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Binance Spot order book support - #188
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hacheigriega wants to merge 2 commits into
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hacheigriega wants to merge 2 commits into
hacheigriega wants to merge 2 commits into
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hacheigriega
marked this pull request as draft
October 14, 2026 02:21
The trailing space in the reseed comment failed biome, and the venue table had dropped notes that still apply. Co-authored-by: Cursor <cursoragent@cursor.com>
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Motivation
Binance Spot order book support so that information about book depth can be provided. Binance Futures will be addressed in a separate PR since Binance links update events differently for Futures.
Explanation of Changes
Binance requires that a seed snapshot is retrieved separately from a REST endpoint. Diffs (= updates) are then subscribed through a WebSocket stream.
VenueWS'ssubscribeinvokessnapshotLoop, which fetches a snapshot everyDEPTH_SNAPSHOT_RETRYseconds until a snapshot is "promoted" to a live book.This is how a snapshot is promoted:
A snapshot contains a
lastUpdateIdfield, which we compare against the incoming diff’sU(first update ID) andu(final update ID) to determine if the diff “continues” the snapshot. If the diff does not continue the snapshot, the diff may be behind the snapshot, in which case we ignore it, or the diff may be too far ahead of the snapshot (a “gap”), in which case we re-seed the snapshot.Diffs may also arrive before a snapshot, in which case we buffer them until a snapshot arrives.
A snapshot stays “pending” until we get a diff that continues it. Once we get such a diff, we promote the snapshot to a live order book by applying the buffered updates and begin serving the book by writing to the cache.
Reference
Related PRs and Issues
Related: #183