nautechsystems/nautilus_trader · error · anyhow::Error

Binance Spot order-book depth must be between 1 and 5000

Error message

Binance Spot order-book depth must be between 1 and 5000

What it means

Binance Spot GET /api/v3/depth serves at most 5000 price levels per snapshot. The adapter validates request.depth (NonZeroU64 converted to u32) against the inclusive range 1..=5000 before spawning the snapshot task, mirroring the same check inside the HTTP client.

Source

Thrown at crates/adapters/binance/src/spot/data.rs:2398

                        end_nanos,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send bars response: {e}");
                    }
                }
                Err(e) => log::error!("Bar request failed: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_book_snapshot(&self, request: RequestBookSnapshot) -> anyhow::Result<()> {
        let depth = request.depth.map(|value| value.get() as u32);
        anyhow::ensure!(
            depth.is_none_or(|value| (1..=5000).contains(&value)),
            "Binance Spot order-book depth must be between 1 and 5000"
        );
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let instrument_id = request.instrument_id;
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let clock = self.clock;

        get_runtime().spawn(async move {
            match http.request_book_snapshot(instrument_id, depth).await {
                Ok(book) => {
                    let response = DataResponse::Book(BookResponse::new(
                        request_id,
                        client_id,
                        instrument_id,

View on GitHub (pinned to a4b06ed870)

Solutions

1. Use one of Binance's valid depth steps: 5, 10, 20, 50, 100, 500, 1000, 5000 (5000 for the deepest snapshot)
2. Clamp user-supplied depth to the 1..=5000 range before constructing the request
3. Omit depth to accept Binance's default (100 levels)

Example fix

# before
self.request_book_snapshot(instrument_id, depth=10000)

# after: Spot depth snapshots cap at 5000
self.request_book_snapshot(instrument_id, depth=5000)

const BINANCE_SPOT_VALID_DEPTHS: [u32; 8] = [5, 10, 20, 50, 100, 500, 1000, 5000];

fn snap_depth(requested: u32) -> u32 {
    BINANCE_SPOT_VALID_DEPTHS
        .iter()
        .rev()
        .find(|&&d| d <= requested)
        .copied()
        .unwrap_or(100)
}

When it happens

Trigger: Calling request_book_snapshot (RequestBookSnapshot) with depth greater than 5000 (zero is unreachable because the field is a NonZeroU64). The ensure! at spot/data.rs:2398 fires before any network call.

Common situations: Copying full-book depth values from other venues; requesting 'complete' book depth for order-book imbalance calculations; mixing up futures and spot depth caps in shared config.

Related errors

• Binance Spot L1_MBP supports depth 1 only
• invalid Binance Futures order-book depth; valid values are {
• Binance Spot supports L1_MBP and L2_MBP order book subscript
• Binance Spot trade limit must not exceed 1000
• Spot ticker requires a BINANCE instrument

AI-assisted analysis of nautechsystems/nautilus_trader@a4b06ed870 (2026-08-16). Data as JSON: /api/errors/051dc95f96f243e6. Report an issue: GitHub.