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Title: Simultaneous buy/sell trades in Poloniex market data? Post by: brizzlygear on April 04, 2016, 11:25:15 AM Hi guys,
I was recently looking at the market data feed from Poloniex and found a few weird examples which I couldn't find an explanation for -- would appreciate if anyone could shed some light on this or throw some ideas. Poloniex send a bunch of messages in each packet with a sequence number attached. The messages in one packet normally refer to one matching event (e.g. a trade, the book updates it causes and potentially the triggered stop-orders, I think). There's three message types: remove, modify (new price points count as modify as well) and trade. As an example, for buy trades, the packet would look like this: - trade: buy <rate> <amount> - trade: buy <rate> <amount> - trade: buy <rate> <amount> - remove: ask <rate> - remove: ask <rate> - modify: ask <rate> <amount> However, I found a few cases where's there's two simulatenous buy/sell trades in one event -- I'm trying to understand how could this be possible if the top of the book doesn't even move? If these were different trade events, they would be assigned different sequence number; if this is one event, how come it has both buy and sell legs? Also note the size of the small buy trade is roughly proportional to the size of the big sell trade every time (circa 0.00595%). Here's the data: Code: type side rate amount TL;DR: can there be both buy and sell trades in one market event if the top of book didn't move? Title: Re: Simultaneous buy/sell trades in Poloniex market data? Post by: brizzlygear on April 04, 2016, 04:38:20 PM More examples from today:
Code: 5654469 2016-04-04 15:45:48.594019 BTC_ETH modify bid 0.02657778 221.06237056 |