trade details for future bug?

[leastchaos]

• CCXT version: 1.84.75

It seems that there is some issue for future trade detail for some exchange as cost != price * amount and the trade details seems off.

kucoinfutures: price:29580.89, amount: 745 <- this seems very off, cost: 22037.76305 okx: 'price': 29474.0, 'amount': 10.0, 'cost': 2947.4 huobi: 'price': 29277.4, 'amount': 2364.0, <-- i think this got multiplied by 1000, 'cost': 69211.7736, mexc: 'price': 29444.5, 'amount': 319.0, 'cost': 939.27955 aax: 'price': 29717.53, 'amount': 1.0, 'cost': 29.71753, delta: 'price': 29420.0, 'amount': 100.0, 'cost': 3.3990482664853e-06,

import asyncio
import ccxt.async_support as ccxt
excluded_exchange =[
    "bequant", #access denied
    "buda", #access denied
    "tidebit",
    "xena",
    "vcc"
]

async def check_trade_details(exchange_id: str):
    try:
        exchange = getattr(ccxt, exchange_id)({"defaultType": "swap"})
        trades = await exchange.fetch_trades('BTC/USDT:USDT')
        for trade in trades:
            if abs(trade["cost"] - trade["amount"] * trade["price"]) > 0.01:

                print("XXXXX",exchange_id, trade)
            else:
                print(exchange_id, "ok")
            break
    except Exception as err:
        # print(err)
        return
    finally:
        await exchange.close()

async def main():
    tasks = []
    for exchange_id in ccxt.exchanges:
        if exchange_id in excluded_exchange:
            continue
        tasks.append(asyncio.create_task(check_trade_details(exchange_id)))
    await asyncio.gather(*tasks)
if __name__ == "__main__":
    asyncio.run(main())

