Binance Spot WebSocket 行情数据流¶

来源: https://github.com/binance/binance-spot-api-docs/blob/master/web-socket-streams.md

General Information¶

Base Endpoint: wss://stream.binance.com:9443**或**wss://stream.binance.com:443
纯行情数据: wss://data-stream.binance.vision (不支持用户数据流)
单个流: /ws/<streamName>
组合流: /stream?streams=<streamName1>/<streamName2>/<streamName3>
组合流事件格式: {"stream":"<streamName>","data":<rawPayload>}
所有交易对名称为**小写**
单个连接最长有效 24 小时
服务器每 20 秒发送 ping frame，1 分钟内未收到 pong 将断开连接
所有时间字段默认为**毫秒**，可通过 timeUnit=MICROSECOND 切换为微秒
例: /stream?streams=btcusdt@trade&timeUnit=MICROSECOND

WebSocket 限制¶

每秒最多 5 条入站消息（PING/PONG/JSON 控制消息）
单个连接最多监听 **1024**个流
每 IP 每 5 分钟最多**300** 个连接

订阅/取消订阅¶

订阅¶

{
  "method": "SUBSCRIBE",
  "params": ["btcusdt@aggTrade", "btcusdt@depth"],
  "id": 1
}

取消订阅¶

{
  "method": "UNSUBSCRIBE",
  "params": ["btcusdt@depth"],
  "id": 312
}

列出当前订阅¶

{ "method": "LIST_SUBSCRIPTIONS", "id": 3 }

设置属性¶

{
  "method": "SET_PROPERTY",
  "params": ["combined", true],
  "id": 5
}

数据流详情¶

Aggregate Trade Streams (归集成交)¶

Stream Name: <symbol>@aggTrade
Update Speed: 实时

{
  "e": "aggTrade",    // Event type
  "E": 1672515782136, // Event time
  "s": "BNBBTC",      // Symbol
  "a": 12345,         // Aggregate trade ID
  "p": "0.001",       // Price
  "q": "100",         // Quantity
  "f": 100,           // First trade ID
  "l": 105,           // Last trade ID
  "T": 1672515782136, // Trade time
  "m": true,          // Is the buyer the market maker?
  "M": true           // Ignore
}

Trade Streams (逐笔成交)¶

Stream Name: <symbol>@trade
Update Speed: 实时

{
  "e": "trade",       // Event type
  "E": 1672515782136, // Event time
  "s": "BNBBTC",      // Symbol
  "t": 12345,         // Trade ID
  "p": "0.001",       // Price
  "q": "100",         // Quantity
  "T": 1672515782136, // Trade time
  "m": true,          // Is the buyer the market maker?
  "M": true           // Ignore
}

Kline/Candlestick Streams (K 线)¶

Stream Name: <symbol>@kline_<interval>
带时区偏移: <symbol>@kline_<interval>@+08:00
Update Speed: 1s 间隔为 1000ms，其他为 2000ms
支持的间隔: 1s, 1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w, 1M

{
  "e": "kline",
  "E": 1672515782136,
  "s": "BNBBTC",
  "k": {
    "t": 1672515780000, // Kline start time
    "T": 1672515839999, // Kline close time
    "s": "BNBBTC",      // Symbol
    "i": "1m",          // Interval
    "f": 100,           // First trade ID
    "L": 200,           // Last trade ID
    "o": "0.0010",      // Open price
    "c": "0.0020",      // Close price
    "h": "0.0025",      // High price
    "l": "0.0015",      // Low price
    "v": "1000",        // Base asset volume
    "n": 100,           // Number of trades
    "x": false,         // Is this kline closed?
    "q": "1.0000",      // Quote asset volume
    "V": "500",         // Taker buy base asset volume
    "Q": "0.500",       // Taker buy quote asset volume
    "B": "123456"       // Ignore
  }
}

Individual Symbol Mini Ticker Stream¶

Stream Name: <symbol>@miniTicker
Update Speed: 1000ms

{
  "e": "24hrMiniTicker",
  "E": 1672515782136,
  "s": "BNBBTC",
  "c": "0.0025",  // Close price
  "o": "0.0010",  // Open price
  "h": "0.0025",  // High price
  "l": "0.0010",  // Low price
  "v": "10000",   // Total traded base asset volume
  "q": "18"       // Total traded quote asset volume
}

