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Incremental Order Book Maintenance Mechanism

  1. Obtain Full Depth Snapshot (Initialization) Endpoint: GET https://api.mexc.com/api/v1/contract/depth/{symbol}?limit=1000 Save the version from the response as localLastVersion.

  2. Subscribe to WebSocket Depth Stream

  3. Subscribe to push.depth When a push.depth update is received:

  • If the message version > localLastVersion, updates for the same price level should override earlier ones (updates can be cached temporarily).
  • Under normal conditions, if version == localLastVersion + 1, apply the update directly.

  1. Packet Loss Recovery: Fetch Latest Depth Commits Endpoint: GET https://api.mexc.com/api/v1/contract/depth_commits/{symbol}/1000 Retrieves the latest 1000 depth incremental commits (sorted in ascending order by version).

  2. Apply Commits and Clear Cache Iterate through the commits

  • skip any with version <= localLastVersion.
  • Starting from the first commit where version == localLastVersion + 1, sequentially apply each commit's updates (quantity > 0: update or - insert the price level; quantity == 0: delete the price level).
  • Update localLastVersion to the version of the last applied commit.
  • If there are cached WebSocket updates, apply them as well (higher version takes priority).
  1. Resume Real-Time Updates
  • Continue applying incoming WebSocket events to the local order book.
  • Each new event's version should be exactly equal to the previous version + 1.
  • If the sequence is discontinuous (gaps or out-of-order versions), packet loss may have occurred → restart recovery from step 4 (or fall back to step 1 for full reinitialization).
  1. Update Rules
  • The quantity in each event is an absolute value (the current total quantity at that price level, not a relative change).
  • If quantity == 0, the price level has been canceled or fully filled and should be removed.