag. Filter by tier to select your update frequency.

Tag value	Frequency	Use case
no filter	Every 100ms (all tiers)	HFT / algo trading
`100`	Every 100ms	Same as no filter, explicit tier match
`250`	Every 250ms	Active trading
`500`	Every 500ms	Dashboards / casual

Subscribe — Protobuf SDK

All updates (100ms — HFT)

No tag filter — receives every publication.

import { Centrifuge } from "centrifuge/build/protobuf";

const client = new Centrifuge("wss://staging.kyan.sh/stream/websocket?format=protobuf");
const sub = client.newSubscription("l2:perps:BTC_USDC-PERPETUAL", { since: {} });

sub.on("publication", (ctx) => {
  const data = ctx.data instanceof Uint8Array
    ? JSON.parse(new TextDecoder().decode(ctx.data))
    : ctx.data;

  const { timestamp, bids, asks } = data;
});

sub.subscribe();
client.connect();

Filtered: 250ms updates

const sub = client.newSubscription("l2:perps:BTC_USDC-PERPETUAL", {
  since: {},
  tagsFilter: { key: "tier", cmp: "eq", val: "250" }
});

Filtered: 500ms updates

const sub = client.newSubscription("l2:perps:BTC_USDC-PERPETUAL", {
  since: {},
  tagsFilter: { key: "tier", cmp: "eq", val: "500" }
});

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
Index Price	Spot price for the underlying pair. Basis at each level = level price - index.
Funding Rate	Funding rate for the instrument. Derived from the basis (perp price - index).
Perps BBO	Top-of-book summary extracted from this depth data.
L2 Grouped	Price-bucketed aggregation of the same orderbook.
Options BBO	Options market IV and skew data for the same underlying.
Order Lifecycle	Your order state, fills, and cancellations.
Trades (Perps)	Public trade tape showing executions against this book.