Futures absorption stream

Held-extreme absorption from the same model as REST /v1/futures/absorption and the terminal's Futures Absorption widget: sellers absorbed when net aggressive selling keeps hitting a low that holds (buyers at a holding high), confirmed back at the extreme, with a threshold scaled to the contract's own volume. kind called is sent the moment an absorption is announced; kind updated follows at most once a second per absorption while its net aggression keeps growing (the same id as the call and as REST). Each dated contract's model is warmed from the captured recent tape of the current session, so calls can arrive right after subscribing; it starts afresh at each session open and restarts from the captured tape after a gap. Subscribe and unsubscribe products (ES, a product selects its front contract) or dated contracts (NQZ6) on one socket. The model parameters are the defaults; tune them per request on the REST route.

Connect and subscribe

Open wss://api.ordermap.si/v1/ws/futures/absorption?symbols=ES with your key in the Authorization header and your saved installation ID in X-OrderMap-Device-ID, then send a subscribe message. Up to 25 symbols per connection. Streams need API Pro. All keys and projects share one active device per account and one connection per event type. Reuse the same installation ID for every stream and reconnect. Browser subprotocols, limits and close codes are in WebSockets.

import WebSocket from "ws";

// Create a UUID once per installation, save it, and reuse it for every stream.
const deviceId = process.env.ORDERMAP_DEVICE_ID;
if (!deviceId) throw new Error("Set ORDERMAP_DEVICE_ID to this installation's saved UUID.");

const ws = new WebSocket("wss://api.ordermap.si/v1/ws/futures/absorption?symbols=ES", {
  headers: {
    Authorization: `Bearer ${process.env.ORDERMAP_API_KEY}`,
    "X-OrderMap-Device-ID": deviceId,
  },
});

ws.on("open", () => ws.send(JSON.stringify({ action: "subscribe", symbols: ["ES"] })));
ws.on("message", (raw) => {
  const message = JSON.parse(raw.toString());
  if (message.type === "event") console.log(message.seq, message.data);
  if (message.type === "gap") console.warn("continuity lost: refetch the range over REST", message);
});
ws.on("close", (code, reason) => console.log("closed", code, reason.toString()));

{"action":"subscribe","symbols":["ES"]}

Upgrade headers

A persistent installation ID is required. Supply the header below, or offer it as an ordermap.device.<id> browser subprotocol with ordermap.v1. Reuse the same saved ID for every event type, key, project and reconnect. Headers are not subscription filters.

Subscription parameters

3 parameters, none required. Send them in the query string of the upgrade request, or as the filters of a subscribe message.

Event

Each event is one message: {"type":"event","event_type":"futures.absorption","seq":N,"data":{...}}.

{
  "type": "event",
  "event_type": "futures.absorption",
  "seq": 1,
  "data": {
    "aggressor_share": 0.5865,
    "aggressor_volume": 61,
    "classified_volume": 104,
    "contract": "NQZ6",
    "end_time": 1792979848900,
    "id": "4c1f0a9e2d7b6c5a8e3f1d0b9a7c6e5f4d3b2a1c0e9f8d7c6b5a4e3d2c1b0a9f",
    "kind": "called",
    "net_aggression": 18,
    "price": 29163.75,
    "price_ticks": "116655",
    "side": "sell",
    "start_time": 1792979827763,
    "symbol": "NQ",
    "threshold": 13.84,
    "timestamp": 1792979848900,
    "trigger_time": 1792979848900
  }
}

Before the upgrade

Errors before the upgrade are ordinary JSON errors; after it, problems arrive as messages and close codes (see WebSockets).

Authenticated responses carry the X-RateLimit-* headers (see rate limits); 429 and 503 add Retry-After.

Related

• /v1/futures/absorptionREST endpoint: refetch after a gap message