Depth

Channel Name

spot:depth:{symbol}

Authentication: not required (public channel).

Description

Provides a full order-book snapshot on subscribe, followed by incremental diffs on every book mutation (order placement, cancellation, or fill). Only changed price levels are included in each diff — unaffected levels are never repeated.

Subscribe

Send:

{ "type": "subscribe", "channel": "spot:depth:DFUSDT" }

The server responds with a subscribed ack and then immediately sends the initial snapshot:

{ "type": "subscribed", "channel": "spot:depth:DFUSDT" }

Followed by:

{
  "type":    "spot_depth_snapshot",
  "channel": "spot:depth:DFUSDT",
  "data": {
    "symbol":         "DFUSDT",
    "last_update_id": 12345,
    "bids": [
      ["0.5000", "100"],
      ["0.4999", "200"],
      ["0.4998", "500"]
    ],
    "asks": [
      ["0.5001", "150"],
      ["0.5002", "180"],
      ["0.5003", "300"]
    ]
  }
}

Push Format

spot_depth_snapshot

Sent once, immediately after the subscribed ack. Contains up to 1 000 levels on each side.

{
  "type":    "spot_depth_snapshot",
  "channel": "spot:depth:DFUSDT",
  "data": {
    "symbol":         "DFUSDT",
    "last_update_id": 12345,
    "bids": [["0.5000", "100"], ["0.4999", "200"]],
    "asks": [["0.5001", "150"], ["0.5002", "180"]]
  }
}

Field	Type	Description
symbol	string	Market identifier, e.g. DFUSDT.
last_update_id	integer	Monotonic engine counter at snapshot time. Use this to align incoming diffs — see Sequencing.
bids	[price, qty][]	All resting bid levels, best price first. Both values are strings.
asks	[price, qty][]	All resting ask levels, best price first. Both values are strings.

spot_depth_diff

Pushed on every book mutation. Only includes changed price levels.

{
  "type":    "spot_depth_diff",
  "channel": "spot:depth:DFUSDT",
  "data": {
    "symbol":          "DFUSDT",
    "update_id_first": 12346,
    "update_id_last":  12346,
    "bids": [["0.5000", "70"]],
    "asks": []
  }
}

Field	Type	Description
symbol	string	Market identifier.
update_id_first	integer	First engine sequence number covered by this diff.
update_id_last	integer	Last engine sequence number covered by this diff.
bids	[price, qty][]	Changed bid levels. qty == "0" means the level is now empty — remove it from your local book.
asks	[price, qty][]	Changed ask levels. Same removal rule applies.

Example: a fill consumes one ask level and partially reduces another.

{
  "type":    "spot_depth_diff",
  "channel": "spot:depth:DFUSDT",
  "data": {
    "symbol":          "DFUSDT",
    "update_id_first": 12347,
    "update_id_last":  12347,
    "bids": [],
    "asks": [
      ["0.5001", "0"],
      ["0.5002", "80"]
    ]
  }
}

"0.5001" is removed (qty = "0"); "0.5002" is updated to 80.

Sequencing

1. Subscribe → receive spot_depth_snapshot with last_update_id = N.
2. Start buffering incoming spot_depth_diff frames.
3. Discard any diff where update_id_last <= N.
4. Apply the first diff where update_id_first == N + 1 (or update_id_first <= N + 1 <= update_id_last).
5. Apply all subsequent diffs in arrival order.
6. If update_id_first of an incoming diff is greater than last_update_id_applied + 1, frames were dropped — re-subscribe to get a fresh snapshot.

For more detail see Snapshot ↔ Live Sequencing.

Update Cadence

A spot_depth_diff is pushed on every engine event that mutates the book:

• Limit order placement (adds a level or increases qty at an existing level).
• Order cancellation (reduces or removes a level).
• Fill (reduces the resting side; may remove the level entirely).

There is no fixed timer — updates are event-driven and arrive within single-digit milliseconds of the engine event.

Code Example

const ws = new WebSocket('wss://api-sepolia.p99.world/ws');

let localBook = { bids: new Map(), asks: new Map() };
let snapshotId = null;
let pendingDiffs = [];

ws.onopen = () => {
  ws.send(JSON.stringify({ type: 'subscribe', channel: 'spot:depth:DFUSDT' }));
  setInterval(() => ws.send(JSON.stringify({ type: 'ping' })), 30000);
};

ws.onmessage = (event) => {
  const msg = JSON.parse(event.data);

  if (msg.type === 'spot_depth_snapshot') {
    // Seed local book
    localBook.bids = new Map(msg.data.bids.map(([p, q]) => [p, q]));
    localBook.asks = new Map(msg.data.asks.map(([p, q]) => [p, q]));
    snapshotId = msg.data.last_update_id;

    // Apply any buffered diffs
    for (const diff of pendingDiffs) applyDiff(diff);
    pendingDiffs = [];
  }

  if (msg.type === 'spot_depth_diff') {
    if (snapshotId === null) {
      pendingDiffs.push(msg.data);
      return;
    }
    if (msg.data.update_id_last <= snapshotId) return; // stale, discard
    applyDiff(msg.data);
  }
};

function applyDiff(diff) {
  for (const [price, qty] of diff.bids) {
    if (qty === '0') localBook.bids.delete(price);
    else localBook.bids.set(price, qty);
  }
  for (const [price, qty] of diff.asks) {
    if (qty === '0') localBook.asks.delete(price);
    else localBook.asks.set(price, qty);
  }
  snapshotId = diff.update_id_last;
}