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Add typed Binance L2 capture source - #59

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tradingexpert merged 1 commit into
mainfrom
feature/binance-l2-source
Jul 28, 2026
Merged

Add typed Binance L2 capture source#59
tradingexpert merged 1 commit into
mainfrom
feature/binance-l2-source

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Summary

  • add exact, typed Binance L2 depth, aggregate-trade, and book-ticker records
  • stream completed gzip captures without loading multi-day datasets into memory
  • validate REST snapshot bridging and pu/u continuity per connection
  • keep the source explicitly outside the canonical MBO DataSource and Replay boundary
  • align architecture, connector, schema, data-guide, agent, and changelog documentation

Fidelity boundary

This PR does not convert Binance L2 into exchange-native L3 and does not feed Binance captures directly to Replay. It creates the validated input boundary for a later, named virtual-L3 reconstruction model.

Verification

  • python -m ruff check .
  • python -m pytest --cov=ordersim --cov-report=term-missing
    • 199 passed
    • 98.78% total coverage
    • 100% coverage for every Binance module
  • parsed the first completed real BTCUSDT/ETHUSDT capture segment with no sequence failure
  • python -m build
  • python -m twine check <sdist> <wheel>
  • installed the built native wheel in a fresh virtual environment and imported both the Binance source and C++ extension

@tradingexpert tradingexpert self-assigned this Jul 28, 2026
@tradingexpert tradingexpert added documentation Improvements or additions to documentation enhancement New feature or request help wanted Extra attention is needed labels Jul 28, 2026
@tradingexpert
tradingexpert merged commit 70d97cb into main Jul 28, 2026
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