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.
I prefer my suggestion of a request packet which the client can send at any time to request the complete depth state, and then relative +volume -volume stream continues from there.
volumes and prices sometimes received as :X.YYYYYYYYYYY
who needed so many digits after dot?
We need as many digits as people can specify, which as far as I know is an unlimited amount.