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Maintaining Order Book via WebSocket

To maintain a local copy of the order book with minimal latency, use the WebSocket v2 API to receive both snapshots and delta updates. This enables your trading logic to react to real-time market changes efficiently. Steps to Maintain a Local Order Book:
  1. Connect to the WebSocket and subscribe to the Order Book Stream to receive real-time updates.
  2. Initialize your local order book by sending an emitPublicOrderBook request to obtain a full snapshot.
  3. Apply each subsequent publicOrderBookDelta update in the order received to keep your local copy synchronized.
Note: For publicOrderBookDelta messages, the quantity field represents the absolute value at the specified price level. A value of 0 indicates that the price level should be removed from your local order book.

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REST and WebSocket Hybrid Approach

For users utilizing the legacy Order Book WebSocket, the order book can be maintained by combining REST and WebSocket APIs:
  • Connect to the Order Book WebSocket to receive an initial full snapshot, followed by real-time delta updates.
  • To refresh your local order book snapshot without disconnecting, use the Get Order Book REST endpoint as needed.