Hi,
I made a REST call to the Order Book function (GET /dapi/v1/depth
) earlier this morning and received a response for the next Quarter BTCUSD symbol as follows:
{"lastUpdateId":433697519772,"E":1651707860930,"T":1651707860914,"symbol":"BTCUSD_220624","pair":"BTCUSD","bids":[["39812.3","510"],["39811.5","214"],["39811.4","250"],["39809.9","8"],["39809.8","1"],["39808.5","166"],["39807.2","42"],["39806.7","3"],....... ....."asks":[["39801.9","159"],["39811.9","14"],["39812.4","293"],["39813.2","79"],....
The top 2 ask prices were crossed with the bids, resulting in a negative spread, which I didn’t think was possible. Please can you explain why this would happen? Should we expect this to happen and code for the scenario in Spot, UsdM and CoinM trading?
Many thanks,
Russ