Add support for streaming orderbook changes only when the top N asks or bids changed #14
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Marfusios
approved these changes
Jun 17, 2024
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The reason for adding this support is so that a trading bot doesn't need to process orderbook updates that are happening "deep down" in the orderbook. This is because many trading algorithms are only concerned with orderbooks changes that would materially impact it's trading activity.
Most of the time we are only interested in the top few levels of asks/bids as we would be able to fill our market orders without causing much slippage. The intention behind this change is to optimize the resource usage of consuming code so that they don't need to process "frivolous" orderbook updates.