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Market Data WebSocket

Stream real-time market data ticks as binary Protocol Buffers, automatically decoded by the SDK.

from blitzsdk.marketdata import MarketDataWebSocketClient

def on_message(decoded):
    # decoded is a protobuf MarketDataMessageBase object
    # Use decoded.WhichOneof("subtype") to check which field is set
    print(decoded)

client = MarketDataWebSocketClient(app_key="YOUR_KEY", user_id="YOUR_USER")
client.set_on_message(on_message)
client.set_on_connect(lambda: print("Connected"))
client.set_on_close(lambda code, reason: print("Disconnected:", code))
client.set_on_error(lambda e: print("Error:", e))
client.start()
client.subscribe([110010002000001, 110010000002885])

# To unsubscribe:
# client.unsubscribe([110010000002885])

using BlitzConnect.MarketData;

var mdWs = new MarketDataWebSocket("wss://{baseurl}/md-streaming/ws?key=YOUR_TOKEN");
mdWs.OnMessage += (msg) => Console.WriteLine(msg);
mdWs.OnMarketDepth += (d) => Console.WriteLine($"Depth: {d.InstrumentName} LTP={d.LTP}");
mdWs.OnTick += (t) => Console.WriteLine($"Tick: {t.InstrumentName} LTP={t.LTP}");
mdWs.OnConnected += () => Console.WriteLine("Connected");
mdWs.OnDisconnected += (code, reason) => Console.WriteLine($"Disconnected: {code}");
await mdWs.ConnectAsync();
await mdWs.SubscribeAsync(new List<long> { 110010002000001, 110010000002885 });

// To unsubscribe:
// await mdWs.UnsubscribeAsync(new List<long> { 110010000002885 });

Typed callbacks

Besides the generic on_message, the SDKs dispatch each decoded frame to a per-message-type callback:

def on_tick(t):
    print("TICK", t.InstrumentName, t.LTP)

def on_depth(d):
    print("DEPTH", d.InstrumentName, len(d.BestBidLevel), "bid levels")

def on_touchline(t):
    print("TOUCHLINE", t.InstrumentName, t.LTP)

def on_index(i):
    print("INDEX", i.InstrumentName, i.LTP)

def on_incremental(inc):
    print("INCREMENTAL", inc)

client.set_on_tick(on_tick)
client.set_on_depth(on_depth)
client.set_on_touchline(on_touchline)
client.set_on_index(on_index)          # receives both IndexDataMessage and IndexDataListMessage
client.set_on_incremental(on_incremental)

mdWs.OnMarketDepth += (d) => ...;      // MarketDepthMessage
mdWs.OnTick += (t) => ...;             // TickDataMessage
mdWs.OnTouchline += (t) => ...;        // TouchLineDataMessage
mdWs.OnIndex += (i) => ...;            // IndexDataMessage
mdWs.OnIndexList += (il) => ...;       // IndexDataListMessage
mdWs.OnIncremental += (inc) => ...;    // IncrementalUpdateMessage

// Convenience event: fires for any frame carrying an LTP > 0
// (TickDataMessage, TickData, TouchLineDataMessage, MarketDepthMessage)
mdWs.OnLtp += (instrumentId, ltp) => ...;

mdWs.OnError += (err) => ...;          // string error (parse failures etc.)

Python notes: the raw decoded protobuf envelope of the last received frame is always available as ws.last_envelope; TickData (1506) frames are folded into set_on_tick alongside TickDataMessage. The C# client exposes the generic OnMessage event for every decoded envelope plus the typed events above.

Connection URL

wss://{baseurl}/md-streaming/ws?key=YOUR_TOKEN

Subscribe / unsubscribe

After connecting, send a JSON subscribe message:

{
    "action": "subscribe",
    "instrumentIds": [110010002000001, 110010000002885]
}

To unsubscribe:

{
    "action": "unsubscribe",
    "instrumentIds": [110010000002885]
}

instrumentIds must be numeric instrument IDs (not symbol strings).

Heartbeat

The server sends "ping" as a text message periodically. Both SDKs filter ping messages out automatically, so callbacks never see them. (The Python interactive WebSocket client additionally sends its own "ping" keep-alive every 30 seconds.)

Message types

Binary frames are base64-wrapped Protocol Buffers (MarketDataMessageBase); exactly one subtype is set per frame.

Subtype MessageCode Description
TickDataMessage 1501 Trade tick
MarketDepthMessage 1502 Top-of-book snapshot with depth levels
IndexDataMessage 1503 Single index snapshot
IncrementalUpdateMessage 1504 Incremental market data entries
IndexDataListMessage 1505 Batch of index snapshots (IndexDataList array)
TickData 1506 Compact trade tick
TouchLineDataMessage 1507 Touchline (OHLC + best prices)

Depth is top-5 only

The feed disseminates 5 bid + 5 ask levels maximum per MarketDepthMessage — this is an exchange-side limit of the public tick feed, not an SDK or gateway restriction. BestBidLevel / BestAskLevel always contain at most 5 entries.