XXXXX kucoinfutures {'info': {'sequence': 75846815, 'side': 'buy', 'size': 40, 'price': '29453.0000000000', 'takerOrderId': '629a1ff9a9fbf8000181bbc2', 'makerOrderId': '629a1ff8aff5340001003f8c', 'tradeId': '629a1ff93c7feb35233555dc', 'ts': 1654267897744739373}, 'id': '629a1ff93c7feb35233555dc', 'order': None, 'timestamp': None, 'datetime': None, 'symbol': 'BTC/USDT:USDT', 'type': None, 'takerOrMaker': None, 'side': 'buy', 'price': 29453.0, 'amount': 40.0, 'cost': 1178.12, 'fee': None, 'fees': []}
bitmex ok
bybit ok
XXXXX okex5 {'info': {'instId': 'BTC-USDT-SWAP', 'side': 'sell', 'sz': '13', 'px': '29463.4', 'tradeId': '311889230', 'ts': '1654267931269'}, 'timestamp': 1654267931269, 'datetime': '2022-06-03T14:52:11.269Z', 'symbol': 'BTC/USDT:USDT', 'id': '311889230', 'order': None, 'type': None, 'takerOrMaker': None, 'side': 'sell', 'price': 29463.4, 'amount': 13.0, 'cost': 3830.242, 'fee': None, 'fees': []}
XXXXX okex {'info': {'instId': 'BTC-USDT-SWAP', 'side': 'sell', 'sz': '2', 'px': '29463.3', 'tradeId': '311889231', 'ts': '1654267931269'}, 'timestamp': 1654267931269, 'datetime': '2022-06-03T14:52:11.269Z', 'symbol': 'BTC/USDT:USDT', 'id': '311889231', 'order': None, 'type': None, 'takerOrMaker': None, 'side': 'sell', 'price': 29463.3, 'amount': 2.0, 'cost': 589.266, 'fee': None, 'fees': []}
XXXXX okx {'info': {'instId': 'BTC-USDT-SWAP', 'side': 'sell', 'sz': '2', 'px': '29463.3', 'tradeId': '311889231', 'ts': '1654267931269'}, 'timestamp': 1654267931269, 'datetime': '2022-06-03T14:52:11.269Z', 'symbol': 'BTC/USDT:USDT', 'id': '311889231', 'order': None, 'type': None, 'takerOrMaker': None, 'side': 'sell', 'price': 29463.3, 'amount': 2.0, 'cost': 589.266, 'fee': None, 'fees': []}
XXXXX aax {'info': {'i': 'T2X8tNEKCS', 'p': '29717.53000000', 'q': '1.000000', 's': 'long', 't': '1654259923220'}, 'id': 'T2X8tNEKCS', 'timestamp': 1654259923220, 'datetime': '2022-06-03T12:38:43.220Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': 'buy', 'order': None, 'takerOrMaker': None, 'price': 29717.53, 'amount': 1.0, 'cost': 29.71753, 'fee': None, 'fees': []}
XXXXX delta {'id': None, 'order': None, 'timestamp': 1654267759000, 'datetime': '2022-06-03T14:49:19.000Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': 'buy', 'price': 29420.0, 'amount': 100.0, 'cost': 3.3990482664853e-06, 'takerOrMaker': None, 'fee': None, 'info': {'buyer_role': 'taker', 'price': '29420', 'seller_role': 'maker', 'size': '100', 'symbol': 'BTCUSDT', 'timestamp': '1654267759000000'}, 'fees': []}
bitget ok
XXXXX huobipro {'id': '1089324468160000', 'info': {'amount': '2', 'direction': 'sell', 'id': '1089324468160000', 'price': '29365.4', 'quantity': '0.002', 'trade_turnover': '58.7308', 'ts': '1654267407438'}, 'order': None, 'timestamp': 1654267407438, 'datetime': '2022-06-03T14:43:27.438Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': 'sell', 'takerOrMaker': None, 'price': 29365.4, 'amount': 2.0, 'cost': 58.7308, 'fee': None, 'fees': []}
ascendex ok
XXXXX huobi {'id': '1089324468160000', 'info': {'amount': '2', 'direction': 'sell', 'id': '1089324468160000', 'price': '29365.4', 'quantity': '0.002', 'trade_turnover': '58.7308', 'ts': '1654267407438'}, 'order': None, 'timestamp': 1654267407438, 'datetime': '2022-06-03T14:43:27.438Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': 'sell', 'takerOrMaker': None, 'price': 29365.4, 'amount': 2.0, 'cost': 58.7308, 'fee': None, 'fees': []}
hitbtc3 ok
XXXXX mexc3 {'id': '1654267902537-BTC_USDT-1-48-29447-taker', 'order': None, 'timestamp': 1654267902537, 'datetime': '2022-06-03T14:51:42.537Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': '1', 'takerOrMaker': 'taker', 'price': 29447.0, 'amount': 48.0, 'cost': 141.3456, 'fee': None, 'info': {'p': '29447', 'v': '48', 'T': '1', 'O': '3', 'M': '1', 't': '1654267902537'}, 'fees': []}

[samgermain]

Make sure that you are also considering contractSize, ADA/USDT:USDT has a contract size of 10, which means 1 ADA/USDT:USDT contract is worth 10 ADA, but the price is given as an ADA price,

So with

price = 0.56437 amount = 30 contractSize = 10

then

cost = price amount contractSize = 0.56437 30 10 = 169.311

[leastchaos]

I see, thank you. I now see a mismatch on delta exchange

async def check_trade_details(exchange_id: str, symbol: str = 'BTC/USDT:USDT'):
    try:
        exchange: ccxt.Exchange = getattr(ccxt, exchange_id)()
        await exchange.load_markets()
        market = exchange.market(symbol)
        contract_size = market["contractSize"] if market["contract"] else 1
        print(exchange.id, contract_size)
        trades = await exchange.fetch_trades(symbol)
        for trade in trades:
            if abs(trade["cost"] - trade["amount"] * trade["price"] * contract_size) > 0.01:
                print("XXXXX",exchange_id, trade)
                break
        else:
            print(exchange_id, "ok")
    except Exception as err:
        # print(err)
        return
    finally:
        await exchange.close()

async def main():
    tasks = []
    for exchange_id in ccxt.exchanges:
        if exchange_id in excluded_exchange:
            continue
        tasks.append(asyncio.create_task(check_trade_details(exchange_id)))
    await asyncio.gather(*tasks)
if __name__ == "__main__":
    asyncio.run(main())

contractSize = 0.001 XXXXX delta {'id': None, 'order': None, 'timestamp': 1654323172000, 'datetime': '2022-06-04T06:12:52.000Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': 'buy', 'price': 29695.5, 'amount': 26.0, 'cost': 8.75553535047386e-07, 'takerOrMaker': None, 'fee': None, 'info': {'buyer_role': 'taker', 'price': '29695.5', 'seller_role': 'maker', 'size': '26', 'symbol': 'BTCUSDT', 'timestamp': '1654323172000000'}, 'fees': []}

