An order book is a list of buy and sell orders for a specific security or financial instrument, organized by price level [12] [13]. It is a key data structure in the matching engine for fast order matching. An efficient data structure for an order book must satisfy these requirements:

Constant lookup time. Operation includes: getting volume at a price level or between price levels.

Fast add/cancel/execute operations, preferably O(1) time complexity. Operations include: placing a new order, canceling an order, and matching an order.

Fast update. Operation: replacing an order.

Query best bid/ask.

Iterate through price levels. 

GET /marketdata/orderBook/L2?symbol={:symbol}&depth={:depth}

This endpoint queries L2 order book information for a symbol with designated depth.

Parameters

symbol: the stock symbol. String

depth: order book depth per side. Int

Response

Body:

bids: array with price and size. Array

asks: array with price and size. Array

Code:

200: successful

40x: parameter error/not found/access denied/unauthorized

500: server error