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depth_cache.rst

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Depth Cache

To follow the depth cache updates for a symbol use the DepthCacheManager

Create the manager like so, passing the api client, symbol and an optional callback function.

from binance.depthcache import DepthCacheManager
dcm = DepthCacheManager(client, 'BNBBTC', callback=process_depth)

The callback function receives the current DepthCache object which allows access to a pre-sorted list of bids or asks able to be filtered as required.

Access the symbol value from the depth_cache object in case you have multiple caches using the same callback.

By default the depth cache will fetch the order book via REST request every 30 minutes. This duration can be changed by using the refresh_interval parameter. To disable the refresh pass 0 or None. The socket connection will stay open receiving updates to be replayed once the full order book is received.

Share a Socket Manager

Here dcm1 and dcm2 share the same instance of BinanceSocketManager

from binance.websockets import BinanceSocketManager
from binance.depthcache import DepthCacheManager
bm = BinanceSocketManager(client)
dcm1 = DepthCacheManager(client, 'BNBBTC', callback=process_depth1, bm=bm)
dcm2 = DepthCacheManager(client, 'ETHBTC', callback=process_depth2, bm=bm)

Because they both share the same BinanceSocketManager calling close can close both message streams.

# close just dcm1 stream
dcm1.close()

# close the underlying socket manager as well
dcm1.close(close_socket=True)

Websocket Errors

If the underlying websocket is disconnected and is unable to reconnect None is returned for the depth_cache parameter.

Examples

# 1 hour interval refresh
dcm = DepthCacheManager(client, 'BNBBTC', callback=process_depth, refresh_interval=60*60)

# disable refreshing
dcm = DepthCacheManager(client, 'BNBBTC', callback=process_depth, refresh_interval=0)
def process_depth(depth_cache):
    if depth_cache is not None:
        print("symbol {}".format(depth_cache.symbol))
        print("top 5 bids")
        print(depth_cache.get_bids()[:5])
        print("top 5 asks")
        print(depth_cache.get_asks()[:5])
        print("last update time {}".format(depth_cache.update_time)
    else:
        # depth cache had an error and needs to be restarted

At any time the current DepthCache object can be retrieved from the DepthCacheManager

depth_cache = dcm.get_depth_cache()
if depth_cache is not None:
    print("symbol {}".format(depth_cache.symbol))
    print("top 5 bids")
    print(depth_cache.get_bids()[:5])
    print("top 5 asks")
    print(depth_cache.get_asks()[:5])
        print("last update time {}".format(depth_cache.update_time)
else:
    # depth cache had an error and needs to be restarted

To stop the DepthCacheManager from returning messages use the close method. This will close the internal websocket and this instance of the DepthCacheManager will not be able to be used again.

dcm.close()