Binance fixture data

This directory stores crate-local fixtures for the Rust Binance adapter.

Start with the canonical examples from the Binance API docs.

See SOURCES.md for the current source map by parser surface.

Current fixture directories

spot/http_json/ holds Spot REST JSON fixtures.
spot/user_data_json/ holds Spot user-data JSON fixtures.
futures/http_json/ holds Futures HTTP JSON fixtures.
futures/market_data_json/ holds Futures market-data stream fixtures.
futures/user_data_json/ holds Futures user-data stream fixtures.

When to use live capture

The parser consumes SBE wire payloads that Binance docs do not publish as raw bytes.
The docs example omits fields we need to test.
We need to confirm that a live payload still matches the docs example.

Two capture binaries produce raw SBE fixture data.

HTTP SBE capture

bash

cargo run --bin binance-spot-http-capture-fixtures --package nautilus-binance

Writes fixtures under spot/http_sbe/{env}/{category}/:

spot/http_sbe/mainnet/public/ for public mainnet captures.
spot/http_sbe/testnet/private_read/ for signed read-only testnet captures.
spot/http_sbe/testnet/order_flow/ for testnet order-flow captures.
spot/http_sbe/demo/private_read/ for signed read-only demo captures.
spot/http_sbe/demo/order_flow/ for demo order-flow captures.

Public capture requires no credentials. Signed read-only capture requires Spot credentials for the selected environment. Order-flow capture is blocked on mainnet. It only runs on testnet or demo with --include-order-flow, --order-quantity, and --order-price.

WebSocket user data SBE capture

bash

cargo run --bin binance-spot-ws-user-data-capture --package nautilus-binance -- \
  --environment testnet --include-order-flow \
  --order-quantity 0.001 --order-price 10000

Writes fixtures under spot/user_data_sbe/{env}/. Connects at the raw WebSocket level, authenticates via session.logon, and subscribes to the user data stream. With --include-order-flow, places and cancels a limit order to trigger execution report (template 603) and account position (template 607) events. All captured frames are raw SBE binary.

Capture output format

Each capture run writes:

Raw SBE payload bytes in a .sbe file.
Per-fixture metadata in a .metadata.json file.
An aggregate manifest.json for the full capture run.

Source priority

Use docs examples as the primary source for JSON fixtures. Use captured SBE payloads as the wire-format source for decode_* coverage when Binance only documents schema fields and message semantics.

Some branch-specific JSON fixtures are derived from a published docs example when Binance only shows one state for a message. Keep those cases narrow. Document each derived case in SOURCES.md.