SBE Level 50 Integration

Overview

Channel: private MMWS only (not available on public WS).
Topic: ob.50.sbe.{symbol} (snapshot or delta, every 20 ms).
Format: SBE binary frames (opcode = 2), little-endian.
Depth: 50 levels per side (no RPI in this stream).
Units: timestamps in microseconds (µs); price/size are mantissas with exponents.

Order Book Update Logic (Snapshot + Delta Mode)

Message Types

Order book update streams contain two message types:

Type	Meaning
snapshot	A full 50-level orderbook image. Must reset the local book.
delta	Incremental updates. Must apply changes to the existing book.

Rules for the u (Update ID) Field

Behavior of `u`

Field u increases monotonically for all snapshots and deltas.
Field u does not reset, unless there is a system reset or precision change.
Field u = 1 always indicates a snapshot, and continuity checks must stop.

Continuity Validation

Continuity must be checked only when u != 1.

Condition	Action
`u != 1`	Validate continuity: next `u` should follow previous `u + 1`.
`u == 1`	Special snapshot (service restart / precision change). Do not perform continuity checks.

Rules for Order Book Maintenance

First Message of connection and reconnection

After subscribing, the first message is always a snapshot.
Clients must initialize the local book with it.

Snapshot Handling

A snapshot must always replace the entire local order book:

Clear local bids and asks.
Rebuild from snapshot data.
Set local lastU = snapshot.u.

Snapshots may appear:

after initial subscription
when the number of changed levels > 100 (extreme market condition auto-fallback)
after internal service restart
after exponent / precision changes

Delta Handling

A delta applies incrementally:

Insert/update levels with size > 0.
Remove levels when size == 0.
Continue continuity checks using the u field.

Example Push Update

Below is a real case where the connection stays healthy and messages arrive in order:

u	Type	Notes
10000	snapshot	First message after subscription.
10001	delta	Incremental updates. Must apply changes to the existing book.
10002	delta	Normal incremental update.
10003	snapshot	Large market move (> 100 level changes). Use snapshot to replace local book.
10004	delta	Continue delta from the new snapshot.
1	snapshot	Service restarted / precision changed — reset `u` to 1.
2	delta	New continuity sequence.
3	delta	—
4	delta	—

Key Differences between SBE & JSON

1. Time Precision

JSON: timestamps typically in milliseconds (ms).
SBE: all timestamps (ts, cts) are in microseconds (µs) for higher precision and better sequencing accuracy.

2. Payload Size & Efficiency

SBE: binary-packed and fixed-width where possible → very compact.
- A typical 50×2 depth update is around 1.7 KB per frame.
JSON: verbose text format → larger payload.
- Equivalent depth update is about 2.4 KB, and can spike to 4.6 KB during volatile markets.

3. Snapshot Mode Behavior

SBE mirrors JSON v5 behavior:
- 50-depth snapshots serve as baseline reference for delta synchronization.

Extreme Market Condition Handling

When a delta contains more than 100 combined bid+ask updates (buy + sell), the system automatically sends a full snapshot instead of a delta.
Ensures client books resync cleanly.
Prevents explosion of delta packets during high churn.
Keeps snapshot size fixed length for predictable decoding.

4. RPI (Retail Price Improvement) Exclusion

SBE 50-level feed does not include RPI fields, only regular best bid/ask levels.

Level 50 Snapshot partially vs Level 40 full snapshot

Pros

Delta + small partial snapshot keeps consuming less bandwidth.
Extreme Market Handling: partial snapshot + delta is more robust.
Supports more than 10 levels.
Delta + partial snapshot provides continuous sync (similar to CME, Nasdaq, Binance, OKX).

Cons

Client must handle partial snapshot + deltas to construct orderbook.
Needs correct delta sequence alignment.

FAQ about field `seq`

The seq field is a unified global sequence number.
It remains consistent across different depths. It is monotonically increasing, but not guaranteed to be continuous.
All messages are generated in the quote service, where both seq and u values are assigned.
In the WebSocket server, messages are forwarded transparently without modification.
Therefore, for all clients connected to the same WS server, the same message has the same seq and u values, regardless of the connection.

