| --- |
| 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. |
|
|
| Heads up: a naive replay (only dropping a level when `quantity` hits `0`) |
| accumulates "ghost levels" over time: price levels that fell out of scope |
| but were never explicitly zeroed out, so they just sit there looking real. |
| There's a nasty failure mode worth knowing about: a replay can be |
| completely gap-free and still end up wrong. |
|
|
| Oliver Zehentleitner ran a 25.10-hour BTCUSDT test on this exact problem |
| (gap-free, sequence-validated, no synthetic gaps at all) and found that a |
| naive, unpruned cache grew to 20,758 bid levels and 9,116 ask levels. At |
| the final audit against REST, only 24.09% of those bid levels and 39.82% |
| of the ask levels still matched. A pruned cache, checked the same way, |
| held steady at 1,011 bids / 1,078 asks with 87.83% / 91.74% matching REST. |
| So don't skip the pruning step, sequence continuity alone doesn't stop |
| stale levels from piling up. [Full writeup here.](https://dev.to/oliverzehentleitner/your-binance-l2-order-book-can-be-gap-free-and-still-be-wrong-1kk8) |
|
|
| The [`crypto-lob-stream`](https://pypi.org/project/crypto-lob-stream/) |
| package (source: [GitHub](https://github.com/Goodie-Goody/crypto_lob_stream_pypi)) |
| handles this for you and prunes automatically: |
|
|
| ```python |
| pip install crypto-lob-stream |
| |
| from crypto_lob_stream import reconstruct |
| |
| # point this at the folder containing trades/, depth/, snapshots/ |
| book = reconstruct("./", exchange="binance", asset="BTCUSDT") |
| bids, asks = book.top(n=10) # best 10 levels per side, correctly pruned |
| ``` |
|
|
| By default it prunes Binance books to depth 1000 (that's the depth the |
| snapshot REST call requests. Binance itself doesn't cap the live diff |
| stream, so without pruning the book can genuinely drift past that over |
| time). Pass `max_depth=` to override, but I wouldn't disable it. |
|
|
| If you're not using Python, the manual version is: load the nearest |
| snapshot before your target window, discard diffs at or before its |
| `last_update_id`, apply the rest in ascending `last_update_id` order |
| (each diff's `quantity` is the new total, not a delta, `0.0` means |
| remove), and prune back to your intended depth after every single update. |
| That last step is the one that actually prevents the ghost-level problem |
| above. |
|
|
| ## Schemas |
|
|
| **trades** |
|
|
| | Field | Type | Notes | |
| |---|---|---| |
| | timestamp_ms | int64 | Event time (Unix ms) | |
| | exchange | string | `binance` | |
| | asset | string | e.g. BTCUSDT | |
| | trade_id | int64 | Exchange trade ID | |
| | price | float64 | | |
| | quantity | float64 | | |
| | buyer_maker | bool | True if the buyer was the maker | |
| |
| **depth (diff events)** |
| |
| | Field | Type | Notes | |
| |---|---|---| |
| | timestamp_ms | int64 | Event/receipt time (Unix ms) | |
| | exchange | string | | |
| | asset | string | | |
| | side | string | bid or ask | |
| | price | float64 | | |
| | quantity | float64 | `0.0` means the level was removed | |
| | first_update_id | int64 | Sequence start | |
| | last_update_id | int64 | Sequence number for replay ordering | |
|
|
| **snapshots** |
|
|
| | Field | Type | Notes | |
| |---|---|---| |
| | timestamp_ms | int64 | Snapshot time (Unix ms) | |
| | exchange | string | | |
| | asset | string | | |
| | side | string | bid or ask | |
| | price | float64 | | |
| | quantity | float64 | | |
| | last_update_id | int64 | Snapshot anchor for diff replay | |
| |
| ## 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. |
| - Reconstruct each market on its own - never merge books across exchanges. |
| - Check the diff sequence for continuity before replaying across a boundary. |
| |
| ## Known gaps |
| |
| - **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 - treat the gap as a hard reset and do not replay a diff |
| sequence across it. |
| |
| ## Where this comes from |
| |
| Collected with [`crypto-lob-stream`](https://pypi.org/project/crypto-lob-stream/) |
| ([GitHub](https://github.com/Goodie-Goody/crypto_lob_stream_pypi), MIT licensed, |
| same as this dataset), a package I built for streaming L2 order book, trade, |
| and funding data off public exchange WebSocket feeds straight to Parquet. |
| Binance/BTC/ETH/SOL is what's published here, but the package also supports |
| Coinbase, OKX, Kraken, and Bybit (spot and perps) if you want to collect your |
| own. Issues and PRs welcome on the repo. |
| |
