Proposal: Switch to level 2 book about coinbase-pro-node HOT 14 CLOSED

In my mind, ability to choose level (1-3) of sync order book would be the great feature.

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@pranksterN1 No exact date, but it shouldn't be much later than the first week of September.

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@pranksterN1 Level 3 books are way more complex than level 2 books. While I agree that this would be generally a nice feature, the goal of this to both improve the performance and reduce the complexity of this library.

Level 1 might be a nice future addition, but as the level 2 book already contains that information having that probably suffices.

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Is this about the Orderbook Sync (Websocket feed)? If yes:

According to the API documentation, level 2 only returns the top 50 bids and asks. How is the client supposed to keep the full order book in sync, without knowing the state of the remaining bids and asks?

As far as I can tell from the docs, level 2 cannot be configured for the Websocket feed. (However, https://www.gdax.com does seem to provide a channels parameter though it is undocumented so I deem it unfit.)

It'd be great to use level 2, instead of level 3, to keep a synchronized full order book, but with the current API I'm unsure how.

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The website already retrieves full level 2 snapshots via the feed. We are currently finishing up the flow for subscribing to channels, as soon as that's done the docs will be updated accordingly.

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@fb55,
Do you have an approximate date for completing that work ?

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We finally rolled this out yesterday. Docs are live at https://docs.gdax.com/#websocket-feed — this hasn't been officially announced yet (we will do so next week), but for now feel free to experiment with it.

The trading toolkit we published this week already uses the new channels and I'd like to switch this library to something similar.

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@fb55, Thank you for your answers.
I faced the problem with the new ws feed API.
Could you clarify why the first message I received doesn't have side, time, trade_id, last_size fields?
Or should I skip all messages until "subscriptions" message will be received?

{  
   "type":"subscribe",
   "product_ids":[  
      "BTC-USD"
   ],
   "channels":[  
      "ticker"
   ]
}

{  
   "type":"ticker",
   "sequence":4077559280,
   "product_id":"BTC-USD",
   "price":"3595.00000000",
   "open_24h":"3869.02000000",
   "volume_24h":"16938.74579088",
   "low_24h":"3595.00000000",
   "high_24h":"3875.54000000",
   "volume_30d":"470252.79261935",
   "best_bid":"3592.84",
   "best_ask":"3595.04"
}

{  
   "type":"subscriptions",
   "channels":[  
      {  
         "name":"ticker",
         "product_ids":[  
            "BTC-USD"
         ]
      }
   ]
}

{  
   "type":"ticker",
   "sequence":4077560540,
   "product_id":"BTC-USD",
   "price":"3598.65000000",
   "open_24h":"3869.02000000",
   "volume_24h":"16938.74579365",
   "low_24h":"3598.65000000",
   "high_24h":"3875.54000000",
   "volume_30d":"470252.79262212",
   "best_bid":"3592.9",
   "best_ask":"3598.65",
   "side":"buy",
   "time":"2017-09-22T13:29:42.602000Z",
   "trade_id":21221450,
   "last_size":"0.00000277"
}

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The first message is intended to give you an instant impression of the current market conditions, analogous to the snapshot message you get when you subscribe to the level 2 channel. Definitely something we need to document.

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Was this ever rolled out? I see in the orderbook_sync lib that there is a "bookLevel = 3" argument but changing it to level 2 results in assertion errors.

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Was this ever rolled out? I see in the orderbook_sync lib that there is a "bookLevel = 3" argument but changing it to level 2 results in assertion errors.

@Arombalski The main GDAX Websocket API added level 2 support to the websocket feed, but no, this has not been implemented in gdax-node yet. OrderbookSync still relies on level 3.

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Hi,
I am using orderbookSync of gdax-node and I am facing same issue where orderbook data randomly becomes stale. Is there a timeline in gdax-node to integrate level2? Or if there is another way of keeping my orderbook updated (writing own logic to use level2 updates doesn't work either as mentioned above by few members)? Does gdax trading toolkit help with keeping orderbook in sync with level2 reliably?

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Hello,
Is this done yet or planned for anytime soon?

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Hi, we are closing out PRs + Issues as this project is being archived.

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