Fix Binance full depth order book subscriptions

RELEASES.md

@@ -12,6 +12,7 @@ None
 - Fixed `OrderBookDelta.clear` method (where the `sequence` field was swapped with `flags` causing an overflow)
 - Fixed `OrderManager` OTO contingency handling on fills
 - Fixed `Cache` loading of initialized emulated orders (were not being correctly indexed as emulated)
+- Fixed Binance order book subscriptions for deltas at full depth (was not requesting initial snapshot), thanks for reporting @doublier1
 
 ---
 

nautilus_trader/adapters/binance/common/data.py

@@ -285,8 +285,9 @@ async def _subscribe_order_book(  # noqa (too complex)
             )
             return
 
-        if depth is None:
-            depth = 0
+        if not depth:
+            # Reasonable default for full book, which works for Spot and Futures
+            depth = 1000
 
         # Add delta stream buffer
         self._book_buffer[instrument_id] = []
@@ -305,19 +306,19 @@ async def _subscribe_order_book(  # noqa (too complex)
                 depth=depth,
                 speed=update_speed,
             )
-
-            snapshot = await self._http_market.request_order_book_snapshot(
-                instrument_id=instrument_id,
-                limit=depth,
-                ts_init=self._clock.timestamp_ns(),
-            )
-            self._handle_data(snapshot)
         else:
             await self._ws_client.subscribe_diff_book_depth(
                 symbol=instrument_id.symbol.value,
                 speed=update_speed,
             )
 
+        snapshot = await self._http_market.request_order_book_snapshot(
+            instrument_id=instrument_id,
+            limit=depth,
+            ts_init=self._clock.timestamp_ns(),
+        )
+        self._handle_data(snapshot)
+
         book_buffer = self._book_buffer.pop(instrument_id, [])
         for deltas in book_buffer:
             if snapshot and deltas.sequence <= snapshot.sequence:

nautilus_trader/examples/strategies/volatility_market_maker.py

@@ -132,7 +132,7 @@ def on_start(self) -> None:
         self.subscribe_quote_ticks(self.instrument_id)
         # self.subscribe_trade_ticks(self.instrument_id)
         # self.subscribe_ticker(self.instrument_id)  # For debugging
-        # self.subscribe_order_book_deltas(self.instrument_id, depth=50)  # For debugging
+        # self.subscribe_order_book_deltas(self.instrument_id)  # For debugging
         # self.subscribe_order_book_snapshots(
         #     self.instrument_id,
         #     depth=20,

nautilus_trader/model/data/book.pxd

@@ -67,10 +67,12 @@ cdef class OrderBookDeltas(Data):
     """The order book deltas.\n\n:returns: `list[OrderBookDelta]`"""
     cdef readonly bint is_snapshot
     """If the deltas represent a snapshot (an initial CLEAR then deltas).\n\n:returns: `bool`"""
+    cdef readonly uint64_t sequence
+    """If the sequence number for the last delta.\n\n:returns: `bool`"""
     cdef readonly uint64_t ts_event
-    """The UNIX timestamp (nanoseconds) when the data event occurred.\n\n:returns: `uint64_t`"""
+    """The UNIX timestamp (nanoseconds) when the last delta event occurred.\n\n:returns: `uint64_t`"""
     cdef readonly uint64_t ts_init
-    """The UNIX timestamp (nanoseconds) when the object was initialized.\n\n:returns: `uint64_t`"""
+    """The UNIX timestamp (nanoseconds) when the last delta event was initialized.\n\n:returns: `uint64_t`"""
 
 
     @staticmethod

nautilus_trader/model/data/book.pyx

@@ -650,6 +650,7 @@ cdef class OrderBookDeltas(Data):
         self.instrument_id = instrument_id
         self.deltas = deltas
         self.is_snapshot = deltas[0].is_clear
+        self.sequence = deltas[-1].sequence
         self.ts_event = deltas[-1].ts_event
         self.ts_init = deltas[-1].ts_init
 
@@ -665,6 +666,7 @@ cdef class OrderBookDeltas(Data):
             f"instrument_id={self.instrument_id}, "
             f"{self.deltas}, "
             f"is_snapshot={self.is_snapshot}, "
+            f"sequence={self.sequence}, "
             f"ts_event={self.ts_event}, "
             f"ts_init={self.ts_init})"
         )