seqNum
and prevSeqNum
fields) - in case of detecting missed message (sequence gap) we fetch new snapshot via "req" request - it means that for brief moment of time between requesting a new snapshot and receiving it due to updates containing a gap reconstructed order book based on those updates may not be 100% valid.
Initial order book snapshot is provided in this channel by requesting it via "req" request.
step0
aggregation level and provides data in 1-second intervalsdepth
real-time WebSocket channel always publishes full order book snapshots which are inefficient to store. To circumvent this issue we stored only initial book snapshots and then incremental updates instead - incremental updates are calculated by diffing two subsequent book snapshots and provided in the same format as other depth
messages, except having additional update: true
flag set as in snippet below. Update with amount (second value in array) set to 0 means such level should be deleted, otherwise price level should be updated with new amount value.