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Fix BinanceFutures premium index ValueError in non-CANDLES subscriptions (#1096) #1108

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Fix BinanceFutures premium index ValueError in non-CANDLES subscriptions (#1096) #1108

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1c6af9e
fix: guard BookQuest against IndexError when depth exceeds book level…
dimitryLMEX May 26, 2026
16a3837
Fix BinanceFutures premium index ValueError in non-CANDLES subscripti…
dimitryLMEX May 26, 2026
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6 changes: 5 additions & 1 deletion cryptofeed/backends/quest.py
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Original file line number Diff line number Diff line change
Expand Up @@ -75,7 +75,11 @@ def __init__(self, *args, depth=10, **kwargs):
self.depth = depth

async def __call__(self, book, receipt_timestamp: float):
vals = ','.join([f"bid_{i}_price={book.book.bids.index(i)[0]},bid_{i}_size={book.book.bids.index(i)[1]}" for i in range(self.depth)] + [f"ask_{i}_price={book.book.asks.index(i)[0]},ask_{i}_size={book.book.asks.index(i)[1]}" for i in range(self.depth)])
bid_depth = min(self.depth, len(book.book.bids))
ask_depth = min(self.depth, len(book.book.asks))
bid_vals = [f"bid_{i}_price={book.book.bids.index(i)[0]},bid_{i}_size={book.book.bids.index(i)[1]}" for i in range(bid_depth)]
ask_vals = [f"ask_{i}_price={book.book.asks.index(i)[0]},ask_{i}_size={book.book.asks.index(i)[1]}" for i in range(ask_depth)]
vals = ','.join(bid_vals + ask_vals)
timestamp = book.timestamp
receipt_timestamp_int = int(receipt_timestamp * 1_000_000)
timestamp_int = int(timestamp * 1_000_000_000) if timestamp is not None else receipt_timestamp_int * 1000
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3 changes: 2 additions & 1 deletion cryptofeed/exchanges/binance.py
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Expand Up @@ -131,7 +131,8 @@ def _address(self) -> Union[str, Dict]:
# for everything but premium index the symbols need to be lowercase.
if pair.startswith("p"):
if normalized_chan != CANDLES:
raise ValueError("Premium Index Symbols only allowed on Candle data feed")
LOG.warning("%s: Premium Index symbol %s is only supported on Candle feed; skipping for %s", self.id, pair, normalized_chan)
continue
else:
pair = pair.lower()
subs.append(f"{pair}@{stream}")
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