Connection

Please use your dedicated MMWS host to connect.

Data Frame Type

SBE messages are transmitted as binary frames (opcode = 2).

Control Messages

Subscription, unsubscription, ping/pong, and other control messages follow the Bybit V5 API standard.

Flow

Ping / Pong (JSON control frames)

Send Ping

{"req_id": "100001", "op": "ping"}

Receive Pong

{
  "success": true,
  "ret_msg": "pong",
  "conn_id": "xxxxx-xx",
  "req_id": "",
  "op": "ping"
}

Topic format: ob.50.sbe.<symbol>
Example: BTCUSDT, ETHUSDT

Subscribe request

{"op": "subscribe", "args": ["ob.50.sbe.BTCUSDT"]}

Subscription confirmation

{
  "success": true,
  "ret_msg": "",
  "conn_id": "d30fdpbboasp1pjbe7r0",
  "req_id": "xxx",
  "op": "subscribe"
}

SBE XML Template (L50 OB)

<?xml version="1.0" encoding="UTF-8"?>
<sbe:messageSchema xmlns:sbe="http://fixprotocol.io/2016/sbe"
                   xmlns:mbx="https://bybit-exchange.github.io/docs/v5/intro"
                   package="quote.sbe"
                   id="1"
                   version="0"
                   semanticVersion="1.0.0"
                   description="Bybit market data streams SBE message schema"
                   byteOrder="littleEndian"
                   headerType="messageHeader">
  <types>
    <composite name="messageHeader" description="Template ID and length of message root">
      <type name="blockLength" primitiveType="uint16"/>
      <type name="templateId" primitiveType="uint16"/>
      <type name="schemaId" primitiveType="uint16"/>
      <type name="version" primitiveType="uint16"/>
    </composite>

    <composite name="varString8" description="Variable length UTF-8 string.">
      <type name="length" primitiveType="uint8"/>
      <type name="varData" length="0" primitiveType="uint8" semanticType="String" characterEncoding="UTF-8"/>
    </composite>

    <composite name="groupSize16Encoding" description="Repeating group dimensions.">
      <type name="blockLength" primitiveType="uint16"/>
      <type name="numInGroup" primitiveType="uint16"/>
    </composite>

    <!-- NEW: package type enum -->
    <enum name="pkgTypeEnum" encodingType="uint8">
      <validValue name="SNAPSHOT">0</validValue>
      <validValue name="DELTA">1</validValue>
    </enum>
  </types>

  <!-- Stream event for "ob.rpi.1.sbe.<symbol>" channel -->
  <sbe:message name="BestOBRpiEvent" id="20000">
    <field id="1"  name="ts"             type="int64" description="The timestamp in microseconds that the system generates the data"/>
    <field id="2"  name="seq"            type="int64" description="Cross sequence ID"/>
    <field id="3"  name="cts"            type="int64" description="The timestamp in microseconds from the matching engine when this orderbook data is produced."/>
    <field id="4"  name="u"              type="int64" description="Update Id"/>
    <field id="5"  name="askNormalPrice" type="int64" mbx:exponent="priceExponent" description="Mantissa for the best ask normal price"/>
    <field id="6"  name="askNormalSize"  type="int64" mbx:exponent="sizeExponent" description="Mantissa for the best ask normal size"/>
    <field id="7"  name="askRpiPrice"    type="int64" mbx:exponent="priceExponent" description="Mantissa for the best ask rpi price"/>
    <field id="8"  name="askRpiSize"     type="int64" mbx:exponent="sizeExponent" description="Mantissa for the best ask rpi size"/>
    <field id="9"  name="bidNormalPrice" type="int64" mbx:exponent="priceExponent" description="Mantissa for the best bid normal price"/>
    <field id="10" name="bidNormalSize"  type="int64" mbx:exponent="sizeExponent" description="Mantissa for the best bid normal size"/>
    <field id="11" name="bidRpiPrice"    type="int64" mbx:exponent="priceExponent" description="Mantissa for the best bid rpi price"/>
    <field id="12" name="bidRpiSize"     type="int64" mbx:exponent="sizeExponent" description="Mantissa for the best bid rpi size"/>
    <field id="13" name="priceExponent"  type="int8"  description="Price exponent for decimal point positioning"/>
    <field id="14" name="sizeExponent"   type="int8"  description="Size exponent for decimal point positioning"/>
    <data  id="55" name="symbol"         type="varString8"/>
  </sbe:message>

