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": "1234567891000000000",
  "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.