I am trying to use cex.io API to construct a live order book, but I am struggling understanding the message from the API.
I am subscribing with the following JSON:
{
"e": "order-book-subscribe",
"data": {
"pair": [
"BTC",
"USD"
],
"subscribe": false,
"depth": -1
},
"oid": "1435927928274_3_order-book-subscribe"
}
The first message is a snapshot of the order book, this one its ok.
But next, the messages are "just" updates, same as this one :
{
'e': 'md_update',
'data': {
'id': 92276361,
'pair': 'BTC:USD',
'time': 1505337293621,
'bids': [],
'asks': [
[4078.1692, 0.0]
]
}
}
How do I update the snapshot first received with the updates lines ?
How do I know, if some of the lines if there was match in the book ?
And also if I subscribe with depth = 1, would the updates only be for best bid / best ask ?