  <!-- Stream event for "ob.50.sbe.<symbol>" channel -->
  <sbe:message name="OBL50Event" id="20001">
    <field id="1"  name="ts"            type="int64" description="The timestamp in microseconds that the system generates the data"/>
    <field id="2"  name="seq"           type="int64" description="Cross sequence ID"/>
    <field id="3"  name="cts"           type="int64" description="The timestamp in microseconds from the matching engine when this orderbook data is produced."/>
    <field id="4"  name="u"             type="int64" description="Update Id"/>
    <field id="5"  name="priceExponent" type="int8"  description="Price exponent for decimal point positioning"/>
    <field id="6"  name="sizeExponent"  type="int8"  description="Size exponent for decimal point positioning"/>
    <!-- NEW: package type -->
    <field id="7"  name="pkgType"       type="pkgTypeEnum" description="Package type: 0 = SNAPSHOT (full book), 1 = DELTA (partial update)"/>

    <group id="40" name="asks" dimensionType="groupSize16Encoding" description="Sell side order book updates">
      <field id="1" name="price" type="int64" description="Price mantissa"/>
      <field id="2" name="size"  type="int64" description="Size mantissa"/>
    </group>

    <group id="41" name="bids" dimensionType="groupSize16Encoding" description="Buy side order book updates">
      <field id="1" name="price" type="int64" description="Price mantissa"/>
      <field id="2" name="size"  type="int64" description="Size mantissa"/>
    </group>

    <data id="55" name="symbol" type="varString8"/>
  </sbe:message>
</sbe:messageSchema>

SBE Level 50 – Field Reference

Message: OBL50Event (id = 20001)

Field Name	ID	SBE Type	Unit / Format	Notes
ts	1	int64	µs	System generation time at push side (dispatcher).
seq	2	int64	integer	Cross-sequence id (monotonic per feed; not guaranteed continuous).
cts	3	int64	µs	Matching-engine creation time of this OB snapshot or delta; used for latency measurements.
u	4	int64	integer	Update id (monotonic per symbol). Useful to check continuity.
priceExponent	5	int8	exponent	Decimal places for price. Display price = mantissa × 10^`priceExponent`.
sizeExponent	6	int8	exponent	Decimal places for size. Display size = mantissa × 10^`sizeExponent`.
pkgType	7	uint8 (`pkgTypeEnum`)	integer	Package type (0 = snapshot, 1 = delta).
asks	40	group(`groupSize16Encoding`)	—	Sell side updates (up to 50 levels).
bids	41	group(`groupSize16Encoding`)	—	Buy side updates (up to 50 levels).
symbol	55	varString8	UTF-8	1-byte length + bytes, e.g., `0x07 "BTCUSDT"`.

Enum: `pkgTypeEnum` (for `pkgType`)

Name	Value	Meaning
SNAPSHOT	0	Full Level-50 snapshot of the order book. Local book should be fully replaced.
DELTA	1	Incremental update on top of the last applied book. Only listed levels need updates/removal.

Repeating group element layout (bids)

Parent Group	Element Field	SBE Type	Unit / Format	Notes
asks / bids	price	int64	mantissa	Apply `priceExponent`.
asks / bids	size	int64	mantissa	Apply `sizeExponent`.

Asks Group

Sell side orderbook updates.

