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Possible rounding error (from trades to aggTrades), causing quantitiy == 0, in 73 symbols/pairs in 2023-05 Futures/UM (From May 01, to May 13 last second) #342

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Shoz0 opened this issue Jun 25, 2024 · 1 comment
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@Shoz0
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Shoz0 commented Jun 25, 2024

Market: Futures/um
Symbol: 90 symbols/pairs
Problem: 'quantity' == 0, in 2023-05 aggTrades (I am not including when first_trade_id and last_trade_id is -1)
It seems to be a rounding issue, from trades to aggTrades

Range: from transact_time '1682899200000' (Mon May 01 2023 00:00:00 GMT+0000) to '1684022399999' (Sat May 13 2023 23:59:59 GMT+0000) (all in 2023-05 monthly aggTrades)


  • Example of lines with the quantity == 0, in ETHUSDT:

x agg_trade_id price quantity first_trade_id last_trade_id transact_time is_buyer_maker
0 1290241731 1868.42 0.0 2943174956 2943174958 1682899200037 False

12316940 1303870274 1794.36 0.0 2989227062 2989227062 1684022397864 False
12316945 1303870279 1794.41 0.0 2989227072 2989227074 1684022397864 False
12316946 1303870280 1794.42 0.0 2989227075 2989227077 1684022397864 False
12316949 1303870283 1794.44 0.0 2989227086 2989227087 1684022398361 False
12316950 1303870284 1794.44 0.0 2989227088 2989227091 1684022398565 False
12316951 1303870285 1794.44 0.0 2989227092 2989227092 1684022398667 False
12316952 1303870286 1794.44 0.0 2989227093 2989227093 1684022399071 False


  • From original aggTrades 2023-05 ETHUSDT:

agg_trade_id,price,quantity,first_trade_id,last_trade_id,transact_time,is_buyer_maker
1290241731,1868.42,0.0,2943174956,2943174958,1682899200037,false
1290241732,1868.43,3.0,2943174959,2943174959,1682899200123,false
1290241733,1868.44,0.0,2943174960,2943174960,1682899200123,false
1290241734,1868.43,1.0,2943174961,2943174961,1682899200132,true
1290241735,1868.44,0.0,2943174962,2943174962,1682899200135,false
1290241736,1868.45,0.0,2943174963,2943174965,1682899200135,false
1290241737,1868.44,0.0,2943174966,2943174966,1682899200147,true
1290241738,1868.45,4.0,2943174967,2943174971,1682899200165,false
1290241739,1868.44,1.0,2943174972,2943174972,1682899200187,true
1290241740,1868.45,0.0,2943174973,2943174973,1682899200193,false
1290241741,1868.44,13.0,2943174974,2943174979,1682899200207,true
1290241742,1868.45,0.0,2943174980,2943174980,1682899200240,false
1290241743,1868.44,0.0,2943174981,2943174982,1682899200240,true
1290241744,1868.45,0.0,2943174983,2943174983,1682899200243,false
1290241745,1868.44,6.0,2943174984,2943174989,1682899200249,true
1290241746,1868.45,0.0,2943174990,2943174990,1682899200295,false
1290241747,1868.44,0.0,2943174991,2943174991,1682899200301,true
1290241748,1868.45,0.0,2943174992,2943174992,1682899200310,false
1290241749,1868.44,23.0,2943174993,2943174999,1682899200320,true
1290241750,1868.43,15.0,2943175000,2943175007,1682899200324,true
1290241751,1868.44,2.0,2943175008,2943175009,1682899200324,false
1290241752,1868.45,6.0,2943175010,2943175014,1682899200330,false


  • From trades 2023-05 ETHUSDT:

