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Overview

Depth stream provides order book snapshots and deltas for efficient reconstruction of the full book.

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Channel Information

PropertyValue
Channel Namedepth
AuthenticationRequired
Update FrequencyReal-time
Data TypeSnapshot and delta

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Subscribe

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

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Snapshot Example

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

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Delta Example

{
  "topic": "depth.OIL-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.
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