Has anyone had any luck in building a streaming orderbook using the unofficial pusher stream listed here:
https://bt.irlbtc.com/view/38711.msg3382580#msg3382580 ?
I am attempting to do this, and planned to download the full order book via the REST API, and then update it with the pusher events. However, the issue I have not been able to solve is that the REST API full orderbook does not return order IDs, and the pusher stream updates bids and asks using order ideas, and does not give standalone deltas of change when changing an order. If the pusher events were just add and cancel orders, it would be possible to just add and subtract the appropriate amounts from the appropriate levels in the book.
However, when an order_changed event is received, the pusher stream does not contain information on what the previous amount of the order was, so if the new order is say, bid 100 @ $1000, there is no way to know if the old order was bid 50 @ 1000$, and the appropriate action is to add quantity 50 to the bids at $1000, or of the old order was big 500 @ 1000$, and the appropriate action is to subtract 450 from the bids @ 1000$. Without an actual delta on order change events, I don't see how it is possible to get an accurate representation of the book.
This doesn't even take into account all of the out-of-sequence message that come through on pusher.
Bitcoinwisdom has the first 15 levels of depth on their site, and I'm not sure if they do it solely via pusher because they have been running pusher so long that they have most orders cached from the original placement of the order, or if they have solved this some other way.
Any ideas would be greatly appreciated. Surely someone has been able to achieve this.
