爲提升交易體驗，Gate將於近期在U本位永續合約中推出全新深度頻道futures.obu，優化推送邏輯並擴展深度檔位。具體規則如下：
1.頻道詳情
- 名稱：futures.obu
- 參數格式：ob.{symbol}.{level}
示例：ob.BTC_USDT.400（400檔）、ob.BTC_USDT.50（50檔）
- 檔位與頻率：
400檔：每100ms更新
50檔：每20ms更新
2.訂閱與推送規則
-
1.全量深度推送（full=true）： 當頻道推送的深度爲全量深度時，需要將該深度數據完整替換本地深度，並將深度ID更新爲消息中的字段 u。服務端可能會重復推送全量深度。
-
2.增量深度推送（full=false）： 增量消息中不會顯示 "full" 字段，此時消息包含字段 "U"（深度起始ID）和 "u"（深度結束ID）。
- 如果 U = 本地深度ID + 1，則表示深度連續更新：
將本地深度ID替換爲消息中的 "u"。
若更新中的 "a" 和 "b" 不爲空，分別按價格更新對應的買、賣深度數量（level[0] 爲價格，level[1] 爲數量）。當數量 level[1] = "0" 時，需移除對應檔位。
- 若 U ≠ 本地深度ID + 1，則深度數據不連續，需要取消訂閱該市場，並重新訂閱以獲取初始化深度。
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3.訂閱限制： 針對同一合約的同一深度流，一個連結只允許訂閱一次，重復訂閱會返回錯誤。示例：
{ "error": { "code": 2, "message": "Alert sub ob.BTC_USDT.50" } }
3.操作與數據推送示例
訂閱請求示例
from websocket import create_connection
import json
ws = create_connection("wss://ws-testnet.gate.io/v4/ws/futures/usdt")
subscribe_msg = {"time": 1747054611, "channel": "futures.obu", "event": "subscribe", "payload": ["ob.BTC_USDT.50"]}
ws.send(json.dumps(subscribe_msg))
print(ws.recv())
訂閱成功響應示例
{"time":1747054611,"time_ms":1747054611614,"conn_id":"d7de96c024f2a5b2","trace_id":"e6fd9bdd617fcdb80d0762ffa33e71f6","channel":"futures.obu","event":"subscribe","payload":["ob.BTC_USDT.50"],"result":{"status":"success"}}
全量推送示例
{"channel":"futures.obu","result":{"t":1747054612673,"full":true,"s":"ob.BTC_USDT.50","u":73777715168,"b":[["104027.1","509392"],["104027","477932"],["104026.9","495268"],["104026.7","32736"],["104026.5","34203"],["104026.3","41574"],["104026.1","38304"],["104025.9","32032"],["104025.7","37002"],["104025.5","34533"],["104025.3","33314"],["104025.1","35940"],["104024.9","45910"],["104024.7","35976"],["104024.5","43786"],["104024.3","48071"],["104016.7","41323"],["104006.3","43951"],["103995.9","33242"],["103985.5","41970"],["103975.1","42491"],["103964.7","37901"],["103954.3","39813"],["103943.9","36248"],["103933.5","39625"],["103923.1","39711"],["103912.7","33346"],["103902.3","31525"],["103891.9","34768"],["103881.5","43964"],["103871.1","43706"],["102897.6","1"],["11000","44782"]],"a":[["104027.2","44617"],["104027.4","39322"],["104027.6","41485"],["104027.8","31237"],["104028","31186"],["104028.2","46392"],["104028.4","35450"],["104028.6","36521"],["104028.8","32805"],["104029","41248"],["104029.2","39116"],["104029.4","40685"],["104029.6","37907"],["104029.8","40635"],["104030","38132"],["104037.6","29238"],["104048","38673"],["104058.4","39043"],["104068.8","45300"],["104079.2","45954"],["104089.6","39731"],["104100","44410"],["104110.4","37043"],["104120.8","31646"],["104131.2","32643"],["104141.6","40837"],["104152","42588"],["104162.4","45369"],["104172.8","30834"],["104183.2","41898"],["108000","699"],["100000000","10"]]},"time_ms":1747054612848}
增量推送示例
{"channel":"futures.obu","result":{"t":1747054612695,"s":"ob.BTC_USDT.50","U":73777715169,"u":73777715212,"b":[["104024.5","10343"],["104014.5","509392"],["104014.3","477932"],["104012.6","33314"],["104012.5","15215"],["104011.6","48071"],["104027.1","0"],["104027","0"],["104026.9","0"],["104026.7","0"],["104026.5","0"],["104026.3","0"],["104026.1","0"],["104025.9","0"],["104025.7","0"],["104025.5","0"],["104025.3","0"],["104025.1","0"],["104024.9","0"],["104024.7","0"],["104024.3","0"]],"a":[["104027.2","0"],["104027.4","0"],["104027.6","0"],["104027.8","0"],["104028.2","0"],["104028.4","0"],["104028.6","0"],["104028.8","0"],["104029.2","0"],["104029.6","0"],["104029.8","0"],["104030","0"]]},"time_ms":1747054612925}
取消訂閱請求示例
from websocket import create_connection
import json
ws = create_connection("wss://ws-testnet.gate.io/v4/ws/futures/usdt")
unsubscribe_msg = {"time": 123456, "channel": "futures.obu", "event": "unsubscribe", "payload": ["ob.BTC_USDT.50"]}
ws.send(json.dumps(unsubscribe_msg))
print(ws.recv())
取消訂閱響應示例
{"time": 1743673617,"time_ms": 1743673617242,"id": 1,"conn_id": "7b06ff199a98ab0e","trace_id": "8f86e4021a84440e502f73fde5b94918","channel": "futures.obu","event": "unsubscribe","payload": ["ob.BTC_USDT.50"],"result": {"status": "success"}}
4.模擬盤測試通知
此功能已在永續合約模擬環境上線，請通過以下URL接入測試： WebSocket U本位永續合約模擬交易地址：
wss://ws-testnet.gate.io/v4/ws/futures/usdt
請開發者根據新規則調整對接邏輯。如有疑問，請聯系客戶支持團隊。
Gate團隊
2025年5月13日
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