L3 checksum (WebSocket v2)

How to maintain the level3 order book and validate the CRC32 checksum on the WebSocket v2 level3 channel

The level3 channel includes a CRC32 checksum with each update. Validating it confirms your local book is correctly synchronised with the exchange, including the order sequence within each price level.

Checksum verification is optional. You can validate on every update or periodically depending on throughput requirements. The checksum is always calculated over the top 10 price levels regardless of subscription depth.

The level3 checksum logic is similar to the book feed — see the Book checksum (v2) guide. The key difference is that level3 iterates through individual orders within each price level, so it also verifies queue priority.

Maintaining the book

• Process all orders in a message before calculating the checksum.
• A price level with no remaining orders or quantity should be removed from your book.
• After each update, truncate your book to the subscribed depth. If a price level drops out of scope, all orders at the next available price level will be published to maintain the subscription depth.

Checksum calculation

Parse limit_price and order_qty fields using a decimal or string decoder to preserve full precision through deserialisation.

async for bytes in websocket:
    message = json.loads(bytes, parse_float=Decimal)
    self.on_message(message)

Algorithm

1. Build the asks string

   For each of the top 10 ask price levels, sorted by price low to high, iterate through each order in the price level:

   • Remove . from limit_price → "44939.5" → "449395"
   • Remove leading zeros → "449395" → "449395"
   • Remove . from order_qty → "4.52308393" → "452308393"
   • Remove leading zeros → "452308393" → "452308393"
   • Append limit_price + order_qty to the asks string → "449395452308393"
2. Build the bids string

   For each of the top 10 bid price levels, sorted by price high to low, iterate through each order in the price level and apply the same formatting, appending to the bids string.

3. Concatenate and hash

   Concatenate asks + bids strings, then pass the result to a CRC32 function. Cast the result to an unsigned 32-bit integer and compare to the checksum field in the message.

Example

Input snapshot:

