[I have done some more tests and got the right change back up to ~30 satoshi. Hopefully, I was wrong and the numbers did add up fine the other times. If you experience problems with your change, please share.]

Edit: I have done some more tests and got the right change back up to ~30 satoshi. Hopefully, I was wrong and the numbers did add up fine the other times. If you experience problems with your change, please share.

When trading one has to worry about the depth of the order book. I have been trading for a while and I noticed something strange happening on cryptsy. Maybe someone can confirm my suspicions.

If one looks at the order book on the sell sides for X one might see

Sell orders
Price        Qty     Total(btc)
0.001       5        0.005
0.0015     3        0.0045
0.002       2        0.004
0.0023     1        0.0023
and so on.

Suppose we want to make a buy order to buy the 10 coins for sale at 0.002 btc/coin or less. We enter a buy order for 10 coins at 0.002btc/coin. This should cost us
0.005+0.0045+0.004 = 0.0135 btc + fees.
Crypsty displays 10coins*0.002btc/coin = 0.02btc + fees as the price. So far so good. What cryptsy is supposed to do is match our trades for the best prices and send us the change back, namely 0.02-0.0135 = 0.0065 - fees.
However, this never seems to be the case. In all cases the change I received for my orders was always way too small. It seems they do not give the proper change and they do deduct the full 0.02btc+ fees from my balance whilst giving me the 10 coins I bought. The order history shows the coins being bought for their respective value, but the account is not reimbursed the proper change.

I suspect cryptsy is pocketing that change and has been since its inception. I do receive change but it is usually on the order of a few thousand satoshis, I suspect that the change received is the difference in fees between the full price and the fees paid on the actual trade, while the rest of the change (0.0065) is not processed.

If the depth is good, the difference isn't big, but for many cryptocurrencies the depth is quite lacking and it is easy to move the market with relatively small trade orders. The change then becomes very meaningful. In our example, the depth was very poor and we overpaid 0.0065 because of the change processing mistake, effectively paying 0.002 btc per coin, or alternatively 0.02/0.0135 = 48% too much.  Repeated trades also exacerbate this problem as it is an invisible tax on all orders that are not made at market price.

This also skews data shown in history or through the API as it shows coins being bought for the cheapest price while we effectively pay a greater price. The same problem is likely happening when trying to sell.