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Orderbook manage

How to Manage a Local Order Book Correctly​

  1. Open a stream to: wss://fstream.xt.com/ws/market, subscribing to depth_update@btc_usdt.

  2. Buffer the events you receive from the stream.

  3. Get a depth snapshot from: https://fapi.xt.com/future/market/v1/public/depth?symbol=btc_usdt&level=500

  4. Drop any event where u <= lastUpdateId in the snapshot.

  5. The first processed event should have fu <= lastUpdateId+1 AND u >= lastUpdateId+1.

  6. While listening to the stream, each new event's fu should equal the previous event's u+1.

  7. The data in each event is the absolute quantity for a price level.

  8. If the quantity is 0, remove the price level.

  9. Receiving an event that removes a price level not present in your local order book can happen and is normal.

Note​

Due to depth snapshots having a limit on the number of price levels, a price level outside of the initial snapshot that doesn't have a quantity change will not have an update in the Diff Depth Stream.

Consequently, those price levels will not be visible in the local order book even when applying all updates from the Diff Depth Stream correctly, which may cause slight differences compared to the real order book.

However, for most use cases, the depth limit of 500 is sufficient to understand the market and trade effectively.