Depth Cache

To follow the depth cache updates for a symbol there are 2 options similar to websockets.

Use the DepthCacheManager (or OptionsDepthCacheManager for vanilla options) or use the ThreadedDepthCacheManager if you don’t want to interact with asyncio.

ThreadedDepthCacheManager Websocket Usage

Starting sockets on the ThreadedDepthCacheManager requires a callback parameter, similar to old implementations of depth cache on python-binance pre v1

ThreadedDepthCacheManager takes similar parameters to the Client class as it creates an AsyncClient internally.

As these use threads start() is required to be called before starting any depth cache streams.

To keep the ThreadedDepthCacheManager running using join() to join it to the main thread.

from binance import ThreadedDepthCacheManager

def main():

    dcm = ThreadedDepthCacheManager()
    # start is required to initialise its internal loop
    dcm.start()

    def handle_depth_cache(depth_cache):
        print(f"symbol {depth_cache.symbol}")
        print("top 5 bids")
        print(depth_cache.get_bids()[:5])
        print("top 5 asks")
        print(depth_cache.get_asks()[:5])
        print("last update time {}".format(depth_cache.update_time))

    dcm_name = dcm.start_depth_cache(handle_depth_cache, symbol='BNBBTC')

    # multiple depth caches can be started
    dcm_name = dcm.start_depth_cache(handle_depth_cache, symbol='ETHBTC')

    dcm.join()


if __name__ == "__main__":
   main()

Stop Individual Depth Cache

When starting a stream, a name for that stream will be returned. This can be used to stop that individual stream

from binance import ThreadedDepthCacheManager

symbol = 'BNBBTC'

dcm = ThreadedDepthCacheManager()
dcm.start()

def handle_depth_cache(depth_cache):
    print(f"message type: {msg['e']}")
    print(msg)

dcm_name = dcm.start_depth_cache(handle_depth_cache, symbol='BNBBTC')

# some time later

dcm.stop_socket(dcm_name)

Stop All Depth Cache streams

from binance import ThreadedDepthCacheManager

symbol = 'BNBBTC'

dcm = ThreadedDepthCacheManager()
dcm.start()

def handle_depth_cache(depth_cache):
    print(f"message type: {msg['e']}")
    print(msg)

dcm_name = dcm.start_depth_cache(handle_depth_cache, symbol='BNBBTC')

# some time later

dcm.stop()

Attempting to start a stream after stop is called will not work.

DepthCacheManager or OptionsDepthCacheManager Usage

Create the manager like so, passing the async api client, symbol and an optional callback function.

import asyncio

from binance import AsyncClient, DepthCacheManager


async def main():
    client = await AsyncClient.create()
    dcm = DepthCacheManager(client, 'BNBBTC')

    async with dcm as dcm_socket:
        while True:
            depth_cache = await dcm_socket.recv()
            print("symbol {}".format(depth_cache.symbol))
            print("top 5 bids")
            print(depth_cache.get_bids()[:5])
            print("top 5 asks")
            print(depth_cache.get_asks()[:5])
            print("last update time {}".format(depth_cache.update_time))

if __name__ == "__main__":

    loop = asyncio.get_event_loop()
    loop.run_until_complete(main())

The DepthCacheManager returns an Asynchronous Context Manager which can be used with async for or by interacting with the __aenter__ and __aexit__ functions

By default the depth cache will fetch the order book via REST request every 30 minutes. This duration can be changed by using the refresh_interval parameter. To disable the refresh pass 0 or None. The socket connection will stay open receiving updates to be replayed once the full order book is received.

Share a Socket Manager

Here dcm1 and dcm2 share the same instance of BinanceSocketManager

from binance.websockets import BinanceSocketManager
from binance.depthcache import DepthCacheManager
bm = BinanceSocketManager(client)
dcm1 = DepthCacheManager(client, 'BNBBTC', bm=bm)
dcm2 = DepthCacheManager(client, 'ETHBTC', bm=bm)

Websocket Errors

If the underlying websocket is disconnected and is unable to reconnect None is returned for the depth_cache parameter.

Examples

# 1 hour interval refresh
dcm = DepthCacheManager(client, 'BNBBTC', refresh_interval=60*60)

# disable refreshing
dcm = DepthCacheManager(client, 'BNBBTC', refresh_interval=0)

async with dcm as dcm_socket:
    while True:
        depth_cache = await dcm_socket.recv()
        print("symbol {}".format(depth_cache.symbol))
        print("top 5 bids")
        print(depth_cache.get_bids()[:5])
        print("top 5 asks")
        print(depth_cache.get_asks()[:5])
        print("last update time {}".format(depth_cache.update_time))

To use the magic __aenter__ and __aexit__ functions to use this class without the async with

dcm = DepthCacheManager(client, 'BNBBTC')

await dcm.__aenter__()
depth_cache = await dcm.recv()
print("symbol {}".format(depth_cache.symbol))
print("top 5 bids")
print(depth_cache.get_bids()[:5])
print("top 5 asks")
print(depth_cache.get_asks()[:5])
print("last update time {}".format(depth_cache.update_time))

# exit the context manager
await dcm.__aexit__(None, None, None)