Order Book Channel

Channel name: book

Subscription

{ "op": "sub", "channel": "book", "params": { "market": "BTC-PERP" } }

params.market is required.

Message Types

Snapshot

Sent immediately after subscribing. Contains the order book state from the last throttled emission, not the real-time state at subscription time. Because updates are diffs computed against this same baseline, the snapshot and subsequent updates are always consistent, preventing checksum mismatches. The snapshot may lag the real-time book by up to 25ms; the first update message corrects any drift.

{
  "channel": "book",
  "filter": "BTC-PERP",
  "type": "snapshot",
  "data": {
    "bids": [
      ["50000.00", "1.5"],
      ["49999.00", "2.3"]
    ],
    "asks": [
      ["50001.00", "1.2"],
      ["50002.00", "3.1"]
    ],
    "checksum": 1226559413
  },
  "ts": "1234567890000000000",
  "gsn": 12345
}

Update

Incremental updates to individual price levels.

{
  "channel": "book",
  "filter": "BTC-PERP",
  "type": "update",
  "data": {
    "bids": [["50000.00", "2.0"]],
    "asks": [],
    "checksum": 1588788772
  },
  "ts": "1234567890000000000",
  "gsn": 12346
}

Fields

Update Rules

• Size "0" removes the level.
• Size > 0 inserts or replaces the level.
• Apply updates in stream order for each filter (market).
• Updates are throttled to one per 25ms per market. Events within the same 25ms window are coalesced into a single diff.

Integrity

Validate checksum after every message. On mismatch, resubscribe to rebuild local state.

See Order Book Checksum.