Extracting Live Trading Order Book Data with Python-Binance

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

Prerequisites

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

• Configure your Binance API credentials

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

Code

import pandas as pd
binance.client import client from
import json

Configure 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 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['ask'].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 our Binance API credentials using the binance-api-client CLI tool.

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

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

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

• Finally, we output the extracted data to 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 data in the real-time trading order book.

Tips and Variations

• If you want to extract variables other than bids and asks, you can modify the dictionary concepts to suit your needs.

• If you need to process additional information about the API, such as candlestick prices or chart data, please refer to the Binance API documentation.

• Please note API rate limits and usage guidelines when collecting real-time trading order book data.

I hope this article helps you extract valuable information from Binance real-time trading order books!