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Date/Time: Sun, 19 May 2024 00:37:00 +0000

Post From: Bitmex bid ask spread data inconsistent with trades

[2019-08-30 20:42:14] Link To Thread - Link To Post [Go To First Post]
User218474 - Posts: 8
When I’m backtesting, the book is showing a specific bid-ask spread, but trades are occurring completely out of this range. This is a common occurrence, and is affecting both backtesting and execution. The trade data itself is correct, but the bid-ask spread for the book is wrong, which is why the parts of the strategies based on the bid-ask spread do not function properly. Is there anything I can try to narrow this down? Screen recording attached showing static bid-ask price while trades occurring outside the range. As well as depictive screenshot. Seems potentially related to this issue: BitMex Bid Ask trades problem Date Time Of Last Edit: 2019-08-30 20:44:27


Screen Recording 2019-08-30 at 01.31 PM.gif / V - Attached On 2019-08-30 20:34:56 UTC - Size: 851.06 KB - 326 views [f52a86f31afd47d574785fab9f365938]_Image+2019-08-30+at+1.35..png / V - Attached On 2019-08-30 20:40:54 UTC - Size: 684.51 KB - 227 views