Depth Channel

Description

Use books for full data, book1 for 1 depth level, book5 for 5 depth levels, book15 for 15 depth levels. Data push frequency is 200-300ms

• books: Push the full snapshot data for the first time, push update afterwards, that is, if there is a change in depth, the depth data that has changed will be pushed.
• books1: 1 depth level will be pushed every time(snapshot).
• books5: 5 depth levels will be pushed every time(snapshot).
• books15: 15 depth levels will be pushed every time(snapshot).

Checksum

Calculate Checksum

1. More than 25 levels of bid and ask
A local snapshot of market depth (only 2 levels of the orderbook are shown here, while 25 levels of orderbook should actually be intercepted):
    "bids": [
      [ 43231.1, 4 ],   //bid1
      [ 43231,   6 ]    //bid2
    ]
    "asks": [
      [ 43232.8, 9 ],   //ask1
      [ 43232.9, 8 ]    //ask2
    ]
Build the string to check CRC32:
"43231.1:4:43232.8:9:43231:6:43232.9:8"
The sequence:
"bid1[price:amount]:ask1[price:amount]:bid2[price:amount]:ask2[price:amount]"

2. Less than 25 levels of bid or ask
A local snapshot of market depth:
    "bids": [
      [ 3366.1, 7 ] //bid1
    ]
    "asks": [
      [ 3366.8, 9 ],    //ask1
      [ 3368  , 8 ],    //ask2
      [ 3372  , 8 ]     //ask3
    ]

Build the string to check CRC32:
"3366.1:7:3366.8:9:3368:8:3372:8"
The sequence:
"bid1[price:amount]:ask1[price:amount]:ask2[price:amount]:ask3[price:amount]"

This mechanism can assist users in checking the accuracy of depth(order book) data.

Merging update data into snapshot

After subscribe to the channel (such as books 400 levels) of Order book , user first receive the initial snapshot of market depth. Afterwards the incremental update is subsequently received, user are responsible to update the snapshot from client side.

1. If there are any levels with same price from the updates, compare the amount with the snapshot order book:

   If the amount is 0, delete this depth data.

   If the amount changes, replace the depth data.

2. If there is no level in the snapshot with same price from the update, insert the update depth information into the snapshot sort by price (bid in descending order, ask in ascending order).

Calculate Checksum

Use the first 25 bids and asks in the local snapshot to build a string (where a colon connects the price and amount in an ask or a bid), and then calculate the CRC32 value (32-bit signed integer).

1. When the bid and ask depth data exceeds 25 levels, each of them will intercept 25 levels of data, and the string to be checked is queued in a way that the bid and ask depth data are alternately arranged. Such as: bid1[price:amount]:ask1[price:amount]:bid2[price:amount]:ask2[price:amount]...
2. When the bid or ask depth data is less than 25 levels, the missing depth data will be ignored. Such as: bid1[price:amount]:ask1[price:amount]:ask2[price:amount]:ask3[price:amount]...
3. If price is '0.5000', DO NOT calculate the checksum by '0.5', please DO use the original value

Request Example

{
    "op": "subscribe",
    "args": [
        {
            "instType": "SPOT",
            "channel": "books5",
            "instId": "BTCUSDT"
        }
    ]
}

Request Parameters

Parameter	Type	Required	Description
op	String	Yes	Operation, subscribe unsubscribe
args	List<Object>	Yes	List of channels to request subscription
> instType	String	Yes	Product line type
> channel	String	Yes	Channel name: books/books1/books5/books15
> instId	String	Yes	Product ID, e.g. ETHUSDT

Response Example

{
  "event": "subscribe",
  "arg": {
    "instType": "SPOT",
    "channel": "books5",
    "instId": "BTCUSDT"
  }
}

Response Parameters

Parameter	Type	Description
event	String	Yes Event
arg	Object	Subscribed channels
> instType	String	Product type
> channel	String	Channel name: books/books1/books5/books15
> instId	String	Product ID, e.g. ETHUSDT
code	String	Error code, returned only on error
msg	String	Error message

Push Data

{
  "action": "snapshot",
  "arg": {
    "instType": "SPOT",
    "channel": "books5",
    "instId": "BTCUSDT"
  },
  "data": [
    {
      "asks": [
        [
          "26274.9",
          "0.0009"
        ],
        [
          "26275.0",
          "0.0500"
        ]
      ],
      "bids": [
        [
          "26274.8",
          "0.0009"
        ],
        [
          "26274.7",
          "0.0027"
        ]
      ],
      "checksum": 0,
      "ts": "1695710946294"
    }
  ],
  "ts": 1695710946294
}

Push Parameters

Parameter	Type	Description
arg	Object	Channels with successful subscription
> instType	String	Product type
> channel	String	Channel name: books/books1/books5/books15
> instId	String	Product ID, e.g. ETHUSDT
action	String	Push data action, snapshot or update
data	List<Object>	Subscription data
> instId	String	Product ID, e.g. ETHUSDT
> asks	List<String>	Seller depth
> bids	List<String>	Buyer depth
> ts	String	Milliseconds format of updated data timestamp Unix, e.g. 1597026383085
> checksum	Long	Checksum