| --- |
| license: mit |
| task_categories: |
| - time-series-forecasting |
| tags: |
| - finance |
| - cryptocurrency |
| - order-book |
| - market-microstructure |
| - high-frequency |
| pretty_name: Binance BTC/ETH/SOL L2 Order Book & Trades |
| configs: |
| - config_name: depth |
| data_files: "depth/binance/*/*.parquet" |
| - config_name: trades |
| data_files: "trades/binance/*/*.parquet" |
| - config_name: snapshots |
| data_files: "snapshots/binance/*/*.parquet" |
| --- |
| |
| # Binance BTC/ETH/SOL - L2 Order Book, Trades & Snapshots |
|
|
| Continuous Level-2 order book (depth diffs), trades, and periodic full-book |
| snapshots for BTCUSDT, ETHUSDT, and SOLUSDT, captured from Binance's public |
| WebSocket feeds with [`crypto-lob-stream`](https://pypi.org/project/crypto-lob-stream/) |
| and published monthly as a contribution to open market-microstructure research. |
|
|
| Full depth-of-book data is paywalled or licensed for most asset classes; crypto |
| is the exception, where the raw feeds are genuinely public. This dataset exists |
| to lower that data barrier for independent researchers and students. |
|
|
| ## Layout |
|
|
| ``` |
| depth/binance/{ASSET}/YYYY-MM.parquet # order book diff events |
| trades/binance/{ASSET}/YYYY-MM.parquet # executed trades |
| snapshots/binance/{ASSET}/*.parquet # full-book anchors for replay |
| ``` |
|
|
| Files are Snappy-compressed Parquet, compacted to one file per month per asset, |
| and carry an explicit `exchange` column - i.e. the native schema of the |
| `crypto-lob-stream` package, so its reconstruction helper works directly. |
|
|
| ## Reconstructing the order book |
|
|
| Depth rows are diffs, not a standing book. Replay a snapshot plus every |
| subsequent diff, pruning to your intended depth after each update, to rebuild |
| the book at any instant. The package does this for you, ghost-level-safe: |
|
|
| ```python |
| pip install crypto-lob-stream |
| |
| from crypto_lob_stream import reconstruct |
| book = reconstruct("./depth", exchange="binance", asset="BTCUSDT") |
| bids, asks = book.top(n=10) |
| ``` |
|
|
| ## Coverage & limitations |
|
|
| - **Reconstructable from 2026-06-03 onward.** Every depth file here carries |
| `first_update_id` / `last_update_id`, so the diff sequence can be replayed |
| against the snapshots. Earlier data lacks sequence ids and is not published. |
| - **Known gap — July 2026:** capture paused ~2026-07-05 20:56 to ~21:39 UTC |
| (~43 min) for all three symbols across depth and trades, due to a host |
| restart. A fresh snapshot was written on reconnect, so books before and |
| after the gap reconstruct cleanly; do not replay a diff sequence across it. |
| - Reconstruct each market on its own - never merge books across exchanges. |
| - Check the diff sequence for continuity before replaying across a boundary. |
|
|
