Orderbook
Orderbook
Get market orderbook snapshot.
Guide to managing a local orderbook
Open a stream to wss://api.bfx.trade/ws
You will receive an orderbook snapshot on initial subscribe
Subsequent websocket events from the orderbook channel will give orderbook updates
Use the sequence number to keep track
If a sequence number is skipped, get a depth snapshot from https://api.bfx.trade/markets/orderbook
Drop any event where sequence is <= sequence in the snapshot
The data in each event is the absolute quantity for a price level
If the quantity is 0, remove the price level
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