BINANCE L3 Order Book Estimator

This project is a high-performance real-time visualization tool for the Binance order book. It estimates a Level 3 (L3) order book from Level 2 (L2) data streams to give you deep insights into market liquidity, order queue seniority, and participant behavior.

Key Features

• Real-time Order Book Heatmap Visualize market depth with a dynamic heatmap. Easily spot liquidity clusters and identify major support and resistance levels.

• Interactive Analytics & Zooming Analyze the market with multi-axis rendering. Right-click and drag on liquidity charts to zoom into specific price ranges for precise inspection of the order book.

• Microstructure Health Dashboard Monitor market health in real-time with a dedicated dashboard displaying key indicators:

  • Order-to-Trade Ratio (OTR) to track liquidity provision density.
  • Cancellation-to-Trade Ratio (CTR) to spot cancellation velocity and potential spoofing.

• Market Participant Clustering Automatically classify market participants in real-time. The tool uses K-Means clustering based on order sizes and trading frequencies to help you identify distinct trading behaviors.

• Algorithmic TWAP Detector Spot hidden execution algorithms (Time-Weighted Average Price bots) in the market. The tool analyzes trade streams to identify distinct buy and sell side periodic trading patterns, revealing execution frequency and estimated volume limits.

• Advanced Order Queue Tracking Get a highly accurate representation of the L3 order book. The tool intelligently tracks order priorities, partial fills, multi-order cancellations, and explicitly highlights massive "Whale" orders.

Usage

From Source

Ensure you have Rust installed (rust-lang.org).

1. Clone the repository: bash git clone https://github.com/OctopusTakopi/binance_l3_est.git cd binance_l3_est

2. Run the project: bash cargo run -r

UI Controls

• Microstructure Toggle: Use the UI panel to enable/disable the OTR/CTR dashboard.
• TWAP Toggle: Open the TWAP Detector window to monitor periodic trading activity.
• Heatmap Z-Score: Adjust the standardization slider to highlight liquidity outliers.
• Zoom: Right-click and drag on the liquidity charts to inspect specific price ranges.

License

This project is licensed under the MIT License - see the LICENSE file for details.