id,price,qty,quote_qty,time,is_buyer_maker
2943174955,1868.41,3.047,5693.04527,1682899200001,false
2943174956,1868.42,0.027,50.44734,1682899200037,false
2943174957,1868.42,0.095,177.4999,1682899200123,false
2943174958,1868.42,0.05,93.421,1682899200123,false
2943174959,1868.43,2.5,4671.075,1682899200123,false
2943174960,1868.44,0.239,446.55716,1682899200123,false
2943174961,1868.43,1.0,1868.43,1682899200132,true
2943174962,1868.44,0.11,205.5284,1682899200135,false
2943174963,1868.45,0.006,11.2107,1682899200135,false
2943174964,1868.45,0.013,24.28985,1682899200135,false
2943174965,1868.45,0.003,5.60535,1682899200136,false
2943174966,1868.44,0.01,18.6844,1682899200147,true
2943174967,1868.45,0.02,37.369,1682899200165,false
2943174968,1868.45,0.044,82.2118,1682899200165,false
2943174969,1868.45,0.01,18.6845,1682899200165,false
2943174970,1868.45,0.01,18.6845,1682899200165,false
2943174971,1868.45,3.916,7316.8502,1682899200165,false
2943174972,1868.44,0.923,1724.57012,1682899200187,true
2943174973,1868.45,0.003,5.60535,1682899200193,false
2943174974,1868.44,0.013,24.28972,1682899200207,true
2943174975,1868.44,0.004,7.47376,1682899200207,true
2943174976,1868.44,0.053,99.02732,1682899200209,true
2943174977,1868.44,0.63,1177.1172,1682899200238,true
2943174978,1868.44,0.014,26.15816,1682899200239,true
2943174979,1868.44,12.779,23876.79476,1682899200239,true
2943174980,1868.45,0.394,736.1693,1682899200240,false
2943174981,1868.44,0.24,448.4256,1682899200240,true
2943174982,1868.44,0.01,18.6844,1682899200242,true
2943174983,1868.45,0.007,13.07915,1682899200243,false
2943174984,1868.44,0.144,269.05536,1682899200249,true
2943174985,1868.44,1.256,2346.76064,1682899200249,true
2943174986,1868.44,3.5,6539.54,1682899200274,true
2943174987,1868.44,0.245,457.7678,1682899200278,true
2943174988,1868.44,0.755,1410.6722,1682899200278,true
2943174989,1868.44,0.002,3.73688,1682899200279,true
2943174990,1868.45,0.112,209.2664,1682899200295,false


@Shoz0
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Shoz0 commented Jun 27, 2024

  • Complete list of pairs with this error:
    (90 with error, of all 404 pairs in futures-um up to date) (all months already check) (i check cm and spot too, and don't have this error fortunately)

ETHUSDT
BCHUSDT
XRPUSDT
EOSUSDT
LTCUSDT
ETCUSDT
LINKUSDT
XMRUSDT
DASHUSDT
ZECUSDT
XTZUSDT
BNBUSDT
ATOMUSDT
ONTUSDT
IOTAUSDT
BATUSDT
NEOUSDT
QTUMUSDT
THETAUSDT
ALGOUSDT
ZRXUSDT
COMPUSDT
OMGUSDT
SXPUSDT
KAVAUSDT
BANDUSDT
RLCUSDT
WAVESUSDT
MKRUSDT
SNXUSDT
DOTUSDT
DEFIUSDT
YFIUSDT
BALUSDT
CRVUSDT
TRBUSDT
EGLDUSDT
KSMUSDT
AAVEUSDT
FILUSDT
ZENUSDT
LITUSDT
UNFIUSDT
ALICEUSDT
GTCUSDT
BTCDOMUSDT
DYDXUSDT
CELOUSDT
ARUSDT
KLAYUSDT
LPTUSDT
ENSUSDT
FLOWUSDT
API3USDT
DARUSDT
OPUSDT
INJUSDT
APTUSDT
QNTUSDT
FXSUSDT
HOOKUSDT
MAGICUSDT
RNDRUSDT
HIGHUSDT
GMXUSDT
BNXUSDT
SSVUSDT
PERPUSDT
LQTYUSDT
ARBUSDT
XVSUSDT
ETHBTC
SUIUSDT
FOOTBALLUSDT
XRPBUSD
APEBUSD
LINKBUSD
BLUEBIRDUSDT
ETHBUSD
BNBBUSD
FILBUSD
APTBUSD
LDOBUSD
BTCUSDT_230630
ANTUSDT
ETHUSDT_230630
LTCBUSD
COCOSUSDT
DOTBUSD
BTCBUSD

@Shoz0 Shoz0 changed the title A lot of 'quantity' == 0 in ETHUSDT-aggTrades-2023-05 Futures/UM (+200,000) Possible rounding error (from trades to aggTrades), causing quantitiy == 0, in 73 symbols/pairs in 2023-05 Futures/UM (From May 01, to May 13 last second) Jun 27, 2024
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@Shoz0 @alplabin and others