Failed to evaluate message. Data: {"type":"error","message":"too many L2 streams requested in a single session"}

[Da-Teach]

So I have an application which listens to the orderbook updates and trade updates for all symbols. However I'm running into an arbitrary "too many L2 streams" limit. Coinbase doesn't really specify any limits, but it apparently exist.

The limit is either 16 or between 16 and 31 (I only tested 32 and 16, 32 failed, 16 worked).

Now I can work a bit on my 'reconnect' strategy (which happens when trading symbols change), but I ended up creating a CoinbaseSocketClient in chunks of 16 symbols for both orderbook updates and trade updates.

    private async Task Reconnect()
    {
        Log.ForContext<ConnectionService>().Information("Reconnecting websocket");

        foreach (var socketClient in _socketClients)
        {
            await socketClient.UnsubscribeAllAsync();
            socketClient.Dispose();
        }

        foreach (var chunk in _symbols.Chunk(16))
        {
            var socketClient = ActivatorUtilities.CreateInstance<CoinbaseSocketClient>(serviceProvider);
            await socketClient.AdvancedTradeApi.SubscribeToOrderBookUpdatesAsync(chunk, OnOrderBookUpdates);
            _socketClients.Add(socketClient);

            socketClient = ActivatorUtilities.CreateInstance<CoinbaseSocketClient>(serviceProvider);
            await socketClient.AdvancedTradeApi.SubscribeToTradeUpdatesAsync(chunk, OnTradeUpdates);
            _socketClients.Add(socketClient);
        }

        var authenticatedSocketClient = ActivatorUtilities.CreateInstance<CoinbaseSocketClient>(serviceProvider);
        authenticatedSocketClient.SetApiCredentials(new ApiCredentials(credentials.ApiKey, credentials.PrivateKey));
        await authenticatedSocketClient.AdvancedTradeApi.SubscribeToUserUpdatesAsync(OnUserUpdates);
        _socketClients.Add(authenticatedSocketClient);
    }

Now it would be nice if this logic could be moved into CoinbaseSocketClient, as far as I understand it supports multiple websocket connections. But couldn't find an example client where this was done. Binance had such a limit a long time ago (around 32 per connection). Not sure if that limit is still imposed (I can't trade on Binance anymore). But, unless I'm mistaken, it's not implemented in the Binance.Net client.

[JKorf]

Hi, I've checked this and you're right, there is a limit of 55 symbols on a single connection, specifically for the order book subscription. I've added a check for this to make sure subscriptions trying to more than 55 symbols are rejected with a better error message.

On another note, you do not need to create a new CoinbaseSocketClient for each subscription chunk, you can just call SubscribeToTradeUpdatesAsync on the same client for each chunk and the client will make sure to split it over multiple connections.
This is only possible if you split the Subscribe call though, if you call a single Subscribe with 100 symbols they'll all use the same connection, while if you split it into 4 calls of 25 you'll end up with 4 different connections. With that in mind it's better to use your chunked approach, even if you could subscribe all symbols on a single connection.

When a new websocket connection should be created can be configured using the SocketSubscriptionsCombineTarget and SocketIndividualSubscriptionCombineTarget client options.