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

说明与用途

实时拦截并增量更新订单簿层级，保留变更历史并防止数据漂移。

问题

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

结果

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

工作流

• 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

证据

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

来源

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

来源