Come Wednesday, October 4th, we will be deploying an update to our Websocket API. Currently, some exchange feeds deliver orderbooks with the top 20 bids and top 20 asks together in a single message on each burst. This is the correct way.
For some other exchanges, the order book data is delivered in two messages — one message with the current bids and one message with the asks. When we fix this issue, the order book data for these exchanges will switch to include both the bids and asks in a single message with each data burst.
If you use our Websocket API, please do not hesitate to reach out if you have any questions!