UNICORN Binance Local Depth Cache

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A local Binance DepthCache Manager for Python by LUCIT that supports multiple depth caches in one instance in a easy, fast, flexible, robust and fully-featured way.

The organization of the DepthCache takes place in the same asyncio loop as the reception of the websocket data. The full stack of the UBS modules (REST, WebSocket and DepthCache) can be downloaded and installed by PyPi and Anaconda as a Python C extension for maximum performance.

Part of 'UNICORN Binance Suite'.

Get help with the integration of the UNICORN Binance Suite modules from the UNICORN Binance Suite Assistant GPT or a real human LUCIT employee.

Get a UNICORN Binance Suite License

To run modules of the UNICORN Binance Suite you need a valid license!

Using a DepthCache

Create a local depth_cache for Binance with just 3 lines of code:

import unicorn_binance_local_depth_cache

ubldc = unicorn_binance_local_depth_cache.BinanceLocalDepthCacheManager(exchange="binance.com")
ubldc.create_depth_cache("BTCUSDT")

Get the asks and bids depth with:

asks = ubldc.get_asks("BTCUSDT")
bids = ubldc.get_bids("BTCUSDT")

Catch an exception, if the depth_cache is out of sync while accessing its data:

try:
    print(f"Top 10 asks: {ubldc.get_asks(market=market)[:10]}")
    print(f"Top 10 bids: {ubldc.get_bids(market=market)[:10]}")
except DepthCacheOutOfSync as error_msg:
    print(f"ERROR: {error_msg}")

Stop and delete a depth_cache:

ubldc.stop_depth_cache("BTCUSDT")

Stop ubldc after usage to avoid memory leaks

ubldc.stop_manager()

Discover more possibilities.

Description

The Python package UNICORN Binance Local Depth Cache provides a local depth_cache for the Binance Exchanges Binance (+Testnet), Binance Futures (+Testnet) - more are coming soon.

The algorithm of the depth_cache management was designed according to these instructions:

• Binance Spot: "How to manage a local order book correctly"
• Binance Futures: "How to manage a local order book correctly"

By create_depth_cache() the depth_cache is started and initialized, that means for each depth_cache you want to create a separate thread is started. As soon as at least one depth update is received via websocket, a REST snapshot is downloaded and the depth updates are applied to it, keeping it in sync in real-time. Once this is done, the state of the cache is set to "synchronous".

Data in the depth_cache can be accessed with 'get_asks()' and 'get_bids()'. If the state of the depth_cache is not synchronous during access, the exception 'DepthCacheOutOfSync' is thrown.

The depth_cache will immediately start an automatic re-initialization if a gap in the UpdateID`s is detected (missing update event) or if the websocket connection is interrupted. As soon as this happens the state of the depth_cache is set to "out of sync" and when accessing the cache the exception 'DepthCacheOutOfSync' is thrown.

Why a local depth_cache?

A local depth_cache is the fastest way to access the current order book depth at any time while transferring as little data as necessary. A REST snapshot takes a lot of time and the amount of data that is transferred is relatively large. Continuous full transmission of the order book via websocket is faster, but the amount of data is huge. A local depth_cache is initialized once with a REST snapshot and then handles Diff. Depth updates applied by the websocket connection. By transferring a small amount of data (only the changes), a local depth_cache is kept in sync in real time and also allows extremely fast (local) access to the data without exceeding the Binance request weight limits.

What are the benefits of the UNICORN Binance Local Depth Cache?

• Always know if the cache is in sync! If the depth_cache is out of sync, the exception 'DepthCacheOutOfSync' is thrown or ask with is_depth_cache_synchronized().
• If a depth cache is out of sync it gets refreshed automatically within a few seconds.
• 100% Websocket auto-reconnect!
• Supported Exchanges

Exchange	Exchange string
Binance	binance.com
Binance Testnet	binance.com-testnet
Binance USD-M Futures	binance.com-futures
Binance USD-M Futures Testnet	binance.com-futures-testnet
More are coming ...	-

• Create multiple depth caches within a single object instance.
• Each depth_cache is processed in a separate thread.
• Start or stop multiple caches with just one command create_depth_cache() or stop_depth_cache().
• Control websocket out of sync detection with websocket_ping_interval, websocket_ping_timeout and websocket_close_timeout
• Powered by UNICORN Binance REST API and UNICORN Binance WebSocket API.

If you like the project, please it on GitHub!

Installation and Upgrade

The module requires Python 3.7 or above, as it depends on Pythons latest asyncio features for asynchronous/concurrent processing.

For the PyPy interpreter we offer packages only from Python version 3.9 and higher.

Anaconda packages are available from Python version 3.8 and higher.

The current dependencies are listed here.

If you run into errors during the installation take a look here.

