Subscribe

Request

{
  "t": "ACETO/USD@depth@100ms",
  "e": "tdx:subscribe"
}

Replies

Initialization

{
  "t": "ACETO/USD@depth@100ms",
  "e": "tdx:subscription_received"
}

{
  "t": "ACETO/USD@depth@100ms",
  "e": "orderbook",
  "d": {
    "u": 42,
    "b": [["120", "2"], ["121", "1"]],
    "a": [["125", "1"]]
  }
}

The order book can be maintained locally by following the updates. For instance, the order book after the replies above is constituted of:

Updates

{
  "t": "ACETO/USD@depth@100ms",
  "e": "orderbook",
  "d": {
    "u": 43,
    "U": 45,
    "b": [["120", "0"], ["121", "3"]],
    "a": []
  }
}

An update can either change the quantity of the price when the quantity is positive, or it removes the price when the quantity is zero. After apply the update above, the order book is constituted of:

When an update with an upper bound sequence (U) above the latest lower bound sequence (u), it should be ignored.