versionfield) - in case of detecting missed message WebSocket connection is being restarted. See also details below regarding depth channel data collection details.
datafield has the same format as REST API response data.
depthchannel was collected with
step0aggregation 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
depthmessages, except having additional
update: trueflag 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_freqchannel instead when collecting data and which natively provides incremental order book updates without workarounds described above.
depthchannel 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_freqorder book message has
eventfield always present with value
snapshot, for example:
depth.step0channel for collecting order book data which means order book update message has flag
true, if it's a snapshot it doesn't have that flag at all, for example: