Handling Order‑Book Level Changes When Pulling Snapshots From Crypto Asset APIs

Описание и применение

Перехват и инкрементальное обновление уровней ордер‑бука в реальном времени позволяет сохранить историю изменений и избежать смещения данных.

Задача

Overwriting local order‑book snapshots discards incremental changes, leading to biased liquidity metrics and lost event history.

Результат

The prototype now maintains a synchronized local order‑book, preserving incremental changes for accurate liquidity metrics and backtesting.

Рабочий процесс

• Subscribe to WebSocket order‑book stream
• Parse incoming message (symbol, price, volume)
• If volume==0: delete price level from local book
• Else: update or insert price level with new volume
• Attach timestamp to each message and discard out‑of‑order events
• Normalize price decimal precision
• On WebSocket reconnection: fetch full snapshot before resuming incremental updates

Доказательства

Simply fetching snapshots and overwriting local state will not meet these requirements. You need to implement incremental update logic for your local order book.

Источник

If the incoming volume value is 0: interpret this as an order cancellation, remove that price level locally.

Источник