Response

Below are the JSON representations of each message type, as produced by google.protobuf.json_format.MessageToJson() on the protobuf envelope received by on_message:

MarketDepthMessage (MessageCode = 1502)

{
  "MessageCode": 1502,
  "ID": "110010000014366",
  "MarketDepthMessage": {
    "InstrumentID": "110010000014366",
    "ExchangeSegment": "NSECM",
    "ExchangeInstrumentID": 14366,
    "InstrumentName": "IDEA",
    "TimeStamp": "1770728960",
    "LTP": 11.51,
    "LTQ": 6,
    "LTT": "1770728958",
    "ATP": 11.55,
    "VTT": "268805264",
    "TBQ": "28554459",
    "TSQ": "80855892",
    "Open": 11.58,
    "High": 11.67,
    "Low": 11.48,
    "Close": 11.58,
    "BestBidLevel": [
      { "Qty": 833392, "Price": 11.5, "Orders": 32 },
      { "Qty": 1544228, "Price": 11.49, "Orders": 77 },
      { "Qty": 2661470, "Price": 11.48, "Orders": 376 },
      { "Qty": 979035, "Price": 11.47, "Orders": 126 },
      { "Qty": 835550, "Price": 11.46, "Orders": 126 }
    ],
    "BestAskLevel": [
      { "Qty": 1022084, "Price": 11.51, "Orders": 66 },
      { "Qty": 812256, "Price": 11.52, "Orders": 69 },
      { "Qty": 1156649, "Price": 11.53, "Orders": 70 },
      { "Qty": 1867230, "Price": 11.54, "Orders": 120 },
      { "Qty": 1503815, "Price": 11.55, "Orders": 219 }
    ]
  }
}

In the live JSON, TimeStamp, LTT, VTT, TBQ and TSQ (int64 values) are serialized as strings. ExchangeSegment is returned as a string ("NSECM") rather than a numeric code. Depth levels use the Qty / Price / Orders fields.

Field Type Description
MessageCode int Message type code (1502)
ID string Instrument ID
MarketDepthMessage object Market depth payload
InstrumentID string Instrument ID
ExchangeSegment string Exchange segment ("NSECM")
ExchangeInstrumentID uint64 Exchange instrument ID
InstrumentName string Instrument name
TimeStamp string Tick timestamp (epoch seconds)
LTP double Last traded price
LTQ int Last traded quantity
LTT string Last traded time (epoch seconds)
ATP double Average traded price
VTT string Volume today
TBQ string Total buy quantity
TSQ string Total sell quantity
Open double Opening price
High double High price
Low double Low price
Close double Previous close
BestBidLevel repeated Best bid depth levels
BestAskLevel repeated Best ask depth levels

Depth level fields (BestBidLevel / BestAskLevel)

Field Type Description
Qty int Quantity at level
Price double Bid/Ask price
Orders int Number of orders

IndexDataMessage (MessageCode = 1503) / IndexDataListMessage (MessageCode = 1505)

Single index snapshots arrive as IndexDataMessage; batches arrive as IndexDataListMessage, where the payloads are wrapped in an IndexDataList array:

{
  "MessageCode": 1505,
  "IndexDataListMessage": {
    "IndexDataList": [
      {
        "InstrumentID": "110010002000001",
        "ExchangeSegment": "NSECM",
        "ExchangeInstrumentID": 2000001,
        "IndexName": "NIFTY 50",
        "TimeStamp": "1770719042",
        "Last": 25963.3,
        "Open": 25922.65,
        "High": 25971.85,
        "Low": 25870.45,
        "Close": 24511.2,
        "YearlyHigh": 26373.2,
        "YearlyLow": 21743.65
      }
    ]
  }
}
Field Type Description
InstrumentID string Index instrument ID
ExchangeSegment string Exchange segment ("NSECM")
ExchangeInstrumentID uint64 Exchange instrument ID
IndexName string Index name
TimeStamp string Tick timestamp (epoch seconds)
Last double Last index value
Open double Open value
High double High value
Low double Low value
Close double Previous close value
YearlyHigh double 52-week high
YearlyLow double 52-week low

When consuming via the Python typed callback, set_on_index receives both subtypes: use payload.IndexDataList for batch frames and payload.IndexData for single frames.

TickDataMessage (MessageCode = 1501) / TickData (MessageCode = 1506)

Trade-tick updates for actively traded instruments. 1501 is the full tick message; 1506 is a compact variant carrying an extra Flag.

