Crate binance_stream_handler 

binance-stream-handler

Produce live Binance order books as Tokio watch::Receiver<OrderBook> streams.

Quick start

use binance_stream_handler::generate_orderbooks;
use chrono::NaiveTime;

// Currency pairs must be defined as a 'static slice.
pub static CURRENCY_PAIRS: &[&str] = &["ADAUSDT", "DOGEUSDT"];

#[tokio::main(flavor = "multi_thread")]
async fn main() -> Result<(), Box<dyn std::error::Error>> {
    let cutoffs = (NaiveTime::from_hms_opt(2,0,0).unwrap(),
                   NaiveTime::from_hms_opt(18,42,0).unwrap());

    let streams = generate_orderbooks(CURRENCY_PAIRS, 1024, 512, cutoffs);

    let mut ada = streams["ADAUSDT"].clone();
    tokio::spawn(async move {
        while ada.changed().await.is_ok() {
            let ob = ada.borrow().clone();
            println!("{} best bid={:?} ask={:?}",
                     ob.symbol, ob.bids.keys().last(), ob.asks.keys().next());
        }
    });

    futures_util::future::pending::<()>().await;
    Ok(())
}

The OrderBook type

Each stream yields an OrderBook, which contains the current snapshot of bids and asks for a symbol.

struct OrderBook {
    symbol: String,                     // e.g. "ADAUSDT"
    bids: BTreeMap<Price, Qty>,         // sorted descending
    asks: BTreeMap<Price, Qty>,         // sorted ascending
    last_u: Option<u64>,                // last update ID applied
    snapshot_id: Option<u64>,           // REST snapshot ID
    depth: u16                          // snapshot depth (default 1000)
}

• bids: map from price → quantity, sorted by price descending
• asks: map from price → quantity, sorted by price ascending
• last_u: last WebSocket update sequence number applied
• snapshot_id: ID of the REST snapshot used to initialize the book
• depth: the configured maximum depth (default: 1000)

You normally just clone the latest OrderBook from a watch::Receiver and inspect the maps to get the best bid/ask or traverse the book.

Structs

OrderBook

A sorted Binance order book (bids descending by price, asks ascending).

Functions

generate_orderbooks

init_order_books