Binance Depth Cache Notes

binance-depth-cache-notes.txt

Ninj0r admin, [Oct 20, 2017, 9:18:55 AM]:
It's a three step process:
1) Start listening to the stream and buffering the messages
2) Get a depth snapshot
3) replay the buffered messages and the live messges.

Depth updates have two variables, u and U

U is the initial updateId, and u is the final updateId. There can be multiple updates "compressed" into a single update that comes out via the web socket stream.

Any u that is > than the u you received in the depth snapshot (from /api/v1/depth) is an update you need to apply.

even in situation where you have:
first update U: 10, u:15
depthSnapshot: u:12

You need to apply that update.

Hold on.

WSS sent out {"e":"depthUpdate","E":1507908735894,"s":"ZRXETH","U":412370,"u":412370,"b":[],"a":[["0.00055696","0.00000000",[]]]} to zrxeth@depth @ 1507908735900

WSS sent out {"e":"depthUpdate","E":1507908736894,"s":"ZRXETH","U":412371,"u":412373,"b":[["0.00053691","1634.00000000",[]],["0.00053690","0.00000000",[]]],"a":[["0.00055694","268.00000000",[]]]} to zrxeth@depth @ 1507908736898

WSS sent out {"e":"depthUpdate","E":1507908737895,"s":"ZRXETH","U":412374,"u":412375,"b":[],"a":[["0.00055693","275.00000000",[]],["0.00055695","0.00000000",[]]]} to zrxeth@depth @ 1507908737900

So above:
- The first message has one update 412370.
- The second message has 3: 412371, 412372, 412373
- The thrid message has 2: 412374, 412375

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Ninj0r admin, [Oct 20, 2017, 9:22:00 AM]:
Data in the update represents the absolute values of all the changed levels as of update 15, so you can apply them all safely. Some might be redundant, that's all.

No, sometimes the U and u will be equal (the event from the stream has only 1 update in it)

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Ninj0r admin, [Oct 20, 2017, 9:41:35 AM]:
Also, the updates you get in the stream are absolute.

"0.00055693","275.00000000"

means set price level 0.00055693 to 275.00000000

But yes, if the order book shifts 500 levels up from when you got it, you will be missing levels.

You have to track that "shift" and resync. It wouldn't be feasible to send the whole order book to you. That would be a ton of data.

500 on both sides is already 1000 rows.

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Ninj0r admin, [Oct 20, 2017, 9:55:13 AM]:
You'll never have to re-establish your websocket connection, but you might have to get a fresh snapshot from /api/v1/depth to fill in rows that might be missing.

The websocket will never send you "wrong" data. It always sends you the absolute current data for the level.

You can keep track of the updates coming out of the stream to see if you've had a connection issue and need to start from scratch:
update 2's U should be update 1's u+1

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Ninj0r admin, [Oct 20, 2017, 10:04:53 AM]:
Yeah. You can use somethng like wss://stream.binance.com:9443/ws/ethbtc@depth20 as a backup to ensure you always have the most accurate best 20 levels.

Also note, that you can add @0ms to the end of a depth stream

For example:
wss://stream.binance.com:9443/ws/ethbtc@depth20@0ms
wss://stream.binance.com:9443/ws/ethbtc@depth@0ms

This will give you uncompressed updates. The default streams send out updates every second (this is why there is U and u)

the @0ms stream will send out every update as it is received (this payload will have no U)

But it will be a firehosee of data, and it has lockedup/crashed some UIs. This is why the default has 1000ms update compression.

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Ninj0r admin, [Oct 20, 2017, 10:10:26 AM]:
At the moment, no. We only have @0ms and @1000ms. This might be expanded in the future.

The documentation on all of this will be updated with the next version.

Hi, just to see if I got it clear. The price level indicates the amount of ZRXETH at the indicated price, not the amount of ZRXETH up to that level price, right?

Hello, I did a test with @0ms but nothing coming in...
Is this still active?