Duplicate from Goooddy/crypto-lob-stream

Co-authored-by: Goodness Chibueze Kalu <Goooddy@users.noreply.huggingface.co>

.gitattributes

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+*.arrow filter=lfs diff=lfs merge=lfs -text
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+*tfevents* filter=lfs diff=lfs merge=lfs -text
+# Audio files - uncompressed
+*.pcm filter=lfs diff=lfs merge=lfs -text
+*.sam filter=lfs diff=lfs merge=lfs -text
+*.raw filter=lfs diff=lfs merge=lfs -text
+# Audio files - compressed
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README.md

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+---
+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.

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