{
  "channel": "level3",
  "type": "snapshot",
  "data": [{
    "symbol": "BTC/USD",
    "checksum": 1063832831,
    "bids": [
      {"order_id": "OTCFZG-YOE2Q-LQKNM3", "limit_price": "44939.4", "order_qty": "0.88968699", "timestamp": "2024-01-08T12:26:39.526146327Z"},
      {"order_id": "OFGP5R-B3E7G-54EZD6", "limit_price": "44939.4", "order_qty": "0.45210000", "timestamp": "2024-01-08T12:26:39.530287934Z"},
      {"order_id": "OMPHVY-IZPJ4-KOKA3P", "limit_price": "44939.4", "order_qty": "0.10000000", "timestamp": "2024-01-08T12:26:39.576380340Z"},
      {"order_id": "OAI5QZ-AMPLW-NBNO72", "limit_price": "44939.4", "order_qty": "0.14296323", "timestamp": "2024-01-08T12:26:39.602118534Z"},
      {"order_id": "O7VFZI-CTFWH-FF6EIR", "limit_price": "44939.4", "order_qty": "0.25000000", "timestamp": "2024-01-08T12:26:41.780601700Z"},
      {"order_id": "O472V3-ZG4EZ-OLD66C", "limit_price": "44939.4", "order_qty": "0.10292988", "timestamp": "2024-01-08T12:26:43.087136366Z"},
      {"order_id": "OEK26P-BGPUK-LDHMD2", "limit_price": "44939.4", "order_qty": "0.33880000", "timestamp": "2024-01-08T12:26:43.822433365Z"},
      {"order_id": "OSMYPE-S5VOC-YSS3WM", "limit_price": "44939.4", "order_qty": "1.28140860", "timestamp": "2024-01-08T12:26:45.066096694Z"},
      {"order_id": "OJPMIN-NXZL5-SOWP6V", "limit_price": "44937.1", "order_qty": "0.03346877", "timestamp": "2024-01-08T12:26:39.691304329Z"},
      {"order_id": "O6PUGE-SQWYQ-TRJEEE", "limit_price": "44934.7", "order_qty": "0.35630000", "timestamp": "2024-01-08T12:26:44.129718463Z"},
      {"order_id": "OPUOGC-Q532V-3OKLPM", "limit_price": "44930.2", "order_qty": "0.22734299", "timestamp": "2024-01-08T12:26:30.769031831Z"},
      {"order_id": "OCIU7J-VB3CI-HPULSF", "limit_price": "44930.2", "order_qty": "0.01000000", "timestamp": "2024-01-08T12:26:36.054352106Z"},
      {"order_id": "ORWVAF-LJFLY-ZWEHDQ", "limit_price": "44930.2", "order_qty": "0.05550000", "timestamp": "2024-01-08T12:26:36.635882793Z"},
      {"order_id": "OYRAHE-PI5AN-7KOQ4E", "limit_price": "44930.2", "order_qty": "0.70000000", "timestamp": "2024-01-08T12:26:37.296554518Z"},
      {"order_id": "OGBHYU-UILDD-6DLLYJ", "limit_price": "44930.2", "order_qty": "0.15000000", "timestamp": "2024-01-08T12:26:41.222733191Z"},
      {"order_id": "O74ZBU-K2TKC-R76XSW", "limit_price": "44928.0", "order_qty": "0.00105240", "timestamp": "2024-01-08T12:26:23.542563322Z"},
      {"order_id": "OQVTQF-Y56MR-BM6LWL", "limit_price": "44919.6", "order_qty": "0.33870000", "timestamp": "2024-01-08T12:26:42.808132842Z"},
      {"order_id": "OYEH6U-ZCHA2-3HFR3W", "limit_price": "44919.5", "order_qty": "0.07610000", "timestamp": "2024-01-08T12:26:34.269600037Z"},
      {"order_id": "OLGPG7-HVKXU-J6SANK", "limit_price": "44912.0", "order_qty": "0.35630000", "timestamp": "2024-01-08T12:26:34.961292766Z"},
      {"order_id": "OHGC3L-FRZQ3-UIVZRU", "limit_price": "44909.7", "order_qty": "0.06690000", "timestamp": "2024-01-08T12:26:31.912880024Z"},
      {"order_id": "O73C6Y-VZXYA-H4LDFY", "limit_price": "44901.9", "order_qty": "0.00088982", "timestamp": "2024-01-08T12:26:42.883315043Z"}
    ],
    "asks": [
      {"order_id": "OFVLAA-HRSSP-BK75KB", "limit_price": "44939.5", "order_qty": "4.52308393", "timestamp": "2024-01-08T12:18:05.770906486Z"},
      {"order_id": "OYBAMK-O5DKX-WMPUTM", "limit_price": "44939.5", "order_qty": "0.00111261", "timestamp": "2024-01-08T12:18:12.847426441Z"},
      {"order_id": "O3DRCT-J5M2S-KYV526", "limit_price": "44939.5", "order_qty": "0.00100000", "timestamp": "2024-01-08T12:26:42.108176464Z"},
      {"order_id": "OF3X3A-72WZY-6EKA5F", "limit_price": "44939.5", "order_qty": "0.01000000", "timestamp": "2024-01-08T12:26:43.955098263Z"},
      {"order_id": "OF5UA6-6IIZ2-YGQTSJ", "limit_price": "44950.0", "order_qty": "0.10334926", "timestamp": "2024-01-08T12:25:52.800473795Z"},
      {"order_id": "OSDOZX-7UZ6Y-QDNPVI", "limit_price": "44953.0", "order_qty": "0.00064537", "timestamp": "2024-01-08T12:24:58.086806970Z"},
      {"order_id": "OV7KTS-A2TWV-3XKRIA", "limit_price": "44955.0", "order_qty": "0.00250000", "timestamp": "2024-01-08T12:21:52.257936228Z"},
      {"order_id": "OOF2V5-RYOHC-GLRNPM", "limit_price": "44959.6", "order_qty": "0.35630000", "timestamp": "2024-01-08T12:26:44.202823127Z"},
      {"order_id": "OTVOVS-QLST3-3JG7JI", "limit_price": "44959.6", "order_qty": "0.35630000", "timestamp": "2024-01-08T12:26:44.203383999Z"},
      {"order_id": "OGZCIU-RDQ77-DAAL3P", "limit_price": "44960.1", "order_qty": "0.00338072", "timestamp": "2024-01-08T12:26:42.724829715Z"},
      {"order_id": "OVLG3E-HYBQM-CWNGCY", "limit_price": "44960.2", "order_qty": "0.88967575", "timestamp": "2024-01-08T12:26:12.935924248Z"},
      {"order_id": "OWEOFO-HUCJC-T37MVO", "limit_price": "44967.0", "order_qty": "3.14392283", "timestamp": "2024-01-08T12:26:39.474431925Z"},
      {"order_id": "OVYTHY-D2N76-5QYREQ", "limit_price": "44978.5", "order_qty": "0.06778960", "timestamp": "2024-01-08T12:26:41.229379178Z"},
      {"order_id": "OFO525-PHRVS-236RMN", "limit_price": "44979.2", "order_qty": "0.35630000", "timestamp": "2024-01-08T12:26:20.271584488Z"}
    ]
  }]
}

Asks string (low → high, order by order within each level):

44939545230839344939511126144939510000044939510000004495001033492644953064537449550250000449596356300004495963563000044960133807244960288967575449670314392283449785677896044979235630000

Bids string (high → low, order by order within each level):

449394889686994493944521000044939410000000449394142963234493942500000044939410292988449394338800004493941281408604493713346877449347356300004493022273429944930210000004493025550000449302700000004493021500000044928010524044919633870000449195761000044912035630000449097669000044901988982

Concatenated input to CRC32:

44939545230839344939511126144939510000044939510000004495001033492644953064537449550250000449596356300004495963563000044960133807244960288967575449670314392283449785677896044979235630000449394889686994493944521000044939410000000449394142963234493942500000044939410292988449394338800004493941281408604493713346877449347356300004493022273429944930210000004493025550000449302700000004493021500000044928010524044919633870000449195761000044912035630000449097669000044901988982

Expected result: 1063832831