channel
field used in the HTTP API and client libs replay
functions?replay
function args)./exchanges/:exchange
API endpoint and check for incidentReports
field in order to get most detailed and up to date information on that subject.00:00 UTC
) - see details.
incremental_book_L2
dataset at the beginning of each day (00:00 UTC, more details), but also anytime exchange closes it's real-time WebSocket connection, see details.incremental_book_L2
dataset.local_timestamp
column value) it means you can read your local order book state as it's consistent, why? CSV format is flat where each row represents single price level update, but most exchanges real-time feeds publish multiple order book levels updates via single WebSocket message that need to be processed together before reading locally maintained order book state. We use local timestamp value here to detect all price level updates belonging to single 'update' message.is_snapshot
column value set to true
) and previous one was not, reset your local order book state object that tracks price levels for each order book side as it means that there was a connection restart and exchange provided full order book snapshot or it was a start of a new day (each incremental_book_L2 file starts with the snapshot)
amount
column value set to 0
) remove such price level (row's price
column) from your local order book state as such price level does not exist anymore
side
column value)