WebSockets · Indices
Indices basis stream
/v1/ws/indices/basiswsIndicesBasisThe relation between a cash index and its futures: fair value, the futures-implied index price, basis, premium and a state (index_above_implied, index_below_implied, at_fair). An update is sent on every change, at most 60 per second per index; whenever the state changes an extra event with kind crossing follows. Only available while the cash index is live.
Connect and subscribe
Open wss://api.ordermap.si/v1/ws/indices/basis?symbols=SPX with your key in the Authorization header, then send a subscribe message. Up to 10 symbols per connection. One connection per account per stream; streams need API Pro. The protocol, limits and close codes are in WebSockets.
Node.js
import WebSocket from "ws";
const ws = new WebSocket("wss://api.ordermap.si/v1/ws/indices/basis?symbols=SPX", {
headers: { Authorization: `Bearer ${process.env.ORDERMAP_API_KEY}` },
});
ws.on("open", () => ws.send(JSON.stringify({ action: "subscribe", symbols: ["SPX"] })));
ws.on("message", (raw) => {
const message = JSON.parse(raw.toString());
if (message.type === "event") console.log(message.seq, message.data);
if (message.type === "gap") console.warn("continuity lost: refetch the range over REST", message);
});
ws.on("close", (code, reason) => console.log("closed", code, reason.toString()));Subscribe message
{"action":"subscribe","symbols":["SPX"]}Subscription parameters
1 parameter, none required. Send them in the query string of the upgrade request, or as the filters of a subscribe message.
| Parameter | Type and limits | Description |
|---|---|---|
symbolsqueryoptional | array<string>comma-separated in one parameter1 to 10 itemseach at most 128 characterspattern ^[A-Za-z][A-Za-z0-9.]{0,9}$ | Symbols to subscribe to (up to 10). |
Event
Each event is one message: {"type":"event","event_type":"indices.basis","seq":N,"data":{...}}.
data of indices.basis
basisnumberrequiredFutures price minus index, in index points.contractstringrequiredDated futures contract used.dividend_yieldnumberrequiredDividend yield used, continuously compounded.fair_basisnumberrequiredFair value minus index, in index points.fair_valuenumberrequiredFair futures price: index × e^((rate − dividend yield) × years).futures_pricenumberrequiredFutures price used: the quote midpoint, else the last trade.futures_price_basisstringrequiredWhich futures price was used.midlastfutures_timestampintegerunix-msrequiredTime of the futures price. Unix epoch milliseconds (UTC).implied_index_pricenumberrequiredIndex level implied by the futures price: futures × e^(−(rate − dividend yield) × years).index_minus_impliednumberrequiredCash index minus the futures-implied index price, in index points.index_timestampintegerunix-msrequiredTime of the index value. Unix epoch milliseconds (UTC).index_valuenumberrequiredCash index value.kindstringrequiredupdate on every change; crossing when the state changed (an update follows with the same state).updatecrossingpremiumnumberrequiredFutures price minus fair value, in index points.premium_bpsnumberrequiredPremium as basis points of the index.previous_statestring | nullrequiredState before a crossing; null on updates.index_above_impliedindex_below_impliedat_fairnullratenumberrequiredFinancing rate used, continuously compounded.settlement_timeintegerunix-msrequiredFinal settlement of the contract. Unix epoch milliseconds (UTC).statestringrequiredWhether the cash index sits above, below or at the futures-implied price (within the epsilon, 0.25 points by default).index_above_impliedindex_below_impliedat_fairsymbolstringrequiredIndex symbol.timestampintegerunix-msrequiredTime of the newest input. Unix epoch milliseconds (UTC).years_to_settlementnumberrequiredYears from now to the contract's final settlement (ACT/365).
Example event
{
"type": "event",
"event_type": "indices.basis",
"seq": 1,
"data": {
"basis": 40,
"contract": "ESZ6",
"dividend_yield": 0.013,
"fair_basis": 32.1,
"fair_value": 5832.1,
"futures_price": 5840,
"futures_price_basis": "mid",
"futures_timestamp": 1792161000100,
"implied_index_price": 5807.8,
"index_minus_implied": -7.8,
"index_timestamp": 1792161000000,
"index_value": 5800,
"kind": "crossing",
"premium": 7.9,
"premium_bps": 13.6,
"previous_state": "index_above_implied",
"rate": 0.045,
"settlement_time": 1797604200000,
"state": "index_below_implied",
"symbol": "SPX",
"timestamp": 1792161000100,
"years_to_settlement": 0.1726
}
}Before the upgrade
Errors before the upgrade are ordinary JSON errors; after it, problems arrive as messages and close codes (see WebSockets).
| Status | Meaning | Body |
|---|---|---|
101 | Switching protocols: WebSocket protocol ordermap.v1. | Switching protocols |
400 | Invalid handshake parameters. | Error object |
401 | Missing or invalid API key (Authorization, X-API-Key or, from a browser, the ordermap.key. subprotocol). | Error object |
403 | The plan has no streaming (streaming_not_in_plan), the dataset is not released, or the account is suspended. | Error object |
409 | stream_connection_limit: one live connection per account per event type.Retry-After | Error object |
426 | The request is not a WebSocket upgrade. | Error object |
429 | Rate limit or WebSocket cooldown.Retry-After | Error object |
503 | stream_unavailable: the stream is not enabled or its source is down; retry after Retry-After seconds.Retry-After | Error object |
Authenticated responses carry the X-RateLimit-* headers (see rate limits); 429 and 503 add Retry-After.