Skip to content

Latest commit

 

History

History
467 lines (397 loc) · 13.9 KB

web-socket-streams.md

File metadata and controls

467 lines (397 loc) · 13.9 KB

Table of Contents generated with DocToc

Web Socket Streams for Binance (2019-11-13)

General WSS information

  • The base endpoint is: wss://stream.binance.com:9443
  • Streams can be accessed either in a single raw stream or in a combined stream
  • Raw streams are accessed at /ws/<streamName>
  • Combined streams are accessed at /stream?streams=<streamName1>/<streamName2>/<streamName3>
  • Combined stream events are wrapped as follows: {"stream":"<streamName>","data":<rawPayload>}
  • All symbols for streams are lowercase
  • A single connection to stream.binance.com is only valid for 24 hours; expect to be disconnected at the 24 hour mark
  • The websocket server will send a ping frame every 3 minutes. If the websocket server does not receive a pong frame back from the connection within a 10 minute period, the connection will be disconnected. Unsolicited pong frames are allowed.

Websocket Limits

  • WebSocket connections have a limit of 5 incoming messages per second. A message is considered:
    • A PING frame
    • A PONG frame
    • A JSON controlled message (e.g. subscribe, unsubscribe)
  • A connection that goes beyond the limit will be disconnected; IPs that are repeatedly disconnected may be banned.
  • A single connection can listen to a maximum of 1024 streams.

Live Subscribing/Unsubscribing to streams

  • The following data can be sent through the websocket instance in order to subscribe/unsubscribe from streams. Examples can be seen below.
  • The id used in the JSON payloads is an unsigned INT used as an identifier to uniquely identify the messages going back and forth.
  • In the response, if the result received is null this means the request sent was a success for non-query requests (e.g. Subscribing/Unsubscribing).

Subscribe to a stream

  • Request

    {
      "method": "SUBSCRIBE",
      "params": [
        "btcusdt@aggTrade",
        "btcusdt@depth"
      ],
      "id": 1
    }
  • Response

    {
      "result": null,
      "id": 1
    }

Unsubscribe to a stream

  • Request

    {
      "method": "UNSUBSCRIBE",
      "params": [
        "btcusdt@depth"
      ],
      "id": 312
    }
  • Response

    {
      "result": null,
      "id": 312
    }

Listing Subscriptions

  • Request

    {
      "method": "LIST_SUBSCRIPTIONS",
      "id": 3
    }
  • Response

    {
      "result": [
        "btcusdt@aggTrade"
      ],
      "id": 3
    }

Setting Properties

Currently, the only property that can be set is whether combined stream payloads are enabled or not. The combined property is set to false when connecting using /ws/ ("raw streams") and true when connecting using /stream/.

  • Request

    {
      "method": "SET_PROPERTY",
      "params": [
        "combined",
        true
      ],
      "id": 5
    }
  • Response

    {
      "result": null,
      "id": 5
    }

Retrieving Properties

  • Request

    {
      "method": "GET_PROPERTY",
      "params": [
        "combined"
      ],
      "id": 2
    }
  • Response

    {
      "result": true, // Indicates that combined is set to true.
      "id": 2
    }

Error Messages

Error Message Description
{"code": 0, "msg": "Unknown property","id": %s} Parameter used in the SET_PROPERTY or GET_PROPERTY was invalid
{"code": 1, "msg": "Invalid value type: expected Boolean"} Value should only be true or false
{"code": 2, "msg": "Invalid request: property name must be a string"} Property name provided was invalid
{"code": 2, "msg": "Invalid request: request ID must be an unsigned integer"} Parameter id had to be provided or the value provided in the id parameter is an unsupported type
{"code": 2, "msg": "Invalid request: unknown variant %s, expected one of SUBSCRIBE, UNSUBSCRIBE, LIST_SUBSCRIPTIONS, SET_PROPERTY, GET_PROPERTY at line 1 column 28"} Possible typo in the provided method or provided method was neither of the expected values
{"code": 2, "msg": "Invalid request: too many parameters"} Unnecessary parameters provided in the data
{"code": 2, "msg": "Invalid request: property name must be a string"} Property name was not provided
{"code": 2, "msg": "Invalid request: missing field method at line 1 column 73"} method was not provided in the data
{"code":3,"msg":"Invalid JSON: expected value at line %s column %s"} JSON data sent has incorrect syntax.

