/Binance-ws-lags

Primary LanguageC#

Test Binance websoket lags

There are unacceptable huge delays between an Event and receiving this event by websocket client.

The delays are even worse on Futures since binance turned off permessage-deflate support (which was reported many times but still completely ignored.)

To measure delays, we subscribe to @trade streams for all USDT pairs on Spot or @aggTrade on Futures and measure the difference between Event.T and the time the event was received.

Subscription is done either in 2 threads (BTC is always in a separete thread, other altcoins on 2nd thread) or in N threads. The N and whether to work with Spot or Futures are specified in the config.txt

Important question: how much time one should run this test?

The asnwer is obvious: If you are a serious trader, you should run it forever. Be sure. the lag will happen exactly when you max your position and don't expect any bad.

If there is a possibility of several things going wrong, the one that will cause the most damage will be the one to go wrong
-- Murphy's laws

Some results. Binance futures, 50 markets at the moment of this writing

Tokyo AWS (recomended by binance)

09.13.2020 12:52:42 Latency (ms) = 6201 ms

data: {"stream":"sxpusdt@trade","data":{"e":"trade","E":1600001556423,"T":1600001556418,"s":"SXPUSDT","t":16207863,"p":"1.7560","q":"0.4","X":"MARKET","m":true}}

09.13.2020 15:47:00 Latency (ms) = 9828 ms

data: {"stream":"bnbusdt@trade","data":{"e":"trade","E":1600012010422,"T":1600012010416,"s":"BNBUSDT","t":24304526,"p":"30.126","q":"5.02","X":"MARKET","m":true}}

For those who has the misfortune of living not in Asia and who wants to use the API for manual trading, Frankfurt AWS:

9/13/2020 13:45:35 Latency (ms) = 52532 ms (yes, 52 seconds)

data: {"stream":"ontusdt@trade","data":{"e":"trade","E":1600004682694,"T":1600004682688,"s":"ONTUSDT","t":13294672,"p":"0.7548","q":"2.5","X":"MARKET","m":false}}

9/13/2020 13:45:38 PM: Latency (ms) = 52785 ms

data: {"stream":"xtzusdt@trade","data":{"e":"trade","E":1600004685713,"T":1600004685705,"s":"XTZUSDT","t":32607370,"p":"2.610","q":"44.6","X":"MARKET","m":true}}

9/13/2020 13:45:40 PM: Latency (ms) = 52876 ms

data: {"stream":"bandusdt@trade","data":{"e":"trade","E":1600004687377,"T":1600004687372,"s":"BANDUSDT","t":11119309,"p":"8.6255","q":"34.0","X":"MARKET","m":true}}

Tokyo vultr VPS, 2 cores

9/14/2020 13:13:16: Latency (ms) = 14223

data: {"stream":"btcusdt@trade","data":{"e":"trade","E":1600089182477,"T":1600089182471,"s":"BTCUSDT","t":208017356,"p":"10571.15","q":"0.101","X":"MARKET","m":true}}

9/14/2020 13:13:18: Latency (ms) = 15915

data: {"stream":"btcusdt@trade","data":{"e":"trade","E":1600089182599,"T":1600089182593,"s":"BTCUSDT","t":208017441,"p":"10565.19","q":"0.709","X":"MARKET","m":true}}