Market Depth Subscription

Info

• The push delay of this method is about：200ms

Market Depth Subscription

• Method: depth.subscribe
• Parameters:

Parameter Name	Required	Type	Notes
market_list[n][0]	true	string	market name.
market_list[n][1]	true	int	limit, number of push depth items, one of [5, 10, 20, 50]
market_list[n][2]	true	string	interval, merge interval, one of ["0", "0.00000000001", "0.000000000001", "0.0000000001", "0.000000001", "0.00000001", "0.0000001", "0.000001", "0.00001", "0.00 01", "0.001", "0.01", "0.1", "1", "10", "100", "1000"]
market_list[n][3]	true	bool	if_full, whether it is a full subscription

• Subscription example

{
  "method": "depth.subscribe",
  "params": {"market_list": [
        ["BTCUSDT", 10, "0", true],
        ["ETHUSDT", 10, "0", false]
    ]
  },
  "id": 1
}

Depth Push

• Method: depth.update
• Parameters:

Parameter Name	Type	Notes
market	string	Market name
is_full	bool	True means full push, and false means incremental push
depth	object	Depth data
depth.asks	array	Seller data
asks[n][0]	string	Seller price
asks[n][1]	string	Seller size. During incremental push, a value of 0 indicates the depth at which the price needs to be deleted.
depth.bids	array	Buyer data
bids[n][0]	string	Buyer price
bids[n][1]	string	Buyer size. During incremental push, a value of 0 indicates the depth at which the price needs to be deleted.
depth.last	string	Latest price
depth.updated_at	int	Timestamp, millisecond
depth.checksum	string	Data checksum

Reminder

About incremental and full depth push:

1. Incremental push: Each push delivers the depth data updated from the last push to the present time.In every 200 milliseconds. No push if there is no depth update.
2. Full push: Each push delivers the complete depth data.In every 200 milliseconds. No push if there is no depth update.
3. For multiple market subscriptions, use the market params to separate push messages in different markets.
4. Full market depth push is delivered every 1 minute.

About Depth Checksum:

1. The checksum is a signed 32-bit integer of the full depth data, used to verify the accuracy of the depth data.
2. Construct the checksum string: bid1_price:bid1_amount:bid2_price:bid2_amount:ask1_price:ask1_amout:... (if there is no bid, the checksum string will be ask1_price:ask1_amount:ask2_price:ask2_amount:...)
3. Encode the checksum string using crc32 algorithm

Please check out the Code Examples to see how to use both full and incremental data pushes in the API client to recover complete depth data and verify its accuracy.

• Push example

{
    "method": "depth.update",
    "data": {
        "market": "BTCUSDT",
        "is_full": true,
        "depth": {
            "asks": [
                [
                    "30740.00",
                    "0.31763545"
                ],
                [
                    "30769.00",
                    "1.45155000"
                ]
            ],
            "bids": [
                [
                    "30736.00",
                    "0.04857373"
                ],
                [
                    "30733.00",
                    "0.84696320"
                ],
                [
                    "30725.00",
                    "0.12563353"
                ],
                [
                    "30422.00",
                    "0"
                ]
            ],
            "last": "30746.28",
            "updated_at": 1689152421692,
            "checksum": 2578768879
        }
    },
    "id": null
}

Cancel Market Depth Subscription

• Method: depth.unsubscribe
• Parameters:

Parameter Name	Required	Type	Notes
market_list	true	[]string	List of market names. Empty list to unsubscribe to all markets.

• Unsubscribe example:

// unsubscribe to singular market depth
{
  "method": "depth.unsubscribe",
  "params": {"market_list": ["BTCUSDT"]},
  "id": 1
}

// unsubscribe to multiple market depths
{
  "method": "depth.unsubscribe",
  "params": {"market_list": ["BTCUSDT", "ETHUSDT"]},
  "id": 1
}

// unsubscribe to all market depths
{
  "method": "depth.unsubscribe",
  "params": {"market_list": []},
  "id": 1
}