crypto-message 1.1.21

Unified data structures for all cryptocurrency exchanges.
Documentation 
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syntax = "proto3";
package crypto_crawler;

import "google/protobuf/timestamp.proto";


// Tick-by-tick trade message.
message Trade {
  google.protobuf.Timestamp timestamp = 1;
  // Which side is taker? True, seller is taker; False, buyer is taker
  bool side = 2;
  float price = 3;
  // Number of base coins, 0 means delete
  float quantity_base = 4;
  // Number of quote coins, 0 means delete
  float quantity_quote = 5;
  // Number of contracts, empty for spot markets
  optional float quantity_contract = 6;
}

// Level2 orderbook.
message Orderbook {
  message Order {
    float price = 1;
    // Number of base coins, 0 means delete
    float quantity_base = 2;
    // Number of quote coins, 0 means delete
    float quantity_quote = 3;
    // Number of contracts, empty for spot markets
    optional float quantity_contract = 4;
  }
  google.protobuf.Timestamp timestamp = 1;
  // snapshot or updates
  bool snapshot = 2;
  // sorted in ascending order by price if snapshot=true, otherwise not sorted
  repeated Order asks = 3;
  // sorted in descending order by price if snapshot=true, otherwise not sorted
  repeated Order bids = 4;
}

// Best bid and offer.
message Bbo {
  google.protobuf.Timestamp timestamp = 1;
  float bid_price = 2;
  float bid_quantity_base = 3;
  float bid_quantity_quote = 4;
  optional float bid_quantity_contract = 5;
  float ask_price = 6;
  float ask_quantity_base = 7;
  float ask_quantity_quote = 8;
  optional float ask_quantity_contract = 9;
}

// 24hr rolling window ticker.
message Ticker {
  google.protobuf.Timestamp timestamp = 1;
  float open = 2;
  float high = 3;
  float low = 4;
  float close = 5;
  float volume = 6;
  float quote_volume = 7;
  optional float last_quantity = 8;
  optional float best_bid_price = 9;
  optional float best_bid_quantity = 10;
  optional float best_ask_price = 11;
  optional float best_ask_quantity = 12;
  // availale in Futures and Swap markets
  optional float open_interest = 13;
  // availale in Futures and Swap markets
  optional float open_interest_quote = 14;
}