Field (id)	Type	Description
price (1)	int64	Ask price mantissa. Display ask price = `price × 10^priceExponent`.
size (2)	int64	Ask size mantissa. Display ask size = `size × 10^sizeExponent`.

Bids Group

Buy side orderbook updates.

Field (id)	Type	Description
price (1)	int64	Bid price mantissa. Display bid price = `price × 10^priceExponent`.
size (2)	int64	Bid size mantissa. Display bid size = `size × 10^sizeExponent`.

Order: groups are encoded as: blockLength:uint16, numInGroup:uint16, then numInGroup elements, each exactly blockLength bytes.
In this schema each element is 16 bytes (two int64s).

Supporting composites

`varString8` (variable string)

Field	SBE Type	Notes
length	uint8	Number of bytes that follow.
varData	uint8[length]	UTF-8 bytes.

SBE Connection Limit

Spot: 1500 connections limit per dedicated MMWS host.
Futures (linear + inverse): 3000 connections limit per dedicated MMWS host.
Once you breach the connection limit, new connections return HTTP 429.

Integration Script

Python

import json
import logging
import struct
import threading
import time
from datetime import datetime
from typing import Dict, Any, List, Tuple

import websocket

logging.basicConfig(
    filename='logfile_ob50.log',
    level=logging.INFO,
    format='%(asctime)s %(levelname)s %(message)s'
)

# -------------------------------------------------------------------
# Config
# -------------------------------------------------------------------

# L50 SBE order book topic
TOPIC = "ob.50.sbe.BTCUSDT"

# Adjust URL for spot / contract environment as needed:
WS_URL = "wss://stream-testnet.bybits.org/v5/public-sbe/spot"

# -------------------------------------------------------------------
# SBE Parser for OBL50Event (template_id = 20001)
#
# XML schema:
#   ts(int64), seq(int64), cts(int64), u(int64),
#   priceExponent(int8), sizeExponent(int8),
#   pkgType(uint8)   # 0 = SNAPSHOT, 1 = DELTA
#   group asks: blockLen(uint16), numInGroup(uint16),
#               then numInGroup * [ price(int64), size(int64) ]
#   group bids: same as asks
#   symbol(varString8)
# -------------------------------------------------------------------

class SBEOBL50Parser:
    def __init__(self):
        # message header: blockLength, templateId, schemaId, version
        self.header_fmt = "<HHHH"
        self.header_sz = struct.calcsize(self.header_fmt)

        # fixed body fields:
        # ts, seq, cts, u   -> 4 x int64
        # priceExponent, sizeExponent -> 2 x int8
        # pkgType -> uint8
        self.body_fmt = "<qqqqbbB"   # 4*q + 2*b + B
        self.body_sz = struct.calcsize(self.body_fmt)

        # group header for repeating groups: blockLength(uint16), numInGroup(uint16)
        self.group_hdr_fmt = "<HH"
        self.group_hdr_sz = struct.calcsize(self.group_hdr_fmt)

        # each group entry: price(int64), size(int64)
        self.level_fmt = "<qq"
        self.level_sz = struct.calcsize(self.level_fmt)

        self.target_template_id = 20001

    # ---------------- core small helpers ----------------

    def _parse_header(self, data: bytes) -> Dict[str, Any]:
        if len(data) < self.header_sz:
            raise ValueError("insufficient data for SBE header")
        block_length, template_id, schema_id, version = struct.unpack_from(
            self.header_fmt, data, 0
        )
        return {
            "block_length": block_length,
            "template_id": template_id,
            "schema_id": schema_id,
            "version": version,
        }

    @staticmethod
    def _parse_varstring8(data: bytes, offset: int) -> Tuple[str, int]:
        if offset + 1 > len(data):
            raise ValueError("insufficient data for varString8 length")
        (length,) = struct.unpack_from("<B", data, offset)
        offset += 1
        if length == 0:
            return "", offset
        if offset + length > len(data):
            raise ValueError("insufficient data for varString8 bytes")
        s = data[offset: offset + length].decode("utf-8")
        offset += length
        return s, offset