[frosty00]

@leastchaos will look into it

[leastchaos]

Hi, another issue, kucoinfutures info has 'ts' but timestamp is None {'info': {'sequence': 75930996, 'side': 'sell', 'size': 1, 'price': '29680.0000000000', 'takerOrderId': '629b133b736fa70001cce3b8', 'makerOrderId': '629b12f85aa6170001a04ed0', 'tradeId': '629b133b3c7feb3523e5a948', **'ts': 1654330171668368997},** 'id': '629b133b3c7feb3523e5a948', 'order': None, **'timestamp': None,** 'datetime': None, 'symbol': 'BTC/USDT:USDT', 'type': None, 'takerOrMaker': None, 'side': 'sell', 'price': 29680.0, 'amount': 1.0, 'cost': 29.68, 'fee': None, 'fees': []}

[kroitor]

@leastchaos the ts issue should be fixed in the most recent version of CCXT, please, let us know if you still have difficulties with it.

[samgermain]

I see, thank you. I now see a mismatch on delta exchange

async def check_trade_details(exchange_id: str, symbol: str = 'BTC/USDT:USDT'):
    try:
        exchange: ccxt.Exchange = getattr(ccxt, exchange_id)()
        await exchange.load_markets()
        market = exchange.market(symbol)
        contract_size = market["contractSize"] if market["contract"] else 1
        print(exchange.id, contract_size)
        trades = await exchange.fetch_trades(symbol)
        for trade in trades:
            if abs(trade["cost"] - trade["amount"] * trade["price"] * contract_size) > 0.01:
                print("XXXXX",exchange_id, trade)
                break
        else:
            print(exchange_id, "ok")
    except Exception as err:
        # print(err)
        return
    finally:
        await exchange.close()

async def main():
    tasks = []
    for exchange_id in ccxt.exchanges:
        if exchange_id in excluded_exchange:
            continue
        tasks.append(asyncio.create_task(check_trade_details(exchange_id)))
    await asyncio.gather(*tasks)
if __name__ == "__main__":
    asyncio.run(main())

contractSize = 0.001 XXXXX delta {'id': None, 'order': None, 'timestamp': 1654323172000, 'datetime': '2022-06-04T06:12:52.000Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': 'buy', 'price': 29695.5, 'amount': 26.0, 'cost': 8.75553535047386e-07, 'takerOrMaker': None, 'fee': None, 'info': {'buyer_role': 'taker', 'price': '29695.5', 'seller_role': 'maker', 'size': '26', 'symbol': 'BTCUSDT', 'timestamp': '1654323172000000'}, 'fees': []}

Can you explain what you mean by a mismatch? What are you expecting and what are you getting instead?

[leastchaos]

contractSize = 0.001 <- obtain from markets["contractSize"] after load_markets() taking the trade result shown previously

XXXXX delta {'id': None, 'order': None, 'timestamp': 1654323172000, 'datetime': '2022-06-04T06:12:52.000Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': 'buy', 'price': 29695.5, 'amount': 26.0, 'cost': 8.75553535047386e-07, 'takerOrMaker': None, 'fee': None, 'info': {'buyer_role': 'taker', 'price': '29695.5', 'seller_role': 'maker', 'size': '26', 'symbol': 'BTCUSDT', 'timestamp': '1654323172000000'}, 'fees': []}

cost = 8.755 e-07

price = 29695.5 contract_size = 0.001 amount = 26

expected cost = price contract_size amount = 29695.5 0.001 26 = 77.103 trade cost = 8.755e-07 trade cost != expected cost

[samgermain]

contractSize is only used in determining the amount, not the cost, this is something all the exchanges do and it wasn't decided by CCXT

If the contractSize of an AXS/USDT:USDT contract is 0.1, meaning you would want to order 6 AXS/USDT:USDT contracts to be ordering an amount equal to 0.6 AXS on kucoinfutures.