Detailed Stream information

Aggregate Trade Streams

The Aggregate Trade Streams push trade information that is aggregated for a single taker order.

Stream Name: <symbol>@aggTrade

Update Speed: Real-time

Payload:

{
  "e": "aggTrade",  // Event type
  "E": 123456789,   // Event time
  "s": "BNBBTC",    // Symbol
  "a": 12345,       // Aggregate trade ID
  "p": "0.001",     // Price
  "q": "100",       // Quantity
  "f": 100,         // First trade ID
  "l": 105,         // Last trade ID
  "T": 123456785,   // Trade time
  "m": true,        // Is the buyer the market maker?
  "M": true         // Ignore
}

Trade Streams

The Trade Streams push raw trade information; each trade has a unique buyer and seller.

Stream Name: <symbol>@trade

Update Speed: Real-time

Payload:

{
  "e": "trade",     // Event type
  "E": 123456789,   // Event time
  "s": "BNBBTC",    // Symbol
  "t": 12345,       // Trade ID
  "p": "0.001",     // Price
  "q": "100",       // Quantity
  "b": 88,          // Buyer order ID
  "a": 50,          // Seller order ID
  "T": 123456785,   // Trade time
  "m": true,        // Is the buyer the market maker?
  "M": true         // Ignore
}

Kline/Candlestick Streams

The Kline/Candlestick Stream push updates to the current klines/candlestick every second.

Kline/Candlestick chart intervals:

m -> minutes; h -> hours; d -> days; w -> weeks; M -> months

  • 1m
  • 3m
  • 5m
  • 15m
  • 30m
  • 1h
  • 2h
  • 4h
  • 6h
  • 8h
  • 12h
  • 1d
  • 3d
  • 1w
  • 1M

Stream Name: <symbol>@kline_<interval>

Update Speed: 2000ms

Payload:

{
  "e": "kline",     // Event type
  "E": 123456789,   // Event time
  "s": "BNBBTC",    // Symbol
  "k": {
    "t": 123400000, // Kline start time
    "T": 123460000, // Kline close time
    "s": "BNBBTC",  // Symbol
    "i": "1m",      // Interval
    "f": 100,       // First trade ID
    "L": 200,       // Last trade ID
    "o": "0.0010",  // Open price
    "c": "0.0020",  // Close price
    "h": "0.0025",  // High price
    "l": "0.0015",  // Low price
    "v": "1000",    // Base asset volume
    "n": 100,       // Number of trades
    "x": false,     // Is this kline closed?
    "q": "1.0000",  // Quote asset volume
    "V": "500",     // Taker buy base asset volume
    "Q": "0.500",   // Taker buy quote asset volume
    "B": "123456"   // Ignore
  }
}

Individual Symbol Mini Ticker Stream

24hr rolling window mini-ticker statistics. These are NOT the statistics of the UTC day, but a 24hr rolling window for the previous 24hrs.

Stream Name: <symbol>@miniTicker

Update Speed: 1000ms

Payload:

  {
    "e": "24hrMiniTicker",  // Event type
    "E": 123456789,         // Event time
    "s": "BNBBTC",          // Symbol
    "c": "0.0025",          // Close price
    "o": "0.0010",          // Open price
    "h": "0.0025",          // High price
    "l": "0.0010",          // Low price
    "v": "10000",           // Total traded base asset volume
    "q": "18"               // Total traded quote asset volume
  }

All Market Mini Tickers Stream

24hr rolling window mini-ticker statistics for all symbols that changed in an array. These are NOT the statistics of the UTC day, but a 24hr rolling window for the previous 24hrs. Note that only tickers that have changed will be present in the array.

Stream Name: !miniTicker@arr

Update Speed: 1000ms

Payload:

[
  {
    // Same as <symbol>@miniTicker payload
  }
]

Individual Symbol Ticker Streams

24hr rolling window ticker statistics for a single symbol. These are NOT the statistics of the UTC day, but a 24hr rolling window for the previous 24hrs.

