I am trying to find any option that I can reach order book data beyond 5k limit which is presented as max in docs. I found some sites are presenting order book depth beyond 5k as live.
I have master’s degree project about it and so this is needed for educational purposes.
Any help will be more than welcome!
Thanks,
I’m afraid there isn’t a way to query the order book that deep.
If you need this data, you will have to maintain a local order book as described here. Basically, you subscribe to <symbol>@depth WebSocket stream for live updates, then query a snapshot of the order book with maximum depth, and keep tracking the updates. This is how you can get a live state with more than 5000 levels.
It is not entirely accurate though at the levels far away from the current price, as the order book would be full of holes at the price levels that don’t get updated but still exist. I’m afraid the only solution here is to keep listening and maintaining data for years, increasing its accuracy with time but you’ll have to deal with some levels being essentially in “unknown” state.