Maintaining a Crypto Order Book from WebSocket Snapshots and Deltas

Summary

This implementation describes a streaming market-data process for a crypto derivatives instrument. After an authenticated connection, it subscribes to position and order-book topics. It initializes bid and ask maps from a snapshot, then applies incremental deletions, updates, and insertions to keep the local book current. It sorts the stored levels by price and copies the best available levels into a tick structure with prices, sizes, and a timestamp.

The code also stores position messages by symbol, while the order topic is present but has no processing logic. Its practical value is an example of translating exchange messages into a local depth view for downstream trading systems. It is narrowly tied to a particular instrument and message schema, and it does not describe reconnect recovery, sequence-gap handling, validation, broader market coverage, or any trading signal or performance evidence.

Key ideas

• A snapshot seeds local bid and ask maps for the order book.
• Incremental messages modify the book through deletions, updates, and insertions.
• The best available bid and ask levels are sorted and copied into a tick representation.
• Position messages are retained by symbol, while order messages are not processed.
• The example does not address recovery from missing or out-of-sequence updates.

Tags

From a private course collection; the original is not published.