It seems, though, that I'm doing something wrong: I'm getting negative volumes in my depth data after a while.
Actually the negative values are cancelled orders.
Of course. So to keep my copy of the "order book" synced, I add that negative value at the given price and should get 0, or (if some other order at the same price still exitsts) some positive value, but never a negative value, which happens to me.
Mtgox has some bugs. The websocket often entirely skips sending some depth messages, sends some at a slightly different price than what they should be, and the APIs (or site in general) has rounding inconsistencies. I've only partially worked around these issues by rounding all depth message prices to the 5th decimal place and volumes to the 3rd decimal place, and creating a button in my program that I can click to manually refresh the entire depth tables when I start noticing odd stuff.
An example is where a bot will download it's own open orders, see that one of it's orders is something like 6.253, but it wants it to be 6.252999, so it removes the order for 6.253 and creates a new one at 6.252999, and both of those come over the websocket just like that. And the bot does this over and over again because the API for getting your own open orders rounds to the 4th decimal place, but the websocket will do at least 6 decimal places for prices and more than that for volume, so your table ends up removing the order at 6.253 over and over again, resulting in a negative number, while it keeps adding orders to 6.252999 over and over again, making some huge number that's not accurate. The bugs and inconsistencies are pretty annoying.