Now that I've looked at more instances of it, the volumes are not always
obviously related to the subsequent trades, though I think they're related at least most of the time, since these nulls only seem to occur right before a trade or throughout a series of trades.
Here are some examples of the "null" depth message with some surrounding depth/trade info (I removed some messages coming in around these same times that did not seem relevant):
REMOVE BID -10 @ 1.1832
BID 10 @ 1.1832
REMOVE BID -10 @ 1.1832
BID 10 @ 1.1832
{"channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe","depth":{"price":null,"type":2,"volume":-56},"op":"private","origin":"broadcast","private":"depth"}
REMOVE BID -56 @ nil
TRADE 10 @ 1.1832
{"channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe","depth":{"price":null,"type":2,"volume":-46},"op":"private","origin":"broadcast","private":"depth"}
REMOVE BID -46 @ nil
TRADE 17 @ 1.1827
{"channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe","depth":{"price":null,"type":2,"volume":-29},"op":"private","origin":"broadcast","private":"depth"}
REMOVE BID -29 @ nil
TRADE 23.216 @ 1.18151
{"channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe","depth":{"price":null,"type":2,"volume":-5.784},"op":"private","origin":"broadcast","private":"depth"}
REMOVE BID -5.784 @ nil
TRADE 5.784 @ 1.1621
ASK 0.026 @ 1.1875
ASK 9.974 @ 1.1875
ASK 0.03 @ 1.1875
REMOVE ASK -9.97 @ 1.1875
BID 1 @ 1.18751
ASK 0.026 @ 1.1875
{"channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe","depth":{"price":null,"type":2,"volume":-9.974},"op":"private","origin":"broadcast","private":"depth"}
REMOVE BID -9.974 @ nil
TRADE 1 @ 1.18751
{"channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe","depth":{"price":null,"type":2,"volume":-4},"op":"private","origin":"broadcast","private":"depth"}
REMOVE BID -4 @ nil
TRADE 4 @ 1.18751
{"channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe","depth":{"price":null,"type":2,"volume":-19.966},"op":"private","origin":"broadcast","private":"depth"}
REMOVE BID -19.966 @ nil
TRADE 19.966 @ 1.18751
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