Capture individual Binance trades

[tradingexpert]

Summary

• capture Binance USD-M individual @trade WebSocket messages alongside depth
• preserve aggregate trades only as an independent reconciliation stream
• record explicit individual trade-ID discontinuities within each connection
• expose typed BinanceIndividualTrade records through individual_trades()
• retain a supplemental /fapi/v1/trades recorder for isRPITrade, overlap auditing, and recovery evidence
• preserve exact REST payloads, poll metadata, errors, deduplication, and confirmed missing-ID ranges
• align the connector, schema, data guide, changelog, and public docs with the two-source design

Why both individual-trade sources

The real-time WebSocket @trade stream is the primary individual-trade evidence. It avoids the information loss in aggTrade and the rolling-window risk of REST-only polling. The REST endpoint contributes the additional isRPITrade field and independent reconciliation evidence. aggTrade is retained for comparison, never as a substitute for individual trades.

Live testing rejected the initial REST-only design after observed BTCUSDT/ETHUSDT bursts rolled beyond the 1,000-row response window. The implementation and documentation now state that limitation directly.

Live validation

A two-symbol live smoke run captured:

• 721 individual WebSocket trades over about 22 seconds
• zero trade-ID discontinuities
• zero connection errors
• concurrent 100 ms depth, book ticker, and aggregate-trade evidence

Verification

• python -m ruff check .
• python -m pytest --cov=ordersim --cov-report=term-missing
  • 237 passed
  • 98.96% total coverage
  • 100% statement and branch coverage for every Binance module
• python -m build --outdir /tmp/ordersim-dist-cea0861
• python -m twine check /tmp/ordersim-dist-cea0861/*