Creating strategy with data sources from both binance spot and binance futures do not work about nautilus_trader

[cjdsellers]

Hi @dimitar-petrov

Thanks for bringing this to my attention, it should now be fixed from 6f96865 on develop branch.

I was able to run two Binance data clients, and two Binance execution clients. Let me know how you go when you get a chance.

[dimitar-petrov]

@cjdsellers,

I had some time to test simultateous connections to SPOT and PERP on binance and the following issue arised:

2024-04-21T16:01:41.603724782Z [INFO] SPOT_PERP_MM-104.BinanceWebSocketClient: Connected to wss://fstream.binance.com
2024-04-21T16:01:41.603833564Z [INFO] SPOT_PERP_MM-104.DataClient-BINANCE_PERP: Subscribed trades WUSDT.BINANCE
2024-04-21T16:01:41.609275961Z [INFO] SPOT_PERP_MM-104.DataClient-BINANCE_PERP: Subscribed quotes WUSDT.BINANCE
2024-04-21T16:01:41.609327651Z [INFO] SPOT_PERP_MM-104.DataClient-BINANCE_PERP: OrderBook snapshot rebuild for WUSDT.BINANCE @ depth 1000 starting
2024-04-21T16:01:41.897892729Z [INFO] SPOT_PERP_MM-104.DataClient-BINANCE_PERP: OrderBook snapshot rebuild for WUSDT.BINANCE completed
2024-04-21T16:01:41.898032915Z [INFO] SPOT_PERP_MM-104.DataClient-BINANCE_PERP: Subscribed order book deltas WUSDT.BINANCE depth=0

Looks like instruments cannot be routed to correct data provider for subscription, since VENUE for both binance spot and perp is the same.

Maybe PERP and SPOT exchanges should be treated as different venues.

[cjdsellers]

Hi @dimitar-petrov

Yes, this is known and currently the intent is that you would add your two client sets for SPOT and FUTURES, then use the client_id param for commands to specifically route to those clients, e.g.

client_id=ClientId("BINANCE_PERP")

    cpdef void subscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=*)

[dimitar-petrov]

@cjdsellers, thanks for the clarification.

I did not notice that client_id was added to the subscribe methods.

[cjdsellers]

Yes, client_id has actually been in the API a long time as well. 👍