nkaz001 / collect-binancefutures Goto Github PK

Are you planning to add more exchange consumers?

There are other exchanges that offers better terms to classify as market maker and also have better rebates.

Also, do you accepts contributions for other exchange consumers for this specific project? If you are busy, I can contribute.

hbt = HftBacktest(
    [
        'btcusdt_20240522.npz',
    ],
    tick_size=0.01,
    lot_size=0.001,
    maker_fee=-0.00005,
    taker_fee=0.0007,
    order_latency=FeedLatency(),
    queue_model=SquareProbQueueModel(),
    asset_type=Linear,
    trade_list_size=10_000,

)

@njit
def print_bbo(hbt):
    t = 0
    bid_prices = np.zeros(11721077)
    ask_prices = np.zeros(11721077)

    while hbt.elapse(100000):
        bid_prices[t] = hbt.best_bid
        ask_prices[t] = hbt.best_ask
        t = t + 1
        print(t)

        # !!!!
        hbt.clear_last_trades()

        if not hbt.run and t >= bid_prices :
            break
    return bid_prices, ask_prices
bid_prices, ask_prices = print_bbo(hbt)
max(bid_prices)  # 70642.7
min(bid_prices)  # ???? -9.223372036854776e+16

I download data using python, But I fould some bid_price where strange. Is it a collection error?
Here is the data sample

Thank you for your wonderful application, I just found that after collecting several days, all websocket connections are dead. Is there any way to fix this? Thank you.

I am running the collect.sh for eth usdt, and the code is outputting to a file:

ethusdt_20230922.dat

Will there be another file created tomorrow (on 23 September) called
ethusdt_20230923.dat , or the code will continue outputting to the first file created?

It seems that Binance change the format of their stream data?

from the above picture you can tell that the data from last year still got E and T as the key, but now it doesn't
Did I do something wrong or it just doesn't work anymore?

Under windows 10, I run python.exe collect/main.py binancefutures btcusdt mnt/data,
and I got the folloing error. asyncio doesn't implement some function under windows.
I wonder how to collect data under windows?

After running several times for a period, you must meet the rate limit (https://developers.binance.com/docs/derivatives/usds-margined-futures/general-info#limits), how do you handle that?

Is it possible to fetch historical market depth?