Order Book
CoinJar Exchange operates a central limit order book in each trading product. During continuous trading, orders are crossed as they are received by the trading engine, therefore the bid-ask spread between native orders is never zero or negative.
If an incoming order can be matched against an existing resting order or implied order, the incoming order is immediately filled at the price of the resting native order or implied order, and price improvement is possible. Resting orders are matched on a price-time priority basis.
Order book data are disseminated in 4 different formats:
Order Book Type | Dissemination Mode | Price Levels | Coalescing | Implied Price Levels |
---|---|---|---|---|
Level 1 aggregated order book | REST and WebSocket (ticker: channels) | Best Bid/Ask | Not coalesced* | Best Bid/Ask |
Level 2 aggregated order book (Recommended) | REST and WebSocket (book: channels) | Top 40 | Every 100ms | Top 40 |
Level 3 aggregated order book | REST only | All | Every 100ms | Top 40 |
Full native order book | WebSocket only (native_book: channels) | All | Not coalesced | No |
* For ticker:
channels only, new trades are not coalesced but best bid/ask data are refreshed every 100ms.
Orders at the same price levels are aggregated with only the total size displayed.
Updated about 2 years ago