Orderbook

Orderbook

Get market orderbook snapshot.

GET /markets/orderbook

Params
{
market_id: "BTC-USD"
p_limit: 100, // max 1000
p_page: 0, // page starts at 0
p_order: "DESC" // default "DESC" for descending and "ASC" for ascending
}

Response 
{
	market_id string               
	bids      [string, string]  // returns array of (price, quantity)
	asks      [string, string]  // returns array of (price, quantity)
	sequence  uint                 
	timestamp int64               
}

Guide to managing a local orderbook

1. Open a stream to wss://api.bfx.trade/ws

2. You will receive an orderbook snapshot upon initial subscribe.

3. Subsequent websocket events from the orderbook channel will give orderbook updates.

4. Use the sequence number to keep track.

5. If a sequence number is skipped, get a depth snapshot from https://api.bfx.trade/markets/orderbook

6. Drop any event where sequence is <= sequence in the snapshot.

7. The data in each event is the absolute quantity for a price level.

8. If the quantity is 0, remove the price level.