The contractSize does not apply to price, when the price of AXS/USDT:USDT is 12.929, that is referring to a price of 12.929 per AXS, not per contract, so if you want 6 AXS/USDT:USDT contracts (0.6 AXS), this order would cost you 12.929 * 0.6 = 7.7574 USDT

[leastchaos]

Make sure that you are also considering contractSize, ADA/USDT:USDT has a contract size of 10, which means 1 ADA/USDT:USDT contract is worth 10 ADA, but the price is given as an ADA price,

So with

price = 0.56437 amount = 30 contractSize = 10

then

cost = price amount contractSize = 0.56437 30 10 = 169.311

I am following this formula you replied earlier and this is correct for rest of the exchanges i think except delta.

[samgermain]

Make sure that you are also considering contractSize, ADA/USDT:USDT has a contract size of 10, which means 1 ADA/USDT:USDT contract is worth 10 ADA, but the price is given as an ADA price, So with price = 0.56437 amount = 30 contractSize = 10 then cost = price amount contractSize = 0.56437 30 10 = 169.311

I am following this formula you replied earlier and this is correct for rest of the exchanges i think except delta.

Could you provide your updated code please?

[leastchaos]

I see, thank you. I now see a mismatch on delta exchange

async def check_trade_details(exchange_id: str, symbol: str = 'BTC/USDT:USDT'):
    try:
        exchange: ccxt.Exchange = getattr(ccxt, exchange_id)()
        await exchange.load_markets()
        market = exchange.market(symbol)
        contract_size = market["contractSize"] if market["contract"] else 1
        print(exchange.id, contract_size)
        trades = await exchange.fetch_trades(symbol)
        for trade in trades:
            if abs(trade["cost"] - trade["amount"] * trade["price"] * contract_size) > 0.01:
                print("XXXXX",exchange_id, trade)
                break
        else:
            print(exchange_id, "ok")
    except Exception as err:
        # print(err)
        return
    finally:
        await exchange.close()

async def main():
    tasks = []
    for exchange_id in ccxt.exchanges:
        if exchange_id in excluded_exchange:
            continue
        tasks.append(asyncio.create_task(check_trade_details(exchange_id)))
    await asyncio.gather(*tasks)
if __name__ == "__main__":
    asyncio.run(main())

contractSize = 0.001 XXXXX delta {'id': None, 'order': None, 'timestamp': 1654323172000, 'datetime': '2022-06-04T06:12:52.000Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': 'buy', 'price': 29695.5, 'amount': 26.0, 'cost': 8.75553535047386e-07, 'takerOrMaker': None, 'fee': None, 'info': {'buyer_role': 'taker', 'price': '29695.5', 'seller_role': 'maker', 'size': '26', 'symbol': 'BTCUSDT', 'timestamp': '1654323172000000'}, 'fees': []}

The result was obtained with the above code I posted previously. it only show exchange with difference

[samgermain]

@leastchaos Are you still having any problems?

[leastchaos]

@samgermain I think there is still a mismatch on delta and on latest version bingx seems not to match too. It is not a problem for me as i dont use both exchanges. just highlighting that these 2 exchanges cost does not match amount price contract_size while the rest are ok.

bingx {'id': None, 'info': {'time': '1692181501431', 'isBuyerMaker': False, 'price': '29189.0', 'qty': '0.0058', 'quoteQty': '169.30'}, 'timestamp': 1692181501431, 'datetime': '2023-08-16T10:25:01.431Z', 'symbol': 'BTC/USDT:USDT', 'order': None, 'type': None, 'side': None, 'takerOrMaker': 'taker', 'price': 29189.0, 'amount': 0.0058, 'cost': 169.3, 'fee': {'cost': None, 'currency': None, 'rate': None}, 'fees': [{'cost': None, 'currency': None, 'rate': None}]}
delta {'id': None, 'order': None, 'timestamp': 1692181424000, 'datetime': '2023-08-16T10:23:44.000Z', 'symbol': 'BTC/USDT:USDT', 'type': None, 'side': 'buy', 'price': 29192.0, 'amount': 2.0, 'cost': 6.8511921074266e-08, 'takerOrMaker': None, 'fee': None, 'info': {'buyer_role': 'taker', 'price': '29192', 'seller_role': 'maker', 'size': '2', 'symbol': 'BTCUSDT', 'timestamp': '1692181424000000'}, 'fees': []}