dxLink Depth Of Market Service

1-CHANNEL_REQUEST.json

{
  "type": "CHANNEL_REQUEST",
  "channel": 5,
  "service": "DOM",
  "parameters": {
    "symbol": "AAPL",
    "sources": ["NTV"]
  }
}

2-CHANNEL_OPENED.json

{
  "type": "CHANNEL_OPENED",
  "channel": 5,
  "service": "DOM",
  "parameters": {
    "symbol": "AAPL",
    "sources": ["NTV"]
  }
}

3-DOM_SETUP.json

{
  "type": "DOM_SETUP",
  "channel": 5,
  "acceptDepthLimit": 100,
  "acceptAggregationPeriod": 1.0,
  "acceptDataFormat": "FULL",
  
  "acceptIndividualOrders": true,
  
  "acceptLevelFields": ["price", "size", "count"],
  "acceptOrderFields": ["price", "size", "time"],
  
  "acceptOrderSizeFilter": 1,
  "acceptLevelSizeFilter": 1,
  "acceptLevelCountFilter": 1
}

4-DOM_CONFIG.json

{
  "type": "DOM_CONFIG",
  "channel": 5,
  "depthLimit": 5,
  "aggregationPeriod": 1.0,
  "dataFormat": "FULL",
  
  "individualOrders": true,
  
  "levelFields": ["price", "size", "count"],
  "orderFields": ["price", "size", "time"],
  
  "orderSizeFilter": 1,
  "levelSizeFilter": 1,
  "levelCountFilter": 1
}

5-DOM_SNAPSHOT.json

{
  "type": "DOM_SNAPSHOT",
  "channel": 5,
  "time": 1706025203484,
  "bids": [{ 
    "price": 136.2, 
    "size": 10,
    "count": 5,
    "orders": [{
      "price": 136.2,
      "size": 4,
      "time": 1706025203484
    }]
  }],
  "asks": [{ 
    "price": 136.2,
    "size": 10,
    "count": 5,
    "orders": [{
      "price": 136.2,
      "size": 4,
      "time": 1706025203484
    }]
  }]
}

example.ts

const client = new DXLinkWebSocketClient()

client.connect('wss://demo.dxfeed.com/dxlink-ws-dom')

const dom = new DXLinkDepthOfMarket(client, {
  symbol: 'AAPL',
  source: 'NTV'
})

dom.configure({
  acceptDepthLimit: 10,
  acceptAggregationPeriod: 2,
  // TODO
})

dom.addSnapshotListener((time, bids, asks) => {
  // do some work
  console.log('Market Depth', time, bids, asks)
})

const config = dom.getConfig()

onClose(() => {
  dom.close()
})