Incorrect Prices returned from Depth endpoint in datanode

[TomMcL]

Problem encountered

The depth value in data-node API appears to occasionally become desynced from the 'true' prices

Observed behaviour

Observed on AAPL market on fairground, the prices in the 'bids' values are much higher than those in 'ask' and do not tally with values from best bid/ask. Market is not in an auction, and contracts are trading at values consistent with best bid/ask which implies it is this order book display which is not correct

Expected behaviour

Prices displayed correctly for current state of the market

Evidence

Screenshots

Definition of Done

ℹ️ Not every issue will need every item checked, however, every item on this list should be properly considered and actioned to meet the DoD.

Before Merging

• [ ] Code refactored to meet SOLID and other code design principles
• [ ] Code is compilation error, warning, and hint free
• [ ] Carry out a basic happy path end-to-end check of the new code
• [ ] All APIs are documented so auto-generated documentation is created
• [ ] All bug recreation steps can be followed without presenting the original error/bug
• [ ] All Unit, Integration and BVT tests are passing
• [ ] Implementation is peer reviewed (coding standards, meeting acceptance criteria, code/design quality)
• [ ] Create front end or console tickets with feature labels (should be done when starting the work if dependencies known i.e. API changes)

After Merging

• [ ] Move development ticket to Done if there is NO requirement for new system-tests
• [ ] Resolve any issues with broken system-tests
• [ ] Create documentation tickets with feature labels if functionality has changed, or is a new feature

[ettec]

@TomMcL are you able to reproduce this on any environment and capture the event stream from block 0?

[TomMcL]

Event file: core.evt.zip

GraphQL for querying:

{
    markets {
    depth {
      sell {
        price
        volume
      }
    }
    orders {
      side
      size
      status
      price

      party {
        id
      }
    }
  } 
}

[ettec]

Awesome thanks. I can reproduce locally using v1 datanode, v2 seems OK. Looking into v1.

[TomMcL]

Reproducing is good, not just me! Thanks