Incremental depth

request

format: depth@{symbol}

eg: depth@btc_usdt

rate: snapshot on subscribe, then deltas (~100ms)

Subscribe pushes a full snapshot first, then deltas; the server actively re-pushes a snapshot on restart / when the client falls behind. No REST snapshot pull is needed and no matching-engine updateId alignment is needed.

The full-depth family uses envelope ch = depth_update (distinct from the fixed-level depth family — different data shape). event is depth@<symbol>.

• u = push local sequence (per-symbol monotonic +1; not the matching updateId).

• pu = the previous frame's u (delta frames only; snapshot has no pu).

• b/a levels [price, quantity]: quantity == "0" removes the level, otherwise upsert.

snapshot

{
    "ch": "depth_update",
    "event": "depth@btc_usdt",
    "data": {
        "s": "btc_usdt",
        "type": "snapshot",
        "u": 1024,
        "b": [ ["32000","0.2"], ["31000","0.5"] ],
        "a": [ ["34000","1.2"], ["34001","2.3"] ],
        "ts": 1657699200000
    }
}

delta

{
    "ch": "depth_update",          // channel family
    "event": "depth@btc_usdt",     // subscription string
    "data": {
        "s": "btc_usdt",           // symbol
        "type": "delta",           // snapshot | delta
        "u": 1025,                 // push local sequence (+1)
        "pu": 1024,                // previous frame u (delta only)
        "b": [                     // bids [0]price [1]quantity ("0" = remove)
            [
                "32000",
                "0"
            ]
        ],
        "a": [                     // asks [0]price [1]quantity
            [
                "34001",
                "1.05"
            ]
        ],
        "ts": 1657699200010        // time (ms)
    }
}