I've been playing around a bit with this webcosket feed in C#, and I'm not sure if I'm doing things wrong or the feed is slightly broken.

Every time I receive a depth update I check the volume, if it's positive I add it to my local depth table, if it's negative I search the table for an exact matching depth entry, and remove it. After a while, this ends up with sell prices being less than buy prices - which is clearly wrong. Should this work, or am I missing something?

w.r.t all the people saying that sending the complete depth table on connection would be useful, I agree. It seems vital for the client to be able to request depth data, I would implement it as the client sending a request message for depth data, something like:

{ "op":"request-depth" }

And then the socket sends back the *complete* depth data in a *single message* in the same form that the web API currently returns it. In this way, once you receive the complete table you know you have a reliable dataset to perform updates to as they arrive.

The obvious caveat of this is that once you send the complete depth data, it must act as a "barrier", you can't send the complete state, and then an update to a stale state. (does this make sense?)