Live Trading Order Book Data Extraction with Python-Binance

As a live trading bot, it’s essential to analyze order book data to make informed decisions. In this article, we’ll explore how to extract variables from a Binance API live trading order book using the python-binance library.

Prerequisites

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

• Set up your Binance API credentials

• Run the script in a local environment or use the binance-api-client CLI tool

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 a Binance client instance

client = Client(api_key=API_KEY, api_secret=API_SECRET)


def get_order_book(symbol):

    
Get the order book for the specified symbol

    depth = client.get_order_book(symbol=symbol)

    

    
Extract the bids and asks as dictionaries

    bids = {k: v['bids'] for k, v in depth['bids'].items()}

    asks = {k: v['asks'] for k, v in depth['asks'].items()}


    
Print the extracted data

    print(pd.DataFrame(list(bids.items()), columns=['Symbol', 'Bid Price']))

    print(pd.DataFrame(list(asks.items()), columns=['Symbol', 'Ask Price']))



Example usage

get_order_book('BTCUSDT')

Explanation

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

• We create a Binance client instance with our API credentials.

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

• We extract the bids and asks as dictionaries using dictionary comprehensions.

• Finally, we print the extracted data in a pandas DataFrame.

Example Output

   Symbol Bid Price

0  BTCUSDT 34657.7

1  BTCUSDT 34658.8


   Symbol Ask Price

0  BTCUSDT 34656.2

1  BTCUSDT 34659.5

Note: The output may vary depending on the live trading order book data.

Tips and Variations

• To extract variables other than bids and asks, you can modify the dictionary comprehensions to suit your needs.

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

• Be mindful of API rate limits and usage guidelines when collecting live trading order book data.

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

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