version
field) - in case of detecting missed message WebSocket connection is being restarted.
See also details below regarding depth channel data collection details.
"ch":"market.<symbol>.open_interest"
and "generated":true
fields and data
field has the same format as REST API response data.
depth
channel was collected with step0
aggregation level (no aggregation) which produces full order book snapshots for each book change which is very inefficient to store. To circumvent this issue we stored only initial book snapshots and then incremental updates instead - incremental updates were 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.depth.size_150.high_freq
channel instead when collecting data and which natively provides incremental order book updates without workarounds described above.depth
channel it may return slightly different format depending for which time period request was made. It's only slightly different and boils down to the way order book update messages are marked vs order book snapshots. In depth.size_150.high_freq
order book message has event
field always present with value update
or snapshot
, for example:depth.step0
channel for collecting order book data which means order book update message has flag update
set to true
, if it's a snapshot it doesn't have that flag at all, for example: