Order Book Delta

Subscribe to order book incremental updates for a specified futures trading pair (Gate.io style).

• Channel Format: depth_update@{symbol}
• Push Frequency: 100 ms throttled
• Access: Public

Subscribe Request

{
  "op": "subscribe",
  "args": ["depth_update@BTC_USDT"]
}

Unsubscribe

{
  "op": "unsubscribe",
  "args": ["depth_update@BTC_USDT"]
}

Push Example

{
  "ch": "depth_update@BTC_USDT",
  "d": {
    "s": "BTC_USDT",
    "U": 12345,
    "u": 12346,
    "t": 1768205315200,
    "b": [
      ["48999", "0"]
    ],
    "a": [
      ["49001", "1.5"]
    ]
  }
}

Push Fields

Field	Type	Description
s	string	Trading pair
U	number	Starting update ID (firstUpdateId)
u	number	Ending update ID (lastUpdateId)
t	number	Timestamp (milliseconds)
b	array	Bid changes [[price, quantity], ...], quantity 0 means delete
a	array	Ask changes [[price, quantity], ...], quantity 0 means delete

Usage (Gate.io Style)

1. Subscribe to depth@{symbol},{level} first to get the full snapshot and record its u (lastUpdateId).
2. Then subscribe to depth_update@{symbol} to receive incremental updates.
3. Find the first delta event satisfying U <= lastUpdateId+1 && u >= lastUpdateId+1 and start applying from it.
4. For subsequent deltas, apply the update if u > local lastUpdateId.
5. If U > local lastUpdateId+1 is detected, there is a gap and you must fetch a new snapshot.

See "Local Order Book Sync" for the full local order book maintenance workflow.