Orderbook update (RPI)

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Topic: orderbookupdaterpi@{symbol}@{depth}

Subscribe to the delta updates of the order book with both non-RPI and RPI orders.

1. With depth level of 50, the incremental changes pushed every 50ms

2. With depth level of 200, the incremental changes pushed every 100ms

3. With depth level of 500, the incremental changes pushed every 200ms

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To keep a local copy of the order book, please follow the steps below:

1. Open a market data stream and subscribe to orderbookupdaterpi@{symbol}@{depth}

2. Buffer the updates you receive from the stream

3. Get an order book snapshot from https://api.woo.org/v3/public/orderbook?symbol=PERP_BTC_USDT&maxLevel={depth}&rpi=true.

4. Start processing any updates where prevTs = timestamp in the snapshot

5. Check prevTs of each newly processed update is the same as the ts of the previous update

6. If you receive a price level with 0 size, delete that price level

7. If you receive a price level that does not exist, insert that price level and size

8. If you receive a price level that already exists, update that price level with the new size

{
    "topic": "orderbookupdaterpi@SPOT_BTC_USDT@50",
    "ts": 1618826337580, // when ws sends the data
    "data": {
        "s": "SPOT_BTC_USDT",    // symbol
        "prevTs":1618826337380,  // orderbook generation system time of the previously sent message
        "asks": [                // delta updates on the ask side
            [
                "56749.15",
                "3.92864"
            ],
            [
                "56749.8",
                "0"
            ],
            ...
        ],
        "bids": [                // delta updates on the bid side
            [
                "56745.2",
                "1.03895025"
            ],
            [
                "56744.6",
                "1.0807"
            ],
            ...
        ],
        "ts": 1618826337570      // orderbook generation time
    }
}