All Market Mini Tickers Stream¶

Stream Name: !miniTicker@arr
Update Speed: 1000ms

Individual Symbol Ticker Streams (24hr)¶

Stream Name: <symbol>@ticker
Update Speed: 1000ms

{
  "e": "24hrTicker",
  "E": 1672515782136,
  "s": "BNBBTC",
  "p": "0.0015",  // Price change
  "P": "250.00",  // Price change percent
  "w": "0.0018",  // Weighted average price
  "x": "0.0009",  // First trade(F)-1 price
  "c": "0.0025",  // Last price
  "Q": "10",      // Last quantity
  "b": "0.0024",  // Best bid price
  "B": "10",      // Best bid quantity
  "a": "0.0026",  // Best ask price
  "A": "100",     // Best ask quantity
  "o": "0.0010",  // Open price
  "h": "0.0025",  // High price
  "l": "0.0010",  // Low price
  "v": "10000",   // Total traded base asset volume
  "q": "18",      // Total traded quote asset volume
  "O": 0,         // Statistics open time
  "C": 86400000,  // Statistics close time
  "F": 0,         // First trade ID
  "L": 18150,     // Last trade Id
  "n": 18151      // Total number of trades
}

Individual Symbol Rolling Window Statistics Streams¶

Stream Name: <symbol>@ticker_<window_size>
Window Sizes: 1h, 4h, 1d
Update Speed: 1000ms

All Market Rolling Window Statistics Streams¶

Stream Name: !ticker_<window-size>@arr

Individual Symbol Book Ticker Streams (最优挂单)¶

Stream Name: <symbol>@bookTicker
Update Speed: 实时

{
  "u": 400900217,    // order book updateId
  "s": "BNBUSDT",    // symbol
  "b": "25.35190000", // best bid price
  "B": "31.21000000", // best bid qty
  "a": "25.36520000", // best ask price
  "A": "40.66000000"  // best ask qty
}

Average Price (均价)¶

Stream Name: <symbol>@avgPrice
Update Speed: 1000ms

{
  "e": "avgPrice",
  "E": 1693907033000,
  "s": "BTCUSDT",
  "i": "5m",
  "w": "25776.86000000",
  "T": 1693907032213
}

Partial Book Depth Streams (部分深度)¶

Stream Name: <symbol>@depth<levels> 或 <symbol>@depth<levels>@100ms
Valid levels: 5, 10, 20
Update Speed: 1000ms 或 100ms

{
  "lastUpdateId": 160,
  "bids": [["0.0024", "10"]],
  "asks": [["0.0026", "100"]]
}

Diff. Depth Stream (增量深度)¶

Stream Name: <symbol>@depth 或 <symbol>@depth@100ms
Update Speed: 1000ms 或 100ms

{
  "e": "depthUpdate",
  "E": 1672515782136,
  "s": "BNBBTC",
  "U": 157,           // First update ID in event
  "u": 160,           // Final update ID in event
  "b": [["0.0024", "10"]],  // Bids
  "a": [["0.0026", "100"]]  // Asks
}

本地维护 Order Book 的正确方法¶

打开 WebSocket 连接到 wss://stream.binance.com:9443/ws/bnbbtc@depth
缓存收到的事件，记录第一个事件的 U
获取深度快照 https://api.binance.com/api/v3/depth?symbol=BNBBTC&limit=5000
如果快照的 lastUpdateId < 步骤 2 的 U，返回步骤 3
丢弃 u <= lastUpdateId 的缓存事件
将本地 order book 设置为快照，更新 ID 为 lastUpdateId
对所有后续事件应用更新：
如果事件的 u < 本地更新 ID，忽略
如果事件的 U > 本地更新 ID + 1，重新开始
正常情况下，下一事件的 U == 上一事件的 u + 1

数据流汇总表¶

Stream Name	说明	更新速度
`<symbol>@aggTrade`	归集成交	实时
`<symbol>@trade`	逐笔成交	实时
`<symbol>@kline_<interval>`	K 线数据	1s/2s
`<symbol>@kline_<interval>@+08:00`	K 线(UTC+8)	1s/2s
`<symbol>@miniTicker`	Mini Ticker	1s
`!miniTicker@arr`	全市场 Mini Ticker	1s
`<symbol>@ticker`	24hr Ticker	1s
`<symbol>@ticker_<window>`	滚动窗口统计	1s
`!ticker_<window>@arr`	全市场滚动窗口	1s
`<symbol>@bookTicker`	最优挂单	实时
`<symbol>@avgPrice`	均价	1s
`<symbol>@depth<levels>`	部分深度	1s/100ms
`<symbol>@depth`	增量深度	1s/100ms