    @staticmethod
    def _apply_exponent(value: int, exponent: int) -> float:
        return value / (10 ** exponent) if exponent >= 0 else value * (10 ** (-exponent))

    def _parse_levels(self, data: bytes, offset: int) -> Tuple[List[Dict[str, float]], int]:
        """
        Parse one repeating group (asks or bids).
        Layout:
           uint16 blockLength
           uint16 numInGroup
           numInGroup * [ price(int64), size(int64) ] (within blockLength)
        """
        if offset + self.group_hdr_sz > len(data):
            raise ValueError("insufficient data for group header")
        block_len, num_in_group = struct.unpack_from(self.group_hdr_fmt, data, offset)
        offset += self.group_hdr_sz

        if block_len < self.level_sz:
            raise ValueError(f"blockLength({block_len}) < level_sz({self.level_sz})")

        levels = []
        for _ in range(num_in_group):
            if offset + block_len > len(data):
                raise ValueError("insufficient data for group entry")
            # we only care about first 16 bytes (price, size)
            price_m, size_m = struct.unpack_from(self.level_fmt, data, offset)
            offset += block_len  # skip the whole block (safe if future adds extra fields)

            levels.append({
                "price_m": price_m,
                "size_m": size_m,
            })
        return levels, offset

    # ---------------- public parse ----------------

    def parse(self, data: bytes) -> Dict[str, Any]:
        hdr = self._parse_header(data)
        if hdr["template_id"] != self.target_template_id:
            raise NotImplementedError(f"unsupported template_id={hdr['template_id']}")

        if len(data) < self.header_sz + self.body_sz:
            raise ValueError("insufficient data for OBL50Event body")

        # parse fixed body
        (ts, seq, cts, u,
         price_exp, size_exp, pkg_type) = struct.unpack_from(
            self.body_fmt, data, self.header_sz
        )

        offset = self.header_sz + self.body_sz

        # asks group
        asks_raw, offset = self._parse_levels(data, offset)
        # bids group
        bids_raw, offset = self._parse_levels(data, offset)
        # symbol
        symbol, offset = self._parse_varstring8(data, offset)

        # apply exponents
        asks = [
            {
                "price": self._apply_exponent(l["price_m"], price_exp),
                "size": self._apply_exponent(l["size_m"], size_exp),
            }
            for l in asks_raw
        ]
        bids = [
            {
                "price": self._apply_exponent(l["price_m"], price_exp),
                "size": self._apply_exponent(l["size_m"], size_exp),
            }
            for l in bids_raw
        ]

        return {
            "header": hdr,
            "ts": ts,
            "seq": seq,
            "cts": cts,
            "u": u,
            "price_exponent": price_exp,
            "size_exponent": size_exp,
            "pkg_type": pkg_type,   # 0 = SNAPSHOT, 1 = DELTA
            "symbol": symbol,
            "asks": asks,
            "bids": bids,
            "parsed_length": offset,
        }


parser = SBEOBL50Parser()

# -------------------------------------------------------------------
# WebSocket handlers
# -------------------------------------------------------------------

def on_message(ws, message):
    try:
        if isinstance(message, (bytes, bytearray)):
            decoded = parser.parse(message)

            pkg_type = decoded["pkg_type"]
            pkg_str = "SNAPSHOT" if pkg_type == 0 else "DELTA" if pkg_type == 1 else f"UNKNOWN({pkg_type})"

            asks = decoded["asks"]
            bids = decoded["bids"]

            best_ask = asks[0] if asks else {"price": 0.0, "size": 0.0}
            best_bid = bids[0] if bids else {"price": 0.0, "size": 0.0}

            logging.info(
                "SBE %s u=%s seq=%s type=%s asks=%d bids=%d "
                "BEST bid=%.8f@%.8f ask=%.8f@%.8f ts=%s",
                decoded["symbol"], decoded["u"], decoded["seq"], pkg_str,
                len(asks), len(bids),
                best_bid["price"], best_bid["size"],
                best_ask["price"], best_ask["size"],
                decoded["ts"],
            )

