Gate.io 永续合约深度频道升级公告

为提升交易体验，Gate.io将于近期在U本位永续合约中推出全新深度频道futures.obu，优化推送逻辑并扩展深度档位。具体规则如下：

1.频道详情

名称：futures.obu
参数格式：ob.{symbol}.{level}
示例：ob.BTC_USDT.400（400档）、ob.BTC_USDT.50（50档）
档位与频率：
400档：每100ms更新
50档：每20ms更新

2.订阅与推送规则

1.全量深度推送（full=true）： 当频道推送的深度为全量深度时，需要将该深度数据完整替换本地深度，并将深度ID更新为消息中的字段 u。服务端可能会重复推送全量深度。
- 订阅该频道时，首次推送为全量深度。
2.增量深度推送（full=false）： 增量消息中不会显示 “full” 字段，此时消息包含字段 “U”（深度起始ID）和 “u”（深度结束ID）。
- 如果 U = 本地深度ID + 1，则表示深度连续更新：
  将本地深度ID替换为消息中的 “u”。
  若更新中的 “a” 和 “b” 不为空，分别按价格更新对应的买、卖深度数量（level[0] 为价格，level[1] 为数量）。当数量 level[1] = “0” 时，需移除对应档位。
- 若 U ≠ 本地深度ID + 1，则深度数据不连续，需要取消订阅该市场，并重新订阅以获取初始化深度。
3.订阅限制： 针对同一合约的同一深度流，一个链接只允许订阅一次，重复订阅会返回错误。示例：

{ "error": { "code": 2, "message": "Alert sub ob.BTC_USDT.50" } }

3.操作与数据推送示例

3.1订阅

订阅请求示例

from websocket import create_connection 
import json 
ws = create_connection("wss://ws-testnet.gatenode.click/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())

订阅成功响应示例

{"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}

3.2 取消订阅

取消订阅请求示例

from websocket import create_connection
import json 
ws = create_connection("wss://ws-testnet.gatenode.click/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())

取消订阅响应示例

{"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.模拟盘测试通知
此功能已在永续合约模拟环境上线，请通过以下URL接入测试： WebSocket U本位永续合约模拟交易地址：
wss://ws-testnet.gatenode.click/v4/ws/futures/usdt

请开发者根据新规则调整对接逻辑。如有疑问，请联系客户支持团队。

Gate.io团队
2025年5月13日

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