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DisneyandGitHub d6399b92aa Feat/support binance (#22)
* add docs

* Add Binance exchange support

- Updated the environment configuration to include Binance as a selectable exchange option.
- Enhanced the README documentation to reflect the addition of Binance.
- Implemented the Binance exchange adapter and integrated it into the existing exchange framework.
- Modified the basis arbitrage strategy to support Binance alongside existing exchanges.
- Added tests to ensure proper functionality and integration of Binance within the trading system.

* Enhance README with detailed Binance exchange configuration

- Added comprehensive instructions for setting up Binance as an exchange option.
- Included environment variable specifications for API keys, market types, and trading symbols.
- Provided examples for both perpetual and spot trading strategies.
- Clarified the use of WebSocket and REST for the Binance adapter.

* Enhance exchange support and testing framework

- Added a new test suite for exchange contracts to ensure consistency and functionality across supported exchanges.
- Refactored exchange ID handling to utilize a centralized list of supported exchanges, improving maintainability.
- Updated CLI argument parsing and help documentation to reflect the new exchange structure.
- Introduced utility functions for validating supported exchanges and their display names.
- Enhanced the BasisApp and strategy runner to leverage the new exchange validation logic.
- Added a new test command for running exchange-related tests.

* Refactor exchange contract tests and update CLI commands

- Removed the trailing supported exchanges set and simplified the logic for trailing stop support in the exchange contract tests.
- Updated the test command for exchange contracts to exclude unnecessary tests, streamlining the testing process.
- Enhanced test descriptions for clarity and improved understanding of the functionality being tested.
2026-02-27 11:37:44 +08:00

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SBE Market Data | Binance Open Platform https://developers.binance.com/docs/binance-spot-api-docs/sbe-market-data-streams 2026-02-26T10:38:09.225Z

SBE Market Data Streams

General Information

  • The base endpoint is stream-sbe.binance.com or stream-sbe.binance.com:9443.
  • To retrieve market data in JSON format, please refer to this page.
  • SBE schema used for decoding the streams can be found here.
  • All symbols in stream names are lowercase.
  • You can subscribe to a single stream at /ws/.
  • You can subscribe to multiple streams at /stream?streams=//.
  • A single connection to stream-sbe.binance.com is only valid for 24 hours; expect to be disconnected at the 24 hour mark.
  • All time and timestamp fields are in microseconds.
  • An API Key is necessary for access.
    • Only Ed25519 keys are allowed.
    • Please put your API Key in the X-MBX-APIKEY header when opening the connection. Timestamp and signature are not necessary.
    • No extra API key permissions are necessary to access public market data. Symbol whitelist also does not affect access to SBE Market Data Streams.
    • However, if you use an IP whitelist for the API key, only specified IP addresses are allowed to use the API key.
  • The server sends a ping frame every 20 seconds.
    • If the server does not receive a pong frame back from you within a minute, the connection will be closed.
    • When you receive a ping, you must send a pong with a copy of ping's payload as soon as possible.
    • Unsolicited pong frames are allowed, but will not prevent disconnection. It is recommended that the payload for these pong frames are empty.
  • Live Subscribing and Unsubscribing is also supported.
    • You must send the subscription requests in JSON, and will receive the subscription response also in JSON.
    • You can differentiate subscription responses from market data events by looking at the WebSocket frame type: subscription responses are always sent in text frames (containing JSON), and events are always sent in binary frames (containing SBE).
  • If your request contains a symbol name containing non-ASCII characters, then the stream events may contain non-ASCII characters encoded in UTF-8.

WebSocket Limits

  • WebSocket connections have a rate limit of 5 requests per second.
    • Only messages from your client are considered:
      • PING frame
      • PONG frame
      • Text frame with JSON control request
    • Events pushed by the server are not rate-limited.
    • Connections that go beyond the limit will be closed. Repeatedly disconnected IP addresses may be banned.
  • A single connection can listen to a maximum of 1024 streams.
  • There is a limit of 300 connection attempts every 5 minutes per IP address.

Available Streams

Trades Streams

Raw trade information, pushed in real-time.

SBE Message Name: TradesStreamEvent

Stream Name: @trade

Update Speed: Real time

Best Bid/Ask Streams

The best bid and ask price and quantity, pushed in real-time when the order book changes.

[!NOTE] Best bid/ask streams in SBE are the equivalent of bookTicker streams in JSON, except they support auto-culling, and also include the eventTime field.

SBE Message Name: BestBidAskStreamEvent

Stream Name: @bestBidAsk

Update Speed: Real time

SBE best bid/ask streams use auto-culling: when the system is under high load, it may drop outdated events instead of queuing all events and delivering them with a delay.

For example, if a best bid/ask event is generated at time T2 when there is still an undelivered event queued at time T1 (where T1 < T2), the event for T1 is dropped, and the system will deliver only the event for T2. This is done on a per-symbol basis.

Diff. Depth Streams

Incremental updates to the order book, pushed at regular intervals. Use this stream to maintain a local order book.

How to manage a local order book.

SBE Message Name: DepthDiffStreamEvent

Stream Name: @depth

Update Speed: 50ms

Partial Book Depth Streams

Snapshots of the top 20 levels of the order book, pushed at regular intervals.

SBE Message Name: DepthSnapshotStreamEvent

Stream Name: @depth20

Update Speed: 50ms