            print(
                f"{decoded['symbol']}  u={decoded['u']}  seq={decoded['seq']}  {pkg_str}  "
                f"levels: asks={len(asks)} bids={len(bids)}  "
                f"BEST: bid {best_bid['price']:.8f} x {best_bid['size']:.8f}  |  "
                f"ask {best_ask['price']:.8f} x {best_ask['size']:.8f}"
            )

        else:
            # text frame: control / errors / ping-pong
            try:
                obj = json.loads(message)
                logging.info("TEXT %s", obj)
                print("TEXT:", obj)
            except json.JSONDecodeError:
                logging.warning("non-JSON text frame: %r", message)
                print("TEXT(non-json):", message)
    except Exception as e:
        logging.exception("decode error: %s", e)
        print("decode error:", e)


def on_error(ws, error):
    print("WS error:", error)
    logging.error("WS error: %s", error)


def on_close(ws, *_):
    print("### connection closed ###")
    logging.info("connection closed")


def ping_per(ws):
    while True:
        try:
            ws.send(json.dumps({"op": "ping"}))
        except Exception:
            return
        time.sleep(10)


def on_open(ws):
    print("opened")
    sub = {"op": "subscribe", "args": [TOPIC]}
    ws.send(json.dumps(sub))
    print("subscribed:", TOPIC)

    # background ping thread
    threading.Thread(target=ping_per, args=(ws,), daemon=True).start()


def on_pong(ws, *_):
    print("pong received")


def on_ping(ws, *_):
    print("ping received @", datetime.now().strftime("%Y-%m-%d %H:%M:%S"))


def connWS():
    ws = websocket.WebSocketApp(
        WS_URL,
        on_open=on_open,
        on_message=on_message,
        on_error=on_error,
        on_close=on_close,
        on_ping=on_ping,
        on_pong=on_pong,
    )
    ws.run_forever(ping_interval=20, ping_timeout=10)


if __name__ == "__main__":
    websocket.enableTrace(False)
    connWS()
    

Golang

// sbe_ob50_client.go
package main

import (
    "bytes"
    "compress/flate"
    "encoding/binary"
    "encoding/json"
    "fmt"
    "log"
    "math"
    "time"

    "github.com/gorilla/websocket"
    "yourmodule/quote" // generated SBE package
)

const (
    WSURL   = "wss://stream.bybit.com/v5/market/sbe"
    CHANNEL = "ob.50.sbe.BTCUSDT"
)

func toReal(mantissa int64, exponent int8) float64 {
    return float64(mantissa) * math.Pow10(int(exponent))
}

func decodeOBL50(buf []byte) (*quote.OBL50Event, error) {
    var hdr quote.MessageHeader
    reader := bytes.NewReader(buf)

    // decode messageHeader (little endian)
    if err := binary.Read(reader, binary.LittleEndian, &hdr); err != nil {
        return nil, fmt.Errorf("read header: %w", err)
    }

    if hdr.TemplateId != 20001 {
        return nil, fmt.Errorf("unexpected templateId: %d", hdr.TemplateId)
    }

    var msg quote.OBL50Event
    // many generators provide WrapForDecode; here assume we can read the fixed block then groups
    if err := msg.Decode(reader, int(hdr.BlockLength), int(hdr.Version)); err != nil {
        return nil, fmt.Errorf("decode OBL50: %w", err)
    }

    return &msg, nil
}

func main() {
    book := NewOrderBook()

    dialer := websocket.Dialer{
        HandshakeTimeout: 10 * time.Second,
        EnableCompression: false,
    }

    conn, _, err := dialer.Dial(WSURL, nil)
    if err != nil {
        log.Fatalf("dial: %v", err)
    }
    defer conn.Close()

