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Binance WebSocket

This repository provides a Python implementation for streaming Spot data from Binance using WebSocket. For other financial derivatives, please pay attention to the different API endpoints.

Documentation

For detailed documentation regarding the Binance WebSocket API, please refer to the official Binance API documentation.

Files Included

This repository includes the following files:

  • bookticker-async-single.py: Streams real-time 'bookTicker' data asynchronously.
  • bookticker-single.py: Streams real-time 'bookTicker' data using threading.
  • orderbook-depth-single.py: Streams top-level 'depth' data using threading.
  • local-orderbook-data-parquet-single.py: Saves depth updates asynchronously, and orderbook snapshots for construction of local orderbook as Parquet files.
  • local-orderbook-data-txt-single.py: Saves depth updates asynchronously, and orderbook snapshots for construction of local orderbook as text files.

Data Storage

The files (bookticker-async-single.py, bookticker-single.py, orderbook-depth-single.py) store retrieved information in CSV files, capturing data in 10-minute intervals. This allows capturing the entire day in multiple 10-minute intervals for better analysis and retrieval.

The local-orderbook-data-parquet-single.py saves Parquet files for depth updates and snapshots separately at approximately 10-minute intervals.

The local-orderbook-data-txt-single.py saves text files for depth updates and snapshots separately in one file per day.

Additional Information

Historical trades for a specific period can be downloaded via the command-line interface using the following command. For example, to download all trades for the currency pair ETHUSDT in January 2024:

curl -OJL "https://data.binance.vision/data/spot/monthly/trades/ETHUSDT/ETHUSDT-trades-2024-01.zip"

Feel free to explore the code and adapt it to your specific requirements.

If you have any questions or need further assistance, please don't hesitate to reach out.

Happy coding!