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[PLUS] How to Stream RealTime Trade Data from Binance API in Python

by CryptoDataDownload


Streaming Real Time Data from Binance

We are going to use websockets to stream real time (live) trade information from Binance and save the resulting information into a SQLite database using Python. This is much like we accomplished in our other Plus+ article for Kraken. We will connect to the "trade" streaming socket, which will return every transaction that takes place for the symbol that we pass. We will use BTC/USDT as the symbol in our example. Once the data is captured, it would be easy to extend this example to include some sort of display or summary of the trade data. "Tick data", literally every transaction 'print' (in lingo), can be created from the raw trade data as well. The script will save into our local database every 100 transactions that take place, and that can be modified in the main body of the script. Of course, we fully comment and make each line of python code logical and understandable.

Data Enhancements

There are a few data enhancements that we make before we save the data into our database. This will make it easier to sort or filter on the data in the future. First of all, we add a field for a human-readable date instead of using the unix server timestamp only. We also add a field for volume in USD terms (this is assuming BTC/USDT so technically in 'USD Tether' terms). This volume_usd field is calculated by multiplying the price * quantity. Binance API also returns a field called "is_buyer_marketmaker". This field can be somewhat confusing, and so we interpret it and add a field for "market sell" or "market buy" to display which side took action. "Market buy" means it was a buy marketorder on the order book.

Here is what the resulting database sample will look like as it captures trades:


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THE PERFORMANCE OF TRADING SYSTEMS IS BASED ON THE USE OF COMPUTERIZED SYSTEM LOGIC. IT IS HYPOTHETICAL. PLEASE NOTE THE FOLLOWING DISCLAIMER. CFTC RULE 4.41: HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. U.S. GOVERNMENT REQUIRED DISCLAIMER: COMMODITY FUTURES TRADING COMMISSION. FUTURES AND OPTIONS TRADING HAS LARGE POTENTIAL REWARDS, BUT ALSO LARGE POTENTIAL RISK. YOU MUST BE AWARE OF THE RISKS AND BE WILLING TO ACCEPT THEM IN ORDER TO INVEST IN THE FUTURES AND OPTIONS MARKETS. DON’T TRADE WITH MONEY YOU CAN’T AFFORD TO LOSE. THIS IS NEITHER A SOLICITATION NOR AN OFFER TO BUY/SELL FUTURES OR OPTIONS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED ON THIS WEBSITE. THE PAST PERFORMANCE OF ANY TRADING SYSTEM OR METHODOLOGY IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
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