Binance

Binance historical data for high and mid caps currency pairs is available since 2019-03-30. Data for all it's currency pairs is available since 2019-11-14 (new API introduced that allows consuming full real-time feed of all available currency pairs).

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Binance real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from REST API and store them together with the rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

During data collection integrity of order book incremental updates is being validated using sequence numbers provided by real-time feed (U and u fields) - in case of detecting missed message WebSocket connection is being restarted. We also validate if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

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Captured real-time channels

• ​trade​

• ​aggTrade (available since 2019-11-19)

• ​ticker​

• ​depth​

• ​depthSnapshot (generated channel with full order book snapshots)

• ​bookTicker (available since 2019-09-21)

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Binance depth channel has been recorded with the fastest update speed API allowed at the time. It means until 2019-08-30 it was depth (without @time suffix) - book updates pushed every 1000ms and after that date it was [email protected] - book updates pushed every 100ms (new API feature).

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API Access and data format

Historical data format is the same as provided by real-time Binance WebSocket API with addition of local timestamps. If you'd like to work with normalized data format instead (same format for each exchange) see downloadable CSV files or official client libs that can perform data normalization client-side.

# pip install tardis-client
import asyncio
from tardis_client import TardisClient, Channel
tardis_client = TardisClient(api_key="<YOUR_API_KEY>")
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async def replay():
  # replay method returns Async Generator
  messages = tardis_client.replay(
    exchange="binance",
    from_date="2019-12-01",
    to_date="2019-12-02",
    filters=[Channel(name="depth", symbols=["btcusdt"])]
  )
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  # messages as provided by Binance real-time stream
  async for local_timestamp, message in messages:
    print(message)
​
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asyncio.run(replay())

// npm install tardis-dev
const { replay } = require('tardis-dev');
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async function run() {
  try {
    const messages = replay({
      exchange: 'binance',
      from: '2019-12-01',
      to: '2019-12-02',
      filters: [{ channel: 'depth', symbols: ['btcusdt'] }],
      apiKey: '<YOUR_API_KEY>'
    });
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    // messages as provided by Binance real-time stream
    for await (const { localTimestamp, message } of messages) {
      console.log(localTimestamp, message);
    }
  } catch (e) {
    console.error(e);
  }
}
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run();

curl -g 'https://api.tardis.dev/v1/data-feeds/binance?from=2019-12-01&filters=[{"channel":"depth","symbols":["btcusdt"]}]&offset=0'

curl -g 'localhost:8000/replay?options={"exchange":"binance","filters":[{"channel":"depth","symbols":["btcusdt"]}],"from":"2019-12-01","to":"2019-12-02"}'

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Downloadable CSV files

See CSV data exports.

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Official Binance API docs

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