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Web Socket Streams for Binance (2017-12-01)

General WSS information

  • The base endpoint is: wss://stream.binance.com:9443
  • Streams can be access either in a single raw stream or a combined stream
  • Raw streams are accessed at /ws/<streamName>
  • Combined streams are accessed at /stream?streams=<streamName1>/<streamName2>/<streamName3>
  • Combined stream events are wrapped as follows: {"stream":"<streamName>","data":<rawPayload>}
  • All symbols for streams are lowercase
  • A single connection to stream.binance.com is only valid for 24 hours; expect to be disconnected at the 24 hour mark

Detailed Stream information

Aggregate Trade Streams

The Aggregate Trade Streams push trade information that is aggregated for a single taker order.

Stream Name: <symbol>@aggTrade

Payload:

{
  "e": "aggTrade",  // Event type
  "E": 123456789,   // Event time
  "s": "BNBBTC",    // Symbol
  "a": 12345,       // Aggregate trade ID
  "p": "0.001",     // Price
  "q": "100",       // Quantity
  "f": 100,         // First trade ID
  "l": 105,         // Last trade ID
  "T": 123456785,   // Trade time
  "m": true,        // Is the buyer the market maker?
  "M": true         // Ignore.
}

Trade Streams

The Trade Streams push raw trade information; each trade has a unique buyer and seller.

Stream Name: <symbol>@trade

Payload:

{
  "e": "trade",     // Event type
  "E": 123456789,   // Event time
  "s": "BNBBTC",    // Symbol
  "t": 12345,       // Trade ID
  "p": "0.001",     // Price
  "q": "100",       // Quantity
  "b": 88,          // Buyer order Id
  "a": 50,          // Seller order Id
  "T": 123456785,   // Trade time
  "m": true,        // Is the buyer the market maker?
  "M": true         // Ignore.
}

Kline/Candlestick Streams

The Kline/Candlestick Stream push updates to the current klines/candlestick every second.

Kline/Candlestick chart intervals:

m -> minutes; h -> hours; d -> days; w -> weeks; M -> months

  • 1m
  • 3m
  • 5m
  • 15m
  • 30m
  • 1h
  • 2h
  • 4h
  • 6h
  • 8h
  • 12h
  • 1d
  • 3d
  • 1w
  • 1M

Stream Name: <symbol>@kline_<interval>

Payload:

{
  "e": "kline",     // Event type
  "E": 123456789,   // Event time
  "s": "BNBBTC",    // Symbol
  "k": {
    "t": 123400000, // Kline start time
    "T": 123460000, // Kline close time
    "s": "BNBBTC",  // Symbol
    "i": "1m",      // Interval
    "f": 100,       // First trade ID
    "L": 200,       // Last trade ID
    "o": "0.0010",  // Open price
    "c": "0.0020",  // Close price
    "h": "0.0025",  // High price
    "l": "0.0015",  // Low price
    "v": "1000",    // Base asset volume
    "n": 100,       // Number of trades
    "x": false,     // Is this kline closed?
    "q": "1.0000",  // Quote asset volume
    "V": "500",     // Taker buy base asset volume
    "Q": "0.500",   // Taker buy quote asset volume
    "B": "123456"   // Ignore
  }
}

Individual Symbol Ticker Streams

24hr Ticker statistics for a single symbol pushed every second

Stream Name: <symbol>@ticker

Payload:

{
  "e": "24hrTicker",  // Event type
  "E": 123456789,     // Event time
  "s": "BNBBTC",      // Symbol
  "p": "0.0015",      // Price change
  "P": "250.00",      // Price change percent
  "w": "0.0018",      // Weighted average price
  "x": "0.0009",      // Previous day's close price
  "c": "0.0025",      // Current day's close price
  "Q": "10",          // Close trade's quantity
  "b": "0.0024",      // Best bid price
  "B": "10",          // Bid bid quantity
  "a": "0.0026",      // Best ask price
  "A": "100",         // Best ask quantity
  "o": "0.0010",      // Open price
  "h": "0.0025",      // High price
  "l": "0.0010",      // Low price
  "v": "10000",       // Total traded base asset volume
  "q": "18",          // Total traded quote asset volume
  "O": 0,             // Statistics open time
  "C": 86400000,      // Statistics close time
  "F": 0,             // First trade ID
  "L": 18150,         // Last trade Id
  "n": 18151          // Total number of trades
}

All Market Tickers Stream

24hr Ticker statistics for all symbols in an array pushed every second

Stream Name: !ticker@arr

Payload:

[
  {
    // Same as <symbol>@ticker payload
  }
]

Partial Book Depth Streams

Top <levels> bids and asks, pushed every second. Valid <levels> are 5, 10, or 20.

Stream Name: <symbol>@depth<levels>

Payload:

{
  "lastUpdateId": 160,  // Last update ID
  "bids": [             // Bids to be updated
    [
      "0.0024",         // price level to be updated
      "10",             // quantity
      []                // ignore
    ]
  ],
  "asks": [             // Asks to be updated
    [
      "0.0026",         // price level to be updated
      "100",            // quantity
      []                // ignore
    ]
  ]
}

Diff. Depth Stream

Order book price and quantity depth updates used to locally manage an order book pushed every second.

Stream Name: <symbol>@depth

Payload:

{
  "e": "depthUpdate", // Event type
  "E": 123456789,     // Event time
  "s": "BNBBTC",      // Symbol
  "U": 157,           // First update ID in event
  "u": 160,           // Final update ID in event
  "b": [              // Bids to be updated
    [
      "0.0024",       // price level to be updated
      "10",
      []              // ignore
    ]
  ],
  "a": [              // Asks to be updated
    [
      "0.0026",       // price level to be updated
      "100",          // quantity
      []              // ignore
    ]
  ]
}

How to manage a local order book correctly

  1. Open a stream to wss://stream.binance.com:9443/ws/bnbbtc@depth
  2. Buffer the events you receive from the stream
  3. Get a depth snapshot from **https://www.binance.com/api/v1/depth?symbol=BNBBTC&limit=1000"
  4. Drop any event where u is <= lastUpdateId in the snapshot
  5. The first processed should have U <= lastUpdateId+1 AND u >= lastUpdateId+1
  6. While listening to the stream, each new event's U should be equal to the previous event's u+1
  7. The data in each event is the absolute quantity for a price level
  8. If the quantity is 0, remove the price level
  9. Receiving an event that removes a price level that is not in your local order book can happen and is normal.