    // subscribe
    sub := map[string]interface{}{
        "op":   "subscribe",
        "args": []string{CHANNEL},
    }
    if err := conn.WriteJSON(sub); err != nil {
        log.Fatalf("subscribe: %v", err)
    }

    for {
        mt, data, err := conn.ReadMessage()
        if err != nil {
            log.Fatalf("read: %v", err)
        }

        if mt == websocket.TextMessage {
            // control JSON or pong etc
            var m map[string]interface{}
            _ = json.Unmarshal(data, &m)
            continue
        }

        // if server wraps SBE in per-message deflate, you may need to decompress:
        if isDeflatedFrame(data) {
            data, err = inflate(data)
            if err != nil {
                log.Printf("inflate error: %v", err)
                continue
            }
        }

        msg, err := decodeOBL50(data)
        if err != nil {
            log.Printf("decode error: %v", err)
            continue
        }

        u := msg.U
        pkgType := msg.PkgType // 0 snapshot, 1 delta
        pxExp := msg.PriceExponent
        szExp := msg.SizeExponent

        // extract levels
        var asks, bids [][2]float64
        for _, a := range msg.Asks {
            p := toReal(a.Price, pxExp)
            sz := toReal(a.Size, szExp)
            asks = append(asks, [2]float64{p, sz})
        }
        for _, b := range msg.Bids {
            p := toReal(b.Price, pxExp)
            sz := toReal(b.Size, szExp)
            bids = append(bids, [2]float64{p, sz})
        }

        // continuity logic:
        if u == 1 {
            // service restart / precision change snapshot
            book.Asks.SnapshotFrom(asks)
            book.Bids.SnapshotFrom(bids)
            book.LastU = 1
            fmt.Printf("[RESET SNAPSHOT] u=%d seq=%d symbol=%s\n", u, msg.Seq, msg.Symbol)
            continue
        }

        if book.LastU != 0 && u != book.LastU+1 {
            log.Printf("[WARN] u jump: lastU=%d newU=%d – consider resync", book.LastU, u)
        }

        if pkgType == quote.PkgTypeEnum_SNAPSHOT {
            book.Asks.SnapshotFrom(asks)
            book.Bids.SnapshotFrom(bids)
        } else {
            for _, lv := range asks {
                book.Asks.Apply(lv[0], lv[1])
            }
            for _, lv := range bids {
                book.Bids.Apply(lv[0], lv[1])
            }
        }

        book.LastU = u
        bestBid := book.Bids.BestBid()
        bestAsk := book.Asks.BestAsk()
        fmt.Printf("u=%d pkgType=%d bestBid=%.5f bestAsk=%.5f\n", u, pkgType, bestBid, bestAsk)
    }
}

// helpers (optional, depending on ws framing)
func isDeflatedFrame(data []byte) bool {
    // placeholder: detect by protocol; many setups know from WS sub-protocol
    return false
}

func inflate(data []byte) ([]byte, error) {
    r := flate.NewReader(bytes.NewReader(data))
    defer r.Close()

    var out bytes.Buffer
    if _, err := out.ReadFrom(r); err != nil {
        return nil, err
    }
    return out.Bytes(), nil
}

Overview​

Order Book Update Logic (Snapshot + Delta Mode)​

Message Types​

Rules for the u (Update ID) Field​

Behavior of u​

Continuity Validation​

Rules for Order Book Maintenance​

First Message of connection and reconnection​

Snapshot Handling​

Delta Handling​

Example Push Update​

Key Differences between SBE & JSON​

1. Time Precision​

2. Payload Size & Efficiency​

3. Snapshot Mode Behavior​

4. RPI (Retail Price Improvement) Exclusion​

Level 50 Snapshot partially vs Level 40 full snapshot​

FAQ about field seq​

Connection​

Data Frame Type​

Control Messages​

Flow​

Ping / Pong (JSON control frames)​

Subscribe​

SBE XML Template (L50 OB)​

SBE Level 50 – Field Reference​

Enum: pkgTypeEnum (for pkgType)​

Repeating group element layout (bids)​

Asks Group​

Bids Group​

Supporting composites​

varString8 (variable string)​

SBE Connection Limit​

Integration Script​

Python​

Golang​