Stream Name: <symbol>@ticker

Update Speed: 1000ms

Payload:

{
  "e": "24hrTicker",  // Event type
  "E": 123456789,     // Event time
  "s": "BNBBTC",      // Symbol
  "p": "0.0015",      // Price change
  "P": "250.00",      // Price change percent
  "w": "0.0018",      // Weighted average price
  "x": "0.0009",      // First trade(F)-1 price (first trade before the 24hr rolling window)
  "c": "0.0025",      // Last price
  "Q": "10",          // Last quantity
  "b": "0.0024",      // Best bid price
  "B": "10",          // Best bid quantity
  "a": "0.0026",      // Best ask price
  "A": "100",         // Best ask quantity
  "o": "0.0010",      // Open price
  "h": "0.0025",      // High price
  "l": "0.0010",      // Low price
  "v": "10000",       // Total traded base asset volume
  "q": "18",          // Total traded quote asset volume
  "O": 0,             // Statistics open time
  "C": 86400000,      // Statistics close time
  "F": 0,             // First trade ID
  "L": 18150,         // Last trade Id
  "n": 18151          // Total number of trades
}

All Market Tickers Stream

24hr rolling window ticker statistics for all symbols that changed in an array. These are NOT the statistics of the UTC day, but a 24hr rolling window for the previous 24hrs. Note that only tickers that have changed will be present in the array.

Stream Name: !ticker@arr

Update Speed: 1000ms

Payload:

[
  {
    // Same as <symbol>@ticker payload
  }
]

Individual Symbol Book Ticker Streams

Pushes any update to the best bid or ask's price or quantity in real-time for a specified symbol.

Stream Name: <symbol>@bookTicker

Update Speed: Real-time

Payload:

{
  "u":400900217,     // order book updateId
  "s":"BNBUSDT",     // symbol
  "b":"25.35190000", // best bid price
  "B":"31.21000000", // best bid qty
  "a":"25.36520000", // best ask price
  "A":"40.66000000"  // best ask qty
}

All Book Tickers Stream

Pushes any update to the best bid or ask's price or quantity in real-time for all symbols.

Stream Name: !bookTicker

Update Speed: Real-time

Payload:

{
  // Same as <symbol>@bookTicker payload
}

Partial Book Depth Streams

Top <levels> bids and asks, pushed every second. Valid <levels> are 5, 10, or 20.

Stream Names: <symbol>@depth<levels> OR <symbol>@depth<levels>@100ms

Update Speed: 1000ms or 100ms

Payload:

{
  "lastUpdateId": 160,  // Last update ID
  "bids": [             // Bids to be updated
    [
      "0.0024",         // Price level to be updated
      "10"              // Quantity
    ]
  ],
  "asks": [             // Asks to be updated
    [
      "0.0026",         // Price level to be updated
      "100"            // Quantity
    ]
  ]
}

Diff. Depth Stream

Order book price and quantity depth updates used to locally manage an order book.

Stream Name: <symbol>@depth OR <symbol>@depth@100ms

Update Speed: 1000ms or 100ms

Payload:

{
  "e": "depthUpdate", // Event type
  "E": 123456789,     // Event time
  "s": "BNBBTC",      // Symbol
  "U": 157,           // First update ID in event
  "u": 160,           // Final update ID in event
  "b": [              // Bids to be updated
    [
      "0.0024",       // Price level to be updated
      "10"            // Quantity
    ]
  ],
  "a": [              // Asks to be updated
    [
      "0.0026",       // Price level to be updated
      "100"           // Quantity
    ]
  ]
}

How to manage a local order book correctly

  1. Open a stream to wss://stream.binance.com:9443/ws/bnbbtc@depth.
  2. Buffer the events you receive from the stream.
  3. Get a depth snapshot from https://api.binance.com/api/v3/depth?symbol=BNBBTC&limit=1000 .
  4. Drop any event where u is <= lastUpdateId in the snapshot.
  5. The first processed event should have U <= lastUpdateId+1 AND u >= lastUpdateId+1.
  6. While listening to the stream, each new event's U should be equal to the previous event's u+1.
  7. The data in each event is the absolute quantity for a price level.
  8. If the quantity is 0, remove the price level.
  9. Receiving an event that removes a price level that is not in your local order book can happen and is normal.