BINANCE PERP L3 Order Book Estimator

This project is a real-time visualization tool for the Binance perpetual swap order book. The tool uses L2 data's change in time to naively estimate a L3 order book microstructure. we can change to more complex model to estimate the L3 book later.

Features

• Real-time Data: Streams order book data using Binance's WebSocket API.
• Bid/Ask Visualization: Displays the current bids and asks for the binance perpetual swap.
• Order Queue Estimation: Estimates the order queue at each price level using L2 data.
• Dynamic Bar Coloring: Bid and ask bars are dynamically colored based on the age of the order.
• K-Means Cluster: Auto classification for different market participants

Usage

From Source

To try out the project, ensure you have Rust installed. You can install it from https://www.rust-lang.org.

1. Clone the repository:

git clone https://github.com/OctopusTakopi/binance_l3_est.git
cd binance_l3_est

2. Run the project with a trading pair of your choice:

cargo run -r

From Release Binary

Visit the Releases page and download the latest binary release.

The chart dynamically updates as new WebSocket messages are received, and the bars for bids and asks are color-coded based on the order age, in K-means mode it based on the order size.

Note: Allow enough time for the estimator to start working as it processes the historical L2 data.

License

This project is licensed under the MIT License - see the LICENSE file for details.