To follow the depth cache updates for a symbol use the DepthCacheManager

Create the manager like so, passing the api client, symbol and an optional callback function.

from binance.depthcache import DepthCacheManager
dcm = DepthCacheManager(client, 'BNBBTC', callback=process_depth)

The callback function receives the current DepthCache object which allows access to a pre-sorted list of bids or asks able to be filtered as required.

Access the symbol value from the depth_cache object in case you have multiple caches using the same callback.

By default the depth cache will fetch the order book via REST request every 30 minutes. This duration can be changed by using the refresh_interval parameter. To disable the refresh pass 0 or None. The socket connection will stay open receiving updates to be replayed once the full order book is received.

# 1 hour interval refresh
dcm = DepthCacheManager(client, 'BNBBTC', callback=process_depth, refresh_interval=60*60)

# disable refreshing
dcm = DepthCacheManager(client, 'BNBBTC', callback=process_depth, refresh_interval=0)

def process_depth(depth_cache):
    print("symbol {}".format(depth_cache.symbol))
    print("top 5 bids")
    print(depth_cache.get_bids()[:5])
    print("top 5 asks")
    print(depth_cache.get_asks()[:5])

At any time the current DepthCache object can be retrieved from the DepthCacheManager

depth_cache = dcm.get_depth_cache()
print("symbol {}".format(depth_cache.symbol))
print("top 5 bids")
print(depth_cache.get_bids()[:5])
print("top 5 asks")
print(depth_cache.get_asks()[:5])

To stop the DepthCacheManager from returning messages use the close method. This will close the internal websocket and this instance of the DepthCacheManager will not be able to be used again.

dcm.close()