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Real-time order book data with support for both one-time snapshots and continuous subscription updates. Update interval: 100ms.

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Query order book depth (one-time)

Fetch a single order book snapshot without subscribing to updates. params: [market, limit, price_interval]. Maximum limit: 100. Set price_interval to "0" for no grouping. Request Response

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Subscribe to order book depth

Public depth updates exclude Retail Price Improvement (RPI) orders. The stream includes only regular order book liquidity.

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Maintaining a local order book

To maintain an accurate local order book:
  1. Subscribe and wait for the first message (params[0] is true) — initialize order book from snapshot
  2. For each incremental update: if amount is "0" remove the price level; otherwise update or insert at the correct sorted position
  3. Keep asks sorted ascending, bids sorted descending
  4. Truncate to your desired limit after each update

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Update model

First message (past_update_id absent): Full order book snapshot. Replace any existing local state. Subsequent messages (past_update_id present): Incremental deltas. Apply each price level change to the local book.

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Ordering guarantees

  • Updates arrive in update_id order. Each incremental message’s past_update_id matches the previous message’s update_id.
  • If 10 seconds pass without activity, the server sends a full snapshot (params[0] is true, no past_update_id) as a keepalive. Treat this as a full reset.
  • A gap between past_update_id and the stored update_id indicates a missed message — re-subscribe to resync.

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Order book data object

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Code examples

type IDepth = [string, string];

interface OrderBook {
    asks: IDepth[];
    bids: IDepth[];
}

const ws = new WebSocket("wss://api.whitebit.com/ws");
const orderBook: OrderBook = { asks: [], bids: [] };
const LIMIT = 100;

ws.addEventListener("open", () => {
    ws.send(
        JSON.stringify({
            id: 1,
            method: "depth_subscribe",
            params: ["ETH_BTC", LIMIT, "0", true]
        }),
    );
});

ws.addEventListener("message", (event: MessageEvent) => {
    const message = JSON.parse(event.data.toString());

    if (message.method === "depth_update") {
        const updateData = message.params[0] as Partial<OrderBook & { past_update_id?: number }>;
        const isFirstMessage = !updateData.past_update_id;

        if (isFirstMessage) {
            // First message or keepalive snapshot is a full snapshot - replace order book
            orderBook.asks = updateData.asks ?? [];
            orderBook.bids = updateData.bids ?? [];
        } else {
            // Subsequent messages are incremental updates
            applyUpdates(orderBook.asks, updateData.asks, "ask");
            applyUpdates(orderBook.bids, updateData.bids, "bid");
            truncateOrderBook(orderBook.asks);
            truncateOrderBook(orderBook.bids);
        }
    }
});

function applyUpdates(orderBookSide: IDepth[], updates: IDepth[] | undefined, side: "ask" | "bid") {
    if (updates === undefined) return;
    for (const [price, amount] of updates) {
        const priceIndex = orderBookSide.findIndex((level) => level[0] === price);

        if (amount === "0") {
            if (priceIndex !== -1) {
                orderBookSide.splice(priceIndex, 1);
            }
        } else {
            if (priceIndex === -1) {
               const insertIndex = orderBookSide.findIndex((level) =>
                    side === "ask" ? level[0] > price : level[0] < price
                );

                if (insertIndex === -1) {
                    orderBookSide.push([price, amount]);
                } else {
                    orderBookSide.splice(insertIndex, 0, [price, amount]);
                }
            } else {
                orderBookSide[priceIndex][1] = amount;
            }
        }
    }
}

function truncateOrderBook(orderBookSide: IDepth[]) {
    if (orderBookSide.length > LIMIT) {
        orderBookSide.splice(LIMIT);
    }
}