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QFEX provides a pulsed underlier price stream, aggregated across multiple exchanges.
It is used in the funding calculation for perpetual markets.
Outside of extended market hours, the underlier price will not be returned.

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How it works

Connect to the public websocket:
  • URL: wss://mds.qfex.com
Then send a subscribe message: 
{"type": "subscribe","channels": ["underlier"],"symbols": ["AAPL-USD","SP500-USD"]}

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Sample Code

# Python (websocket-client)
# pip install websocket-client
import json
import websocket

def on_open(ws):
    sub = {
        "type": "subscribe",
        "channels": ["underlier"],
        "symbols": ["SP500-USD"]  # or ["*"]
    }
    ws.send(json.dumps(sub))

def on_message(ws, message):
    data = json.loads(message)
    print("Underlier update:", json.dumps(data, indent=2))

def on_error(ws, error):
    print("Error:", error)

def on_close(ws, close_status_code, close_msg):
    print("Closed:", close_status_code, close_msg)

if __name__ == "__main__":
    ws = websocket.WebSocketApp(
        "wss://mds.qfex.com",
        on_open=on_open,
        on_message=on_message,
        on_error=on_error,
        on_close=on_close,
    )
    ws.run_forever()

​
Example Response

{
  "type": "underlier",
  "sequence": 50,
  "time": "2014-11-07T08:19:27.028459Z",
  "symbol": "AAPL-USD",
  "price": "400.23"
}

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Unsubscribe (optional)

{"type":"unsubscribe","channels":["underlier"],"symbols":["SP500-USD"]}
Notes
  • Pulsed stream (aggregated over multiple exchanges).
  • Used in funding rate calculation.
  • Outside extended hours, no price is returned.