Data Sources

Real-Time Data

The WebSocket API provides real-time streaming data from exchanges.

Market Data

Data Type	Source	Latency	Delivery
Order Book	Exchange WebSocket	< 100ms	Push (subscription)
Trades	Exchange WebSocket	< 100ms	Push (subscription)
Instruments	Exchange REST	On-demand	RPC query
Venues	Cadenza Platform	Static	RPC query

Trading Data

Data Type	Source	Delivery
Order updates	Exchange + Cadenza	Push (subscription)
Executions	Exchange	Push (subscription)
Portfolio	Exchange + Cadenza	Push (subscription)
Balances	Exchange	Push (subscription)

Data Flow

┌──────────────┐     ┌──────────────┐     ┌──────────────┐
│   Exchange   │────▶│   Cadenza    │────▶│    Client    │
│  WebSocket   │     │   Server     │     │              │
└──────────────┘     └──────────────┘     └──────────────┘
       │                    │                    │
       │  Market Data       │  Aggregated &      │
       │  Order Updates     │  Normalized Data   │
       │  Executions        │                    │

Order Book Updates

Order book data is streamed with incremental updates:

Initial Snapshot

When subscribing, you receive a full order book snapshot:

{
  "type": "snapshot",
  "bids": [["50000.00", "1.5"], ["49999.00", "2.0"]],
  "asks": [["50001.00", "1.2"], ["50002.00", "0.8"]],
  "timestamp": 1703052635110
}

Incremental Updates

Subsequent messages contain only changes:

{
  "type": "update",
  "bids": [["50000.00", "2.0"]],
  "asks": [["50001.00", "0"]],
  "timestamp": 1703052635200
}

• Quantity "0" means remove the price level
• Non-zero quantity means update or add the level

Trading Account Updates

Account updates are pushed in real-time:

Order Update

{
  "type": "order",
  "tradeOrderId": "770e8400-...",
  "status": "FILLED",
  "executedQuantity": "0.1",
  "timestamp": 1703052635110
}

Balance Update

{
  "type": "balance",
  "symbol": "USDT",
  "available": "10000.00",
  "locked": "5000.00",
  "timestamp": 1703052635110
}

Data Consistency

Sequence Numbers

Some channels include sequence numbers for ordering:

{
  "seq": 12345,
  "data": {...}
}

If you detect a gap in sequence numbers, re-subscribe to get a fresh snapshot.

Reconnection

After reconnection:

1. Re-subscribe to all channels
2. You'll receive fresh snapshots
3. Rebuild local state from snapshots

Comparison: HTTP vs WebSocket

Aspect	HTTP API	WebSocket API
Data freshness	On-demand	Real-time push
Order book	Snapshot only	Streaming updates
Order status	Polling required	Push notifications
Latency	Higher	Lower
Use case	Infrequent queries	Continuous monitoring