I can't get binance Futures order book historical data

Question

I'm trying to get binance Futures order history data using API. So I asked for data from binance, got the answer "Your application for historical futures order book data has been approved, please follow our Github guidance to access with your whitelisted account API key" and I have set up the API as follows.

And I have modified the Enable Symbol Whitelist like this:

The next step, I followed Github guidance: https://github.com/binance/binance-public-data/tree/master/Futures_Order_Book_Download

which has the following sample code:

"""
This example python script shows how to download the Historical Future Order Book level 2 Data via API.
The data download API is part of the Binance API (https://binance-docs.github.io/apidocs/spot/en/#general-api-information).
For how to use it, you may find info there with more examples, especially SIGNED Endpoint security as in https://binance-docs.github.io/apidocs/spot/en/#signed-trade-user_data-and-margin-endpoint-security
Before executing this file, please note:
    - The API account needs to have a Futures account to access Futures data.
    - The API key has been whitelisted to access the data.
    - Read the comments section in this file to know where you should specify your request values.
"""

# Install the following required packages
import requests
import time
import hashlib
import hmac
from urllib.parse import urlencode

S_URL_V1 = "https://api.binance.com/sapi/v1"

# Specify the api_key and secret_key with your API Key and secret_key
api_key = "your_api_key"
secret_key = "your_secret_key "

# Specify the four input parameters below:
symbol = "ADAUSDT"  # specify the symbol name
startTime = 1635561504914  # specify the starttime
endTime = 1635561604914  # specify the endtime
dataType = "T_DEPTH"  # specify the dataType to be downloaded


# Function to generate the signature
def _sign(params={}):
    data = params.copy()
    ts = str(int(1000 * time.time()))
    data.update({"timestamp": ts})
    h = urlencode(data)
    h = h.replace("%40", "@")

    b = bytearray()
    b.extend(secret_key.encode())

    signature = hmac.new(b, msg=h.encode("utf-8"), digestmod=hashlib.sha256).hexdigest()
    sig = {"signature": signature}

    return data, sig


# Function to generate the download ID
def post(path, params={}):
    sign = _sign(params)
    query = urlencode(sign[0]) + "&" + urlencode(sign[1])
    url = "%s?%s" % (path, query)
    header = {"X-MBX-APIKEY": api_key}
    resultPostFunction = requests.post(url, headers=header, timeout=30, verify=True)
    return resultPostFunction


# Function to generate the download link
def get(path, params):
    sign = _sign(params)
    query = urlencode(sign[0]) + "&" + urlencode(sign[1])
    url = "%s?%s" % (path, query)
    header = {"X-MBX-APIKEY": api_key}
    resultGetFunction = requests.get(url, headers=header, timeout=30, verify=True)
    return resultGetFunction


"""
Beginning of the execution.
The final output will be:
- A link to download the specific data you requested with the specific parameters.
Sample output will be like the following: {'expirationTime': 1635825806, 'link': 'https://bin-prod-user-rebate-bucket.s3.amazonaws.com/future-data-download/XXX'
Copy the link to the browser and download the data. The link would expire after the expirationTime (usually 24 hours).
- A message reminding you to re-run the code and download the data hours later.
Sample output will be like the following: {'link': 'Link is preparing; please request later. Notice: when date range is very large (across months), we may need hours to generate.'}
"""

timestamp = str(
    int(1000 * time.time())
)  # current timestamp which serves as an input for the params variable
paramsToObtainDownloadID = {
    "symbol": symbol,
    "startTime": startTime,
    "endTime": endTime,
    "dataType": dataType,
    "timestamp": timestamp,
}

# Calls the "post" function to obtain the download ID for the specified symbol, dataType and time range combination
path = "%s/futuresHistDataId" % S_URL_V1
resultDownloadID = post(path, paramsToObtainDownloadID)
print(resultDownloadID)
downloadID = resultDownloadID.json()["id"]
print(downloadID)  # prints the download ID, example: {'id': 324225}


# Calls the "get" function to obtain the download link for the specified symbol, dataType and time range combination
paramsToObtainDownloadLink = {"downloadId": downloadID, "timestamp": timestamp}
pathToObtainDownloadLink = "%s/downloadLink" % S_URL_V1
resultToBeDownloaded = get(pathToObtainDownloadLink, paramsToObtainDownloadLink)
print(resultToBeDownloaded)
print(resultToBeDownloaded.json())

I have modified api_key and secret_key to my own keys and this is the result I got.

Can you tell me where I made a mistake? Thanks in advance for the answer.

Answer 1

Look at https://www.binance.com/en-NG/landing/data.

Futures Order Book Data Available only on Binance Futures. It requires futures account be whitelisted first and can only be download via API. Orderbook snapshot (S_Depth): Since January 2020, only on BTC/USDT symbol. Tick-level orderbook (T_Depth): Since January 2020, on all symbols

The page says you should to apply the Binance form to be whitelisted in futures section here: https://docs.google.com/forms/d/e/1FAIpQLSexCgyvZEMI1pw1Xj6gwKtfQTYUbH5HrUQ0gwgPZtM9FaM2Hw/viewform

Second thing - you are interested in futures, not spots, so the url should be api.binance.com/fapi instead of api.binance.com/sapi

Third thing - API endpoint for order book is GET /fapi/v1/depth