Support Board
Date/Time: Sun, 19 Jul 2026 03:55:12 +0000
Post From: Binance - Market Depth Data (Level 2)
| [2026-06-25 20:04:54] |
| User537545 - Posts: 4 |
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Yeah it has been a lot of trial and error with Claude but it seems to work. Surely not perfect but what choice do I have when SC does not provide market depth data beyond level 1? (: In a perfect world SC would at least provide the first 10 DOM levels in the live data path (historical DOM not required). Big thank you for your insightful reply. I had already switched to binary encoding for the historical data download what solved the performance issue. After what you said regarding JSON I also switched to the binary encoding for the live data. That all seems to work. I also switched to only setting the Symbol, not the Exchange and that also works well, thank you. Will this new file format with its own compression be available anytime soon? A few new questions emerged while building the DTC server: 1. When the DTC feed sends individual trades (Type 146, one per exchange fill), SC appears to merge consecutive same-price/same-side fills into a single T&S record with summed volume. Is there a setting that controls this (store every individual trade vs. merged), e.g. for studies that rely on per-fill trade counts? 2. On the dedicated historical connection (port 11098 model), the first backfill of a high-volume symbol (~600k tick records) sometimes hits an SC-side "download timed out", after which SC retries and resumes from the last written record. Is there a configurable timeout for an Intraday historical data request, and/or a recommended server-side pattern to avoid the timeout on very large first requests? 3. Does SC store Intraday/T&S trade prices as 32-bit float, or is higher precision available (e.g. scaled-integer storage via a price/tick multiplier)? I send trade prices via MARKET_DATA_UPDATE_TRADE_WITH_UNBUNDLED_INDICATOR_2 (Type 146, which carries Price as float32). For high-priced instruments (e.g. BTC ~60–100k) float32 rounds sub-tick — is that the storage limit on SC's side too, or is there a way to preserve full precision? |