There's a new MTGox websocket API. This API works by subscription to channels, and each channel is represented by an UUID.
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imho
It will be good to send 10-30 best Sell and Buy depths one new connection after subsribe to depth channel : price, type, ABSOLUTE-volume
After that depth data sent in relative manner: +volume, -volume
It gives knowledge to robots(or men) of current volumes for asks & bids.
technically:
JSON changes to this: add new attr to "depth": "abs"=X: where X = "1" for absolute volume; "0" or absent attr - relative volume as now
That data can be cashed on server for all new clients. Depth changes updates cache. Need to generate JSON (for sent) on request only - more expansive operation than just update some structs in cache.
PS
Sorry for my Russian English
