Fill stream

// One connection covers your whole book. Each trade / position carries its marketId.
const es = new EventSource(
  `${API_BASE}/perps/stream/user?openOnly=true`,
  { withCredentials: true } // sends the session cookie; or front with an API-key proxy
);

let lastSeq = null;

es.addEventListener("snapshot", (e) => {
  const { payload, eventSeq } = JSON.parse(e.data);
  lastSeq = eventSeq;
  initPositions(payload.positions);            // baseline across all markets
});

es.addEventListener("delta", (e) => {
  const { payload, eventSeq } = JSON.parse(e.data);
  if (lastSeq != null && eventSeq > lastSeq + 1) {
    es.close();      // gap detected — reconnect and re-snapshot
    reconnect();
    return;
  }
  lastSeq = eventSeq;

  for (const t of payload.trades ?? []) onFill(t);          // your execution, any market
  for (const p of payload.positions?.upserts ?? []) onPosition(p);
});

es.addEventListener("error", (e) => {
  // network drop or { code, message, retryable } — back off and reconnect
});

function onFill(trade) {
  // trade.liquidity === "maker" | "taker"; adjust inventory, then re-quote that market
  updateInventory(trade);
  scheduleRequote(trade.marketId);
}