websocket-checksum

This repository can be used as a guide to generate checksum for orderbookUpdate events. It's important that the checksum is generated the same way so it can be used as a reliable data that can be compared with the checksum number received from orderbookUpdate event

Assuming an orderbook arrives as per below sample:

{ marketId: 'BTC-AUD',
    timestamp: '"2020-01-08T19:47:24.054Z',
    snapshotId: 1578512844045000,
    bids:  [ ['99.81', '1.2', 1 ], ['95.8', '0', 0 ]],
    asks: [ ['100', '3.2', 2 ] ],
    messageType: 'orderbookUpdate'
  }

Then following algorithm can be usd to generate a checksum:

Checksum algorithm

• Algoritm to calculate:
• start with top 10 Bid orders (or less if there is less than 10)
• for every price and volume:
• remove "."
• remove leading zeros
• concatenate price + volume as a string
• add above for all orders in top 10 bids (based on highest bid to lowest bid price). if there are less than 10 orders then uer whatever is there.
• repeat above for top 10 Ask orders
• concatenate result of bids and asks
• calculate checksum for the string
• if your CRC32 library produces leading zero then remove it from the result before comparing
• checksum zero means there are no bids/asks in the orderbook (unlikely)