Extracting Real-Time Order Book Data Using Python-Binance

It is important for a bot to analyze real-time order book data to make informed decisions. In this article, we will look at how to extract variables from the Binance API real-time order book using the python-binance library.

Prerequisites

• Install the required libraries: “python-binance”, “pandas” and “numpy”

• Set up Binance API credentials

• Run the script locally or use the CLI tool “binance-api-client”

Code

Import pandas as pd
from binance.client import client
Import JSON





Set up Binance API credentials
API_KEY = 'YOUR_API_KEY'
API_SECRET = 'YOUR_API_SECRET'

Create an instance of the Binance client
Client = Client(API key=API KEY, API secret=API SECRET)
def get_order_book(symbol):

Get the order book for the given symbol
depth = Client.get_order_book(symbol=symbol)

Extract bids and ASCII as dictionaries
bids = {k: v['bids'] for k, v in depth['bids'].items()}
asks = {k: v['asks'] for k, v in depth['asks'].items()}

Output the extracted data
print(pd.DataFrame(list(bids.items()), columns=['symbol', 'bidprice']))
print(pd.DataFrame(list(asks.items()), columns=['symbol', 'askprice']))

Usage example
get_order_book('BTCUSDT')

Explanation

• We set up our Binance API credentials using the binance-api-client CLI tool.

• We create an instance of the Binance client using our API credentials.

• The get_order_book() function retrieves the order book for the specified symbol (“symbol”) from the Binance API.

• We extract bids and asks as dictionaries using dictionary comprehension.

• Finally, we output the extracted data to a Pandas DataFrame.

Sample Output

Symbol Bid Price
0 BTCUSDT 34657.7
1 BTCUSDT 34658.8
Symbol Ask Price
0 BTCUSDT 34656.2
1 BTCUSDT 34659.5

Note: Output may vary based on real-time order book data.

Tips and Variations

• To extract variables other than bids and offers, you can change the dictionary comprehension to suit your needs.

• If you need to process additional data from the API, such as candlestick prices or chart data, be sure to check the Binance API documentation.

• Be aware of the API’s speed limitations and usage recommendations when collecting order book data for live trading.

I hope this article helps you extract valuable data from orders for real trading on Binance!