A Cython binary, PyPy or source code based CPython wheel of the latest version with pip from PyPI

Our Cython and PyPy Wheels are available on PyPI, these wheels offer significant advantages for Python developers:

• Performance Boost with Cython Wheels: Cython is a programming language that supplements Python with static typing and C-level performance. By compiling Python code into C, Cython Wheels can significantly enhance the execution speed of Python code, especially in computationally intensive tasks. This means faster runtimes and more efficient processing for users of our package.

• PyPy Wheels for Enhanced Efficiency: PyPy is an alternative Python interpreter known for its speed and efficiency. It uses Just-In-Time (JIT) compilation, which can dramatically improve the performance of Python code. Our PyPy Wheels are tailored for compatibility with PyPy, allowing users to leverage this speed advantage seamlessly.

Both Cython and PyPy Wheels on PyPI make the installation process simpler and more straightforward. They ensure that you get the optimized version of our package with minimal setup, allowing you to focus on development rather than configuration.

Installation

pip install unicorn-binance-local-depth-cache

Update

pip install unicorn-binance-local-depth-cache --upgrade

A Conda Package of the latest version with conda from Anaconda

The unicorn-binance-local-depth-cache package is also available as a Cython version for the linux-64, osx-64 and win-64 architectures with Conda through the lucit channel.

For optimal compatibility and performance, it is recommended to source the necessary dependencies from the conda-forge channel.

Installation

conda config --add channels conda-forge
conda config --add channels lucit
conda install -c lucit unicorn-binance-local-depth-cache

Update

conda update -c lucit unicorn-binance-local-depth-cache

From source of the latest release with PIP from GitHub

Linux, macOS, ...

Run in bash:

pip install https://github.com/LUCIT-Systems-and-Development/unicorn-binance-local-depth-cache/archive/$(curl -s https://api.github.com/repos/LUCIT-Systems-and-Development/unicorn-binance-local-depth-cache/releases/latest | grep -oP '"tag_name": "\K(.*)(?=")').tar.gz --upgrade

Windows

Use the below command with the version (such as 1.0.0) you determined here:

pip install https://github.com/LUCIT-Systems-and-Development/unicorn-binance-local-depth-cache/archive/1.0.0.tar.gz --upgrade

From the latest source (dev-stage) with PIP from GitHub

This is not a release version and can not be considered to be stable!

pip install https://github.com/LUCIT-Systems-and-Development/unicorn-binance-local-depth-cache/tarball/master --upgrade

Conda environment, Virtualenv or plain Python

Download the latest release or the current master branch and use:

• ./environment.yml
• ./pyproject.toml
• ./requirements.txt
• ./setup.py

Change Log

https://lucit-systems-and-development.github.io/unicorn-binance-local-depth-cache/changelog.html

Documentation

• General
• Modules

Examples

• example_depth_cache.py
• example_log_to_console.py
• example_refresh_interval.py
• example_shared_ubwa_instance.py
• example_update_interval.py
• example_version_of_this_package.py

Howto

• How to Obtain and Use a Unicorn Binance Suite License Key and Run the UBS Module According to Best Practice

Project Homepage

https://www.lucit.tech/unicorn-binance-local-depth-cache.html

Wiki

https://github.com/LUCIT-Systems-and-Development/unicorn-binance-local-depth-cache/wiki

Social

• Discussions
• Gitter
• https://t.me/unicorndevs
• https://dev.binance.vision
• https://community.binance.org

Receive Notifications

To receive notifications on available updates you can the repository on GitHub, write your own script with using is_update_available().

Follow us on LinkedIn, X or Facebook!

To receive news (like inspection windows/maintenance) about the Binance API`s subscribe to their telegram groups:

• https://t.me/binance_api_announcements
• https://t.me/binance_api_english
• https://t.me/Binance_JEX_EN
• https://t.me/Binance_USA
• https://t.me/TRBinanceTR
• https://t.me/BinanceExchange

How to report Bugs or suggest Improvements?

List of planned features - click if you need one of them or suggest a new feature!

Before you report a bug, try the latest release. If the issue still exists, provide the error trace, OS and Python version and explain how to reproduce the error. A demo script is appreciated.

If you dont find an issue related to your topic, please open a new issue!

Report a security bug!

Contributing

UNICORN Binance Local Depth Cache is an open source project which welcomes contributions which can be anything from simple documentation fixes and reporting dead links to new features. To contribute follow this guide.

Contributors

We open source!

Disclaimer

This project is for informational purposes only. You should not construe this information or any other material as legal, tax, investment, financial or other advice. Nothing contained herein constitutes a solicitation, recommendation, endorsement or offer by us or any third party provider to buy or sell any securities or other financial instruments in this or any other jurisdiction in which such solicitation or offer would be unlawful under the securities laws of such jurisdiction.

If you intend to use real money, use it at your own risk!

Under no circumstances will we be responsible or liable for any claims, damages, losses, expenses, costs or liabilities of any kind, including but not limited to direct or indirect damages for loss of profits.