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I'm currently using the level2 orderbook channel via the GDAX WebSocket API. Quite recently a "time" field started appearing on the l2update JSON messages and this doesn't appear to be documented on the API reference pages. Some questions:

  • What does this time field represent and is it reliable enough to use? Is it message sending time from GDAX?
  • If it is sending time, I am occassionally seeing latencies of up to two minutes - is this expected?

Thanks!

GDAXLover123
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2 Answers2

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I am playing with the L2 api's right now and have the same question. I'm seeing a range of timestamps from 4000ms delayed to -300ms (in the future).

The negative number makes me feel that the time can't be trusted. I attempted connecting from 2 different datacenters and from home and I can replicate both sides of the problem.

user4130723
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I've been using this field reliably for a couple of months assuming it is the time the order was received, and it was typically coming out as a pretty consistent 0.05 second lag in relation to my system time; however, in the last few days, it's been increasing - over 1 second yesterday and 2.02 seconds right now. I note (https://status.gdax.com/) maintenance was carried out on May 9th, but it was fine for me after that for a few days.

To answer the question more directly, no 2 minute latencies are not expected. I would check your system time is correct. Quick google brings up https://time.is/.

pangus
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