{
  "MessageCode": 1501,
  "ID": "110010000002885",
  "TickDataMessage": {
    "InstrumentID": "110010000002885",
    "ExchangeSegment": "NSECM",
    "ExchangeInstrumentID": 2885,
    "InstrumentName": "RELIANCE",
    "TimeStamp": "1455185634",
    "LTP": 1463.9,
    "LTQ": 3,
    "LTT": "1455185633"
  }
}

{
  "MessageCode": 1506,
  "ID": "110010000002885",
  "TickData": {
    "InstrumentID": "110010000002885",
    "ExchangeSegment": "NSECM",
    "ExchangeInstrumentID": 2885,
    "InstrumentName": "RELIANCE",
    "LTP": 1463.9,
    "LTQ": 3,
    "LTT": "1455185633",
    "Flag": 0
  }
}
Field Type Description
InstrumentID string Instrument ID
ExchangeSegment string Exchange segment ("NSECM")
ExchangeInstrumentID uint64 Exchange instrument ID
InstrumentName string Instrument name
TimeStamp string Tick timestamp (epoch seconds); absent in the 1506 variant
LTP double Last traded price
LTQ int Last traded quantity
LTT string Last traded time (epoch seconds)
Flag int Tick flag (1506 variant only)

TouchLineDataMessage (MessageCode = 1507)

OHLC/statistics snapshot without depth levels (touchline data):

{
  "MessageCode": 1507,
  "ID": "110010000002885",
  "TouchLineDataMessage": {
    "InstrumentID": "110010000002885",
    "ExchangeSegment": "NSECM",
    "ExchangeInstrumentID": 2885,
    "InstrumentName": "RELIANCE",
    "TimeStamp": "1455185634",
    "LTP": 1463.9,
    "LTQ": 3,
    "LTT": "1455185633",
    "ATP": 1467.26,
    "VTT": "916059",
    "TBQ": "326915",
    "TSQ": "707507",
    "Open": 1471.0,
    "High": 1471.0,
    "Low": 1462.7,
    "Close": 1461.6
  }
}
Field Type Description
InstrumentID string Instrument ID
ExchangeSegment string Exchange segment ("NSECM")
ExchangeInstrumentID uint64 Exchange instrument ID
InstrumentName string Instrument name
TimeStamp string Tick timestamp (epoch seconds)
LTP double Last traded price
LTQ int Last traded quantity
LTT string Last traded time (epoch seconds)
ATP double Average traded price
VTT string Volume today
TBQ string Total buy quantity
TSQ string Total sell quantity
Open / High / Low / Close double OHLC prices

IncrementalUpdateMessage (MessageCode = 1504)

Depth deltas during fast markets. Each frame carries a list of MDEntries entries; MDUpdateAction says what happened to the level and MDEntryPosition where it sits in the book:

{
  "MessageCode": 1504,
  "IncrementalUpdateMessage": {
    "MDEntriesList": [
      {
        "MDUpdateAction": 0,
        "MDEntryType": 0,
        "InstrumentID": "110010000002885",
        "ExchangeSegment": "NSECM",
        "ExchangeInstrumentID": 2885,
        "InstrumentName": "RELIANCE",
        "MDEntryPrice": 1463.8,
        "MDEntrySize": 420,
        "MDEntryTime": 1455185634,
        "MDEntryPosition": 1,
        "OI": 0
      },
      {
        "MDUpdateAction": 0,
        "MDEntryType": 1,
        "InstrumentID": "110010000002885",
        "ExchangeSegment": "NSECM",
        "ExchangeInstrumentID": 2885,
        "InstrumentName": "RELIANCE",
        "MDEntryPrice": 1464.0,
        "MDEntrySize": 380,
        "MDEntryTime": 1455185634,
        "MDEntryPosition": 1,
        "OI": 0
      }
    ]
  }
}
Field Type Description
MDUpdateAction int Update action for the level (0 = new/update)
MDEntryType int Entry type (0 = bid, 1 = ask; trade/OI variants per FIX conventions)
InstrumentID string Instrument ID
ExchangeSegment string Exchange segment ("NSECM")
ExchangeInstrumentID uint64 Exchange instrument ID
InstrumentName string Instrument name
MDEntryPrice double Level price
MDEntrySize int Quantity at the level
MDEntryTime int Entry time (epoch seconds)
MDEntryPosition int Position in the book (1-based)
OI int64 Open interest (derivatives)

Which frames you actually receive

The 1502 and 1505 examples above are verbatim UAT captures. Tick (1501/1506), touchline (1507) and incremental (1504) frames flow only for high-activity instruments during market bursts; their structures above are complete per the server protobuf schema (marketdata.proto), with representative values. Proto3 omits fields equal to zero (e.g. NetChangeIndicator, OI) from the JSON.