I am trying to use level2 channel in Advanced Trade WebSocket to maintain up to date orderbook for a given pair but I have noticed the following unexpected to me behaviour: some updates in "type": "update" WS messages are sometimes refer to the "price_level" which does not actually exist in the current orderbook snapshot. All such messages always seem to have "new_quantity": "0" i.e. are supposed to delete existing price levels but no such price levels actually exist in current orderbook snapshot.
The issue is easily reproducible, e.g. in my experiments for a pair BCH-USD quite often the very next "type": "update" message contains "updates" with "new_quantity": "0" for "price_level"'s which were not present in the initial ("sequence": "0") message of "type": "snapshot".
For now I assume that I can just ignore such updates but I was wondering if it is an expected behaviour or a bug. I could not find anything related to this issue in the official documentation and my assumption is that "type": "update"'s message "updated" field should always refer to an existing in the current orderbook snapshot price level in case of "new_quantity": "0" so such existing price level is to be deleted when such update is applied.
Example:
{
"channel": "l2_data",
"client_id": "",
"timestamp": "2024-03-20T03:57:06.897535411Z",
"sequence_num": 2,
"events": [
{
"type": "update",
"product_id": "BCH-USD",
"updates": [
{
"side": "bid",
"event_time": "2024-03-20T03:57:06.873871Z",
"price_level": "359.57",
"new_quantity": "0"
}
]
}
]
}
This update is supposed to remove price level "359.57" but the previous "type": "snapshot" message does not contain this price level at all.
NB: The "sequence_num": 1 message was "channel": "subscriptions" message so it did not contain any "updates".
Here you can see the initial snapshot and the very next update messages in their entirety (check 359.57 update).