Crypto Data API provides websocket streaming for trades, quotes, orderbooks, minute bars and daily bars. This helps receive the most up to date market information that could help your trading strategy to act upon certain market movements.

Since Alpaca now executes your crypto orders in its own exchange, the v1beta3 crypto market data endpoints no longer distribute data from other providers, but from Alpaca itself.

You can find the general description of the real-time WebSocket Stream here. This page focuses on the crypto stream.

👍

Advanced Websockets Tutorial

Check out our tutorial Advanced Live Websocket Crypto Data Streams in Python for some tips on handling live crypto data stream in Python.

URL

The URL for the crypto stream is

wss://stream.data.alpaca.markets/v1beta3/crypto/us

Sandbox URL:

wss://stream.data.sandbox.alpaca.markets/v1beta3/crypto/us

Multiple data points may arrive in each message received from the server. These data points have the following formats, depending on their type.

Channels

Trades

Schema

Example

{
  "T": "t",
  "S": "AVAX/USD",
  "p": 47.299,
  "s": 29.205707815,
  "t": "2024-03-12T10:27:48.858228144Z",
  "i": 3447222699101865076,
  "tks": "S"
}

Quotes

Schema

Example

{
  "T": "q",
  "S": "BAT/USD",
  "bp": 0.35718,
  "bs": 13445.46,
  "ap": 0.3581,
  "as": 13561.902,
  "t": "2024-03-12T10:29:43.111588173Z"
}

Bars

📘

Crypto bars contain quote mid-prices

Due to the volatility of some currencies, including lack of trade volume at any given time, we include the quote midpoint prices in the bars to offer a better data experience. If in a bar no trade happens, the volume will be 0, but the prices will be determined by the quote prices.

There are three separate channels where you can stream trade aggregates (bars).

Minute Bars (bars)

Minute bars are emitted right after each minute mark. They contain the trades and quote midpoints from the previous minute.

Daily Bars (dailyBars)

Daily bars are emitted right after each minute mark after the market opens. The daily bars contain all trades and quote midprices until the time they were emitted.

Updated Bars (updatedBars)

Updated bars are emitted after each half-minute mark if a “late” trade arrived after the previous minute mark. For example if a trade with a timestamp of 16:49:59.998 arrived right after 16:50:00, just after 16:50:30 an updated bar with t set to 16:49:00 will be sent containing that trade, possibly updating the previous bar’s closing price and volume.

Schema

Example

{
  "T": "b",
  "S": "BTC/USD",
  "o": 71856.1435,
  "h": 71856.1435,
  "l": 71856.1435,
  "c": 71856.1435,
  "v": 0,
  "t": "2024-03-12T10:37:00Z",
  "n": 0,
  "vw": 0
}

Orderbooks

Schema

Example

Initial full orderbook

{
  "T": "o",
  "S": "BTC/USD",
  "t": "2024-03-12T10:38:50.79613221Z",
  "b": [
    {
      "p": 71859.53,
      "s": 0.27994
    },
    {
      "p": 71849.4,
      "s": 0.553986
    },
    {
      "p": 71820.469,
      "s": 0.83495
    },
   ...
  ],
  "a": [
    {
      "p": 71939.7,
      "s": 0.83953
    },
    {
      "p": 71940.4,
      "s": 0.28025
    },
    {
      "p": 71950.715,
      "s": 0.555928
    },
    ...
  ],
  "r": true
}

r is true, meaning that this message contains the whole BTC/USD orderbook. It's truncated here for readability, the actual book has a lot more bids & asks.

Update message

{
  "T": "o",
  "S": "MKR/USD",
  "t": "2024-03-12T10:39:39.445492807Z",
  "b": [],
  "a": [
    {
      "p": 2614.587,
      "s": 12.5308
    }
  ]
}

This means that the ask price level 2614.587 was changed to 12.5308. If there were previously no 2614.587 ask entry in the orderbook, then it should be added, if there were, its size should be updated.

Remove message

{
  "T": "o",
  "S": "CRV/USD",
  "t": "2024-03-12T10:39:40.501160019Z",
  "b": [
    {
      "p": 0.7904,
      "s": 0
    }
  ],
  "a": []
}

This means that the 0.7904 bid price level should be removed from the orderbook.

Example

$ wscat -c wss://stream.data.alpaca.markets/v1beta3/crypto/us
connected (press CTRL+C to quit)
< [{"T":"success","msg":"connected"}]
> {"action": "auth", "key": "**\***", "secret": "**\***"}
< [{"T":"success","msg":"authenticated"}]
> {"action": "subscribe", "bars": ["BTC/USD"]}
< [{"T":"subscription","trades":[],"quotes":[],"orderbooks":[],"bars":["BTC/USD"],"updatedBars":[],"dailyBars":[]}]
< [{"T":"b","S":"BTC/USD","o":26675.04,"h":26695.36,"l":26668.79,"c":26688.7,"v":3.227759152,"t":"2023-03-17T12:28:00Z","n":93,"vw":26679.5912436798}]
< [{"T":"b","S":"BTC/USD","o":26687.9,"h":26692.91,"l":26628.55,"c":26651.39,"v":11.568622108,"t":"2023-03-17T12:29:00Z","n":197,"vw":26651.7679765663}]