Open aceffer opened 2 years ago
Describe the bug Order book data from BitMEX for symbol MATICUSDT is incorrect.
To Reproduce Steps to reproduce the behavior: Run this script and compare prices and volumes against data on bitmex.com.
from cryptofeed import FeedHandler from cryptofeed.defines import L2_BOOK import cryptofeed.exchanges from datetime import datetime, timedelta from cryptofeed.exchanges import Bitmex class BookReader: def __init__(self): self.__last_print = datetime.utcnow() async def book(self, book, receipt_timestamp): if datetime.utcnow() - self.__last_print > timedelta(seconds=1): bid = float(book.book['bid'].index(0)[0]) ask = float(book.book['ask'].index(0)[0]) bidVol = book.book['bid'].index(0)[1] askVol = book.book['ask'].index(0)[1] print(f"bid={bid} / {bidVol} ask={ask} / {askVol}") self.__last_print = datetime.utcnow() def main(): config = {'log': {'filename': 'demo.log', 'level': 'DEBUG', 'disabled': False}} f = FeedHandler(config=config) br = BookReader() f.add_feed(Bitmex(max_depth=10, subscription={L2_BOOK: ['MATIC-USDT-PERP']}, callbacks={L2_BOOK: br.book}), checksum_validation=True, cross_check=True) f.run() if __name__ == '__main__': main()
Expected behavior The price and volume should be the same as the exchange provides on their website.
Screenshots
Operating System:
Cryptofeed Version 2.2.1, 2.2.3
And Also incorrect volumes on HuobiSwap.
Describe the bug Order book data from BitMEX for symbol MATICUSDT is incorrect.
To Reproduce Steps to reproduce the behavior: Run this script and compare prices and volumes against data on bitmex.com.
Expected behavior The price and volume should be the same as the exchange provides on their website.
Screenshots![bitmex_error](https://user-images.githubusercontent.com/83200710/171023392-73220011-5cd8-4710-8c9f-d0875512029b.PNG)
Operating System:
Cryptofeed Version 2.2.1, 2.2.3