websocket - Binance WebSocket 订单簿 - 深度每次都在变化
问题描述
下面是一个 python 脚本,它通过 Biance 的 Websocket API(此处的文档)订阅订单簿信息。
在请求(btcusdt@depth
和btcusdt@depth@100ms
)中,每个 json 有效负载都以不同的深度进行流式传输。
请说明这可能是什么原因?难道我做错了什么?或者他们可能有特定的标准来获取订单簿的多少深度?
import json
import websocket
socket='wss://stream.binance.com:9443/ws'
def on_open(self):
print("opened")
subscribe_message = {
"method": "SUBSCRIBE",
"params":
[
"btcusdt@depth@100ms"
],
"id": 1
}
ws.send(json.dumps(subscribe_message))
def on_message(self, message):
print("received a message")
###### depths of bid/ask ######
d = json.loads(message)
for k, v in d.items():
if k == "b":
print(f"bid depth : {len(v)}")
if k == "a":
print(f"ask depth : {len(v)}")
def on_close(self):
print("closed connection")
ws = websocket.WebSocketApp(socket,
on_open=on_open,
on_message=on_message,
on_close=on_close)
ws.run_forever()
btcusdt@depth@100ms
opened
received a message
received a message
bid depth : 3
ask depth : 12
received a message
bid depth : 14
ask depth : 12
received a message
bid depth : 17
ask depth : 24
received a message
bid depth : 14
ask depth : 16
received a message
bid depth : 3
ask depth : 5
received a message
bid depth : 16
ask depth : 6
.
.
.
btcusdt@depth
opened
received a message
received a message
bid depth : 135
ask depth : 127
received a message
bid depth : 125
ask depth : 135
received a message
bid depth : 95
ask depth : 85
received a message
bid depth : 68
ask depth : 88
received a message
bid depth : 119
ask depth : 145
received a message
bid depth : 127
ask depth : 145
.
.
.
解决方案
您的代码读取最后 100 毫秒或 1000 毫秒的差异长度(未指定时间范围时的默认值)。即远程API 只发送差异,而不是完整列表。
预计差异的长度会有所不同。
例子:
订单簿有 2 个出价和 2 个要价:
- 卖价 1.02,金额 10
- 卖价 1.01,金额 10
- 投标价 0.99,金额 10
- 投标价 0.98,金额 10
在该时间范围内,又增加了一个出价,并更新了一个要价。所以消息返回:
"b": [
[ // added new bid
0.97,
10
]
],
"a": [
[ // updated existing ask
1.01,
20
]
]
您的代码将此消息读取为
bid depth: 1
ask depth: 1
在另一个时间范围内,更新了两个出价
"b": [
[ // updated existing bid
0.98,
20
],
[ // updated existing bid
0.99,
20
]
],
"a": [] // no changes
因此,您的代码将其读取为
bid depth: 2
ask depth: 0