I'm having problems maintaining an accurate local orderbook because the websocket often does not send explicit removal messages for a given price point. By looking at the orderbook on the GUI i can see that I should have removed some price/amounts
The websocket feed often does not send an explicit removal message at a given price point. how should we reason about when to remove price points in the absence of an explicit removal message?
I'm having problems maintaining an accurate local orderbook because the websocket often does not send explicit removal messages for a given price point. By looking at the orderbook on the GUI i can see that I should have removed some price/amounts
The websocket feed often does not send an explicit removal message at a given price point. how should we reason about when to remove price points in the absence of an explicit removal message?