Binance SBE WebSocket Streams for Trades and Order Book Data
Summary
This reference explains how to connect to Binance’s SBE market-data WebSocket service and what the streams provide. It covers real-time trade events, best bid and ask updates, incremental order-book depth updates, and periodic snapshots of the top levels. Depth updates can be used to maintain a local order book, while best-quote events may be automatically culled under load, meaning stale updates can be discarded in favor of newer ones.
The document also specifies operational constraints: API key authentication with Ed25519 keys, connection and subscription limits, heartbeat handling, timestamps in microseconds, and a maximum connection lifetime that requires reconnect handling. Control messages and shutdown notices use JSON, while market events use binary SBE encoding. These details are useful for building market-data infrastructure, but the reference does not describe a trading strategy or evaluate feed latency, completeness, or execution outcomes. In particular, consumers of the best-quote stream should account for its stated event-culling behavior.
Key ideas
- The service publishes trade, best bid and ask, incremental depth, and limited-depth snapshot streams.
- Incremental depth events support maintenance of a local order book.
- Best-quote events may be culled under server load, so they can omit stale intermediate updates.
- Connections require Ed25519 API key authentication and must handle heartbeats, limits, and reconnects.
- Market events use binary SBE encoding, while control messages and shutdown notices use JSON.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.