I bumped into a problem whereas testing long-running Binance Spot local order e-book caches and needed to match notes with individuals who build towards the Binance API.
Benchmark setup:
- BTCUSDT
- 25.10 hours
- similar WebSocket stream
- naive implementation vs actively pruned implementation
The naive version still seemed effective at greatest bid / greatest ask, however the full native e-book degraded over time:
- 24.09% bid match
- 39.82% ask match
- 21,244 orphaned native levels
The pruned model ended at:
- 87.83% bid match
- 91.74% ask match
- 305 orphaned local levels
This isn't meant as βBinance docs are flawedβ. The present Binance guide paperwork limit=5000 snapshots and update-ID gap handling.
My question for individuals sustaining their very own Binance Spot local order books:
Do you implement a retention boundary / pruning policy, or do you rely only on qty=0 updates to take away levels?
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