Websocket API

This document describes version 4 of the websocket API. Any earlier version is unsupported and may be withdrawn at any time.

Base URL

Default:
wss://www.cfbenchmarks.com/ws/v4
Nasdaq Indices
wss://nciprod1.cfbenchmarks.com/ws/v4

Authorization

This API requires users to specify an API key. This key can be obtained by contacting CF Benchmarks for a license.

If connecting using Javascript, assuming the key username is 'abc' and the key password is '123', you would connect by specifying the protocol as the array ['cfb', 'abc, '123].

Some language APIs require the key to be specified in the websocket request header. In this case you would provide the username and key in the request header with a header field of the form Authorization: Basic <credentials> where credentials is the Base64 encoding of username and key joined by a single colon ':'.

Commands
Info

The Info endpoint returns details of all streams an API key provides access to.

Example:

{ "type":"info" }

Response:

{
  "type": "info",
  "streams": [
    {
      "id": "ETHUSD_RTI"
    },
    {
      "id": "BRTI"
    },
    {
      "id": "ETHUSD_RR"
    },
    {
      "id": "BRR"
    }
  ]
}
Subscribe
Field Type Description Expected value
type string Command subscribe
id string Stream ID One of the stream IDs above
stream string Stream type One of: [value,constituents,rti_stats]

Example:

{ "type": "subscribe", "id": "BRTI", "stream": "value" }

Note that the constituents streamtype is restricted to the NCIS and NCI indices, and is permissioned on an individual basis. Please contact CF Benchmarks if you require access.

Response:
No direct response if successful. The most recent value will be sent, and subsequent values until the unsubscribe command is sent.

Errors are described below.

Unsubscribe
Field Type Description Expected value
type string Command unsubscribe
id string Stream ID One of the stream IDs above
stream string Stream type One of: [value,constituents,rti_stats]

Example:

{ "type": "unsubscribe", "id": "BRTI", "stream": "value" }

Response:
No direct response if successful. Messages for the subscription will cease.

Errors are described below.

Messages
Value
Field Type Description Expected value
type string Message type value
id string Stream ID One of the stream IDs above
time integer Calculation time of value in milliseconds since Unix epoch
value number Stream value

Example:

{ "type": "value", "id": "BRTI", "value": "8835.56", "time": 1579264280000 }

In addition to the above, each value message may contain any of the following fields:

Field Type Description Expected value
amendTime (Optional) integer If the value has been amended after being previously published, this field indicates the time of the amendment in milliseconds since Unix epoch. If no amendment has been made, the field will not be present.
repeatOfPreviousValue (Optional) boolean If an error has occurred during calculation such that an index value could not be calculated for that day, and it has been replaced with the value from the previous day, this boolean field will exist, and will be true. If no such error has occurred, the field will not be present.

Example:

{ "type": "value", "id": "BRR", "value": "57260.71", "time": 1620313200000, "amendTime": 1620313300000, "repeatOfPreviousValue": true }
Constituents
Field Type Description Expected value
type string Message type constituents
id string Stream ID One of the stream IDs above
time integer Calculation time of value in milliseconds since Unix epoch
value number Index value
divisor number Index divisor
constituents object Object containing constituent name, value, weight and exchange weights

Example:

{
  "type":"constituents",
  "time":1618922805000,
  "id":"NCI",
  "value": "2835.55",
  "divisor": "203484212.3109",
  "constituents":[
    {"constituent": "LINK", "value": "35.0013", "weightPercent": "1.27",
      "exchanges": [
        {"exchange": "exchangeA", "weightPercent": "54.14"},
        {"exchange": "exchangeB", "weightPercent": "20.55"},
        {"exchange": "exchangeC", "weightPercent": "25.31"}
      ]
    },
    {"constituent": "BCH", "value": "793.3554", "weightPercent": "1.03",
      "exchanges": [
        {"exchange": "exchangeA", "weightPercent": "59.38"},
        {"exchange": "exchangeB", "weightPercent": "20.62"},
        {"exchange": "exchangeC", "weightPercent": "20.00"}
      ]
    },
    {"constituent": "ETH", "value": "2454.7451", "weightPercent": "16.86",
      "exchanges": [
        {"exchange": "exchangeA", "weightPercent": "70.43"},
        {"exchange": "exchangeB", "weightPercent": "19.33"},
        {"exchange": "exchangeC", "weightPercent": "10.24"}
      ]
    },
    {"constituent": "XLM", "value": "0.4516", "weightPercent": "0.65",
      "exchanges": [
        {"exchange": "exchangeA", "weightPercent": "40.31"},
        {"exchange": "exchangeB", "weightPercent": "30.45"},
        {"exchange": "exchangeC", "weightPercent": "29.24"}
      ]
    },
    {"constituent": "XBT", "value": "52435.7103", "weightPercent": "78.61",
      "exchanges": [
        {"exchange": "exchangeA", "weightPercent": "9.26"},
        {"exchange": "exchangeB", "weightPercent": "50.32"},
        {"exchange": "exchangeC", "weightPercent": "40.42"}
      ]
    },
    {"constituent": "LTC", "value": "214.3741", "weightPercent": "1.58",
      "exchanges": [
        {"exchange": "exchangeA", "weightPercent": "20.40"},
        {"exchange": "exchangeB", "weightPercent": "39.18"},
        {"exchange": "exchangeC", "weightPercent": "40.42"}
      ]
    }
  ]
}

In addition to the above, each constituents message may contain any of the following fields:

Field Type Description Expected value
amendTime (Optional) integer If the value has been amended after being previously published, this field indicates the time of the amendment in milliseconds since Unix epoch. If no amendment has been made, the field will not be present.
repeatOfPreviousValue (Optional) boolean If an error has occurred during calculation such that an index value could not be calculated for that day, and it has been replaced with the value from the previous day, this boolean field will exist, and will be true. If no such error has occurred, the field will not be present.
rti_stats
Field Type Description Expected value
type string Message type rti_stats
id string Stream ID One of the stream IDs above
time integer Calculation time of value in milliseconds since Unix epoch
value number Index value
utilizedDepth number The depth to which the RTI is executable
valueAsk number The real time index price for the ASK side of the consolidated orderbook
valueBid number The real time index price for the BID side of the consolidated orderbook
midPrice number The mid of the best-ask and best-bid of the consolidated orderbook
Command Errors

Any command that results in an error returns the command with a success flag and a reason for the error.

Field Type Description Expected value
type string Command unsubscribe
id string Stream ID One of the stream IDs above
stream string Stream type One of: [value]
success boolean Was the command successful
reason string Reason for the error

Example:

{ "type": "foo", "id": "BRTI", "stream": "value", "success": false, "reason": "Unrecognised command" }
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