Consistency Guarantees

Market data streaming

When streaming market data via a websocket topic, the following guarantees are provided:

Snapshots:

When subscribing to a market data topic, the first message received will be a snapshot of the current state of the order book.

This can be recognized by the mt field which will be set to "s" (snapshot). Subsequent messages will have mt set to "u" (update).

Backend disconnections:

If the backend experiences connectivity issues with the exchange rollup/matching engine, on recovery a snapshot will be sent to ensure the client has a consistent view of the order book.

Ordering

Depth updates are published with sequence identifiers, which allows clients to detect if any updates were missed.

• u -> ‘last update id’ - a monotonic sequence number incremented with each new update.
• pu -> ‘previous update id’ - the u value from the previous message. On the first snapshot, pu is 0.

By comparing the pu of the current message with the u of the last received message, clients can determine if any updates were missed. If there is a gap in the sequence, unsubscribe and resubscribe to get a fresh snapshot of the order book to ensure consistency.

Periodic snapshots:

In addition to the initial snapshot, the server periodically sends full snapshots (approximately every few seconds). This acts as a self-healing mechanism — even if a client misses a delta update, the next periodic snapshot will bring its local state back in sync without needing to resubscribe.

Any message with "mt":"s" is a full snapshot and should replace the client’s local state entirely. Snapshots are sent on initial subscription, periodically, and on recovery from backend connectivity issues. After a snapshot, sequence numbering may reset — clients should not validate pu continuity across snapshots.