# L2 Book

After subscribing, the server pushes a `snapshot` (full book) followed by `delta` updates after each block. Maintain the book locally by applying deltas to the snapshot.

{% hint style="info" %}
**No auth.** Each `(symbol_id, depth, merge)` tuple is an independent channel instance with its own sequence number.
{% endhint %}

## Subscribe

```json
{ "channel": "l2_book", "symbol_id": 100001, "depth": 20, "merge": 10 }
```

| Param       | Detail                                                                                                                   |
| ----------- | ------------------------------------------------------------------------------------------------------------------------ |
| `symbol_id` | Required.                                                                                                                |
| `depth`     | One of `5 / 10 / 20 / 50 / 100 / 200`. Default `20`.                                                                     |
| `merge`     | Integer multiple of `tick_size`. Default `1` (no merge). Allowed values from the symbol's `price_step_merge_multiplier`. |

### Merge Rule

Effective granularity = `tick_size × merge`. Bids round down, asks round up to the nearest merged price; sizes at the same merged price are summed.

> Sequences (`seq`/`q`) from **different `merge` values are not comparable**. Each `(depth, merge)` combination maintains its own series. Always pair a snapshot with deltas that share the same merge value.

## Push Type

The outer envelope's `type` is either `"snapshot"` or `"delta"`.

## Payload

| Field | Type         | REST equivalent                               |
| :---: | ------------ | --------------------------------------------- |
|  `s`  | integer      | `symbol_id`                                   |
|  `b`  | array        | `bids` — `[price, size]`, descending by price |
|  `a`  | array        | `asks` — `[price, size]`, ascending by price  |
|  `m`  | integer      | `merge`                                       |
|  `p`  | integer      | previous update ID (sequence)                 |
|  `q`  | integer      | this update ID                                |
|  `t`  | integer (ms) | `time`                                        |

## Delta Rules

For each price level in the delta:

* `size == "0"` → **remove** that level
* Price not currently in the local book → **insert**
* Price already present → **update size**

## Local-Book Maintenance

{% stepper %}
{% step %}

### On `snapshot`

Replace the local book and record `q`.
{% endstep %}

{% step %}

### On `delta`

If `p == local.q`, apply the delta and set `local.q = q`. Otherwise **re-subscribe** to fetch a new snapshot.
{% endstep %}

{% step %}

### On server restart

A new snapshot arrives with `q = 1`; reset.
{% endstep %}
{% endstepper %}

> **Sequence gap = data loss.** If `delta.p` doesn't match your `local.q`, you missed at least one delta. Don't try to interpolate — re-subscribe and reset.

## Example Pushes

```json
{
  "channel": "l2_book",
  "symbol_id": 100001,
  "type": "snapshot",
  "ts": 1719500000150,
  "finality": "final",
  "data": {
    "s": 100001,
    "b": [["67500.00","2.3"],["67499.50","1.7"]],
    "a": [["67500.50","1.5"],["67501.00","2.1"]],
    "m": 10, "p": 0, "q": 100, "t": 1719500000120
  }
}
```


---

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