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Exchange API Best Practices March 2022

The document outlines best practices for using the Coinbase Exchange API, emphasizing optimal connectivity, efficient setup for FIX, and the use of batch messaging for orders and cancellations. It details the importance of participating in order book auctions and provides recommendations for websocket API usage. Additionally, it includes information on connectivity, redeployments, and various API features to enhance trading efficiency.

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42 views3 pages

Exchange API Best Practices March 2022

The document outlines best practices for using the Coinbase Exchange API, emphasizing optimal connectivity, efficient setup for FIX, and the use of batch messaging for orders and cancellations. It details the importance of participating in order book auctions and provides recommendations for websocket API usage. Additionally, it includes information on connectivity, redeployments, and various API features to enhance trading efficiency.

Uploaded by

hmmmmmm600
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Exchange

API Best

Practices
March 2022
1
Exchange API 


Best Practices
Coinbase Exchange helps a wide variety of institutional clients access one of the deepest pools of

liquidity of any regulated crypto spot exchange through high throughput APIs and an advanced

trading interface. This document describes a few of our recommended best practices for our APIs.

Connectivity and redeployments

We run our infrastructure out of US-EAST-1 (AWS). For optimal connectivity, we recommend

you do as well.

There are typically two FIX redeployments per week (Monday and Thursday @ 2PM EST) that

will force disconnect users. Note: We do not deploy on holidays.

These redeployments do not impact FIX users that have setup tag 8013

(CancelOrdersOnDisconnect)

Optimized set up for FIX

15 profiles maximum

7 sessions per profile

50 requests per rolling second per session

R olling second: the clock starts when the first command is sent. We use a la y-fill z
token bucket implementation. More details can be found here.

Order book auctions

New books are now launched with Auction mode unless otherwise specifie d

;
d

Enter limit orders to participate in a book currently in Auction during Auction, no matches will

occur, but once the auction is completed, crossed orders will be fille

Note that orders with “ post only ” fl j


ag will be re ected as all orders that cross upon

completion of the auction are treated as taker order s

We recommend keeping track of the “ _


auction mode ” fl
ag within the status channel and the

/products endpoint to note when a book is currently in Auction mod e


For more information please contact: sales@coinbase.com


Order book auctions (continued)
We recommend you use the latest indicative price and best bid/asks disseminated

{
periodically on the auction channel or through the L1 /products/ product _id}/book endpoint
to adjust your orders during the auction.

Batch messaging

We strongly recommend using batch messages for both order entry and cancellation.

Up to 10 orders/cancels can be batched into one request

Batch requests only count as one request for the purposes of rate limiting

Batch requests are more efficient to process compared to the equivalent individual requests

Cancel on disconnect - we support both cancel by session and cancel all by profile. Cancelling

all by profile is more efficient than cancelling by session.

Drop copy can be enabled on any session

Order modifiers - see here.

Cancel on disconnect

Self Trade Prevention Policy

Good-till-time

Websocket API feeds

All supported channels are described here.

Heartbeat

Status

Ticker

Level2

Matches

Full

User - requires authentication

Websocket API best practices

Subscribing to one channel per connection is recommended over subscribing to hundreds of

channels over one connection.

We recommend authenticating with every connection (even if not required).

For more information please contact: sales@coinbase.com

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