Order book L2

Level 2 order book stream: volumes are aggregated by price level, and each level carries the total amount at that price. After subscription, the server sends a snapshot of the order book, then incremental updates that the client applies to a local copy. Use this channel to maintain a live local order book for trading logic or display.

This channel does NOT support query operations — only subscribe, update, and unsubscribe. For a one-time order book snapshot, use Orderbook over REST.

Connect to wss://wss.whitebit.com/ws — see WebSocket Overview for protocol details and keepalive requirements.

Rate limits

Parameters are positional.

multiple_subscription is optional and defaults to false, and false cancels all other current orderbook_l2 subscriptions. Pass true explicitly when subscribing to several markets on one connection; an omitted flag is the usual reason a previously subscribed market stops streaming.

Update frequency

The server pushes updates in real time.

Update model

First message (params[0] is "s"): Full snapshot of the order book, limit levels per side. Asks come first (params[3]), bids second (params[4]). Subsequent messages (params[0] is an array): Incremental updates. Each record carries the new absolute amount at a price level, not a delta.

Amount "0" removes the price level.
A non-zero amount on a price that is absent from the local book adds the level; on a price that is present, it replaces the current amount.
A repeated snapshot replaces the whole order book of the market — it does not merge with the existing state.

Maintaining a local order book

Keep a separate order book for each market and remember the limit of its subscription. Messages for several markets arrive on one connection and differ by the market field.
Discard updates received before the first snapshot of a market.
On a snapshot, replace the local order book of the market.
On an update, apply every record of the message in order, then check the state.
After each message, keep only the limit best asks (ascending by price) and the limit best bids (descending by price).
Store prices and amounts as decimals or strings, not floats — a float key stops matching the level on removal or replacement.

The server does not send a removal for a level that falls outside limit. When a new level enters the depth window and pushes the outermost level out, no record with amount "0" follows for the displaced level. Trimming the local order book to limit after every message is the client’s responsibility; without it the book grows and keeps stale levels.

from decimal import Decimal

def apply_l2(book, limit, params):
    if params[0] == "s":  # snapshot: replace the book
        _, _, _, asks, bids = params
        book["a"], book["b"] = dict(asks), dict(bids)
    else:  # update: one or two records
        for _, _, _, side, price, amount in params:
            if amount == "0":
                book[side].pop(price, None)
            else:
                book[side][price] = amount
    for side, reverse in (("a", False), ("b", True)):
        best = sorted(book[side], key=Decimal, reverse=reverse)[:limit]
        book[side] = {p: book[side][p] for p in best}

function applyL2(book, limit, params) {
  if (params[0] === "s") { // snapshot: replace the book
    const [, , , asks, bids] = params;
    book.a = new Map(asks);
    book.b = new Map(bids);
  } else { // update: one or two records
    for (const [, , , side, price, amount] of params) {
      if (amount === "0") book[side].delete(price);
      else book[side].set(price, amount);
    }
  }
  for (const [side, dir] of [["a", 1], ["b", -1]]) {
    const best = [...book[side]]
      .sort((x, y) => dir * (Number(x[0]) - Number(y[0])))
      .slice(0, limit);
    book[side] = new Map(best);
  }
}

Ordering guarantees

Apply updates in the order of arrival.
Asks are sorted ascending and bids descending. The best ask must be strictly greater than the best bid. A crossed book indicates desynchronization — re-subscribe to receive a fresh snapshot.
After a connection loss, re-subscribe and wait for a new snapshot before applying updates.

Data exclusions

Retail Price Improvement (RPI) orders are not included in the snapshot or in updates. The stream reflects only regular order book liquidity. When the local book differs from other sources (the exchange UI, REST, trades) in the best price or volume, RPI liquidity can be one of the causes. See Order book depth for overlaying an account’s own RPI orders.

Getting Started

Market Streams

Account Streams

Order Management

Rate limits

Update frequency

Update model

Maintaining a local order book

Ordering guarantees

Data exclusions

Error codes

Getting Started

Market Streams

Account Streams

Order Management

​Rate limits

​Subscribe to order book L2

​Update frequency

​Update model

​Maintaining a local order book

​Ordering guarantees

​Data exclusions

​Error codes

Rate limits

Subscribe to order book L2

Update frequency

Update model

Maintaining a local order book

Ordering guarantees

Data exclusions

Error codes