jakob22
18 Jan 2023, 18:46

Hi again,

I did some further investigation and found out that the data is not swapped but just not correct. In two different requests the same timestamp contains different data if the from and to timestamp are not exactly the same in two requests.

Here some examples for EURUSD:

Req 1: 2023-01-18 15:46:06.155000+00:00,108235.0,108235.0,0.0
Req 2: 2023-01-18 15:46:06.155000+00:00,108231.0,108233.0,-2.0

Req 1: 2023-01-18 15:46:06.463000+00:00,108236.0,108235.0,1.0
Req 2: 2023-01-18 15:46:06.463000+00:00,108232.0,108233.0,-1.0

Req 1: 2023-01-18 15:46:06.487000+00:00,108239.0,108238.0,1.0
Req 2: 2023-01-18 15:46:06.487000+00:00,108235.0,108236.0,-1.0

Then I tried multiple requests with the same from and to timestamps and there the data is at least consistent but I still have negative spreads.

Is this issue maybe related to a round-off issue because prices are calculated? Or am I handling missing values incorrectly? But I can see negative spreads even for timestamps where I get BID and ASK prices so this doesn't seem to be the main issue.

The main question is: Is there any way to resolve this issue?

Kind regards,
Jakob