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