Skip to content

Add Binance L2 capture tooling - #58

Merged
tradingexpert merged 1 commit into
mainfrom
feature/binance-capture
Jul 28, 2026
Merged

Add Binance L2 capture tooling#58
tradingexpert merged 1 commit into
mainfrom
feature/binance-capture

Conversation

@tradingexpert

Copy link
Copy Markdown
Owner

Summary

  • add an optional Binance USD-M capture command without changing core dependencies
  • record 100 ms diff depth, aggregate trades, real-time book ticker, REST snapshots, and optional RPI depth
  • preserve raw payloads with UTC and monotonic receive times, connection IDs, hourly gzip rotation, and run manifests
  • detect pu/u depth-sequence gaps within each connection
  • document that capture is evidence acquisition, not observed MBO or an L2-to-L3 claim

Boundary

This PR does not produce virtual L3 events yet. It establishes the raw, auditable input needed by the later BinanceL2Source and named reconstruction model.

Verification

  • ruff passes
  • 172 pytest tests pass
  • all new Binance modules are at 100% coverage; total coverage is 98.56%
  • source distribution and wheel build successfully; twine metadata checks pass
  • clean-wheel import and CLI help smoke tests pass
  • live BTCUSDT/ETHUSDT smoke capture produced two 1,000-level snapshots and 1,417 messages across depth, aggregate-trade, book-ticker, and RPI streams with zero sequence gaps

@tradingexpert tradingexpert self-assigned this Jul 28, 2026
@tradingexpert tradingexpert added documentation Improvements or additions to documentation enhancement New feature or request labels Jul 28, 2026
@tradingexpert
tradingexpert merged commit 82744da into main Jul 28, 2026
8 checks passed
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment

Labels

documentation Improvements or additions to documentation enhancement New feature or request

Projects

None yet

Development

Successfully merging this pull request may close these issues.

1 participant