Order Book Depth

Stream full order book snapshots and incremental delta updates for efficient book reconstruction.

Overview

The depth stream provides order book snapshots and incremental updates (deltas) for efficient reconstruction of the full book.

Channel information

Property	Value
Channel Name	depth
Authentication	Required
Update Frequency	Real-time
Data Type	Snapshot and delta

Subscribe

Subscribe

{
  "op": "subscribe",
  "args": [
    { "channel": "depth", "symbol": "US500-BTC" },
    { "channel": "depth", "symbol": "GOLD-BTC" },
    { "channel": "depth", "symbol": "USDT-BTC" }
  ]
}

Snapshot example

Orderbook Snapshot

{
  "topic": "depth.GOLD-BTC",
  "type": "snapshot",
  "createdTime": 1640995200000000000,
  "data": {
    "symbol": "GOLD-BTC",
    "bid": [["0.00089410", "89.25"], ["0.00089400", "50.00"]],
    "ask": [["0.00089430", "156.75"], ["0.00089440", "203.00"]],
    "timestamp": 1640995200000000000
  }
}

Delta example

Orderbook Delta

{
  "topic": "depth.GOLD-BTC",
  "type": "delta",
  "createdTime": 1640995200000000000,
  "data": {
    "symbol": "OIL-BTC",
    "bid": [["0.00089415", "10.00"]],
    "ask": [["0.00089435", "-5.00"]],
    "timestamp": 1640995200000000000
  }
}

Apply deltas in order to the last known snapshot. Quantities of 0 or negative indicate removals depending on your reconstruction strategy. The service will send an initial snapshot on subscribe when available.