Diff. Depth Stream

Stream: <symbol>@depth · <symbol>@depth@100ms

Status: Not yet implemented (空缺).

Binance publishes incremental order-book updates (e: "depthUpdate" with U / u sequence numbers) that a client applies on top of a REST snapshot. Rocky's matching engine currently exposes snapshots only, so there is no diff stream and lastUpdateId on GET /api/v3/depth is a timestamp rather than a sequence number.

Subscribing to <symbol>@depth is refused with close code 1008, reason unknown stream: <symbol>@depth.

Use instead: the partial book depth streams (@depth5 / @depth10 / @depth20, 250 ms snapshots). For full-depth needs, poll GET /api/v3/depth?limit=5000 at weight 5.

Planned scope (V2): engine-emitted increments with a monotonic per-symbol update id, delivered as Binance-shaped depthUpdate frames, with lastUpdateId on the REST snapshot becoming the matching sequence number. Track this page and the Changelog.