There appear to be significant discrepancies in historic data for Binance 15m BTCUSDT Kline futures.
Data downloaded from data.binance.vision/?prefix=data/futures/um/monthly/klies/BTCUSDT/15m
-
March 2 2021 (2021-03-02 01:00:00.000Z) the number of trades and volume differ greatly from the prior kline (ending at 00:45:59.999Z). Then the next 3 klines all have no price changes and zero volume (the final ignored field is not shown here).
00:45 kline 1614645900000 49681.98 49782.22 49310 49401.01 4229.44 1614646799999 209252269.9 39210 1920.517 95032171.34
01:00 kline 1614646800000 49401 49413.38 49361 49361.01 63.932 1614647699999 3157740.221 457 28.1 1388152.24
01:15 kline 1614647700000 49361.01 49361.01 49361.01 49361.01 0 1614648599999 0 0 0 0
(01:30 and 01:45 are identical to 01:15 kline other than the time stamps) -
for 1 January 2021, data from the historic file does not fully match either the kline from
fapi/v1/klines
ORfapi/v2/continuousKlines
(PERPETUAL contract type):
File (organized to correspond to API return):
[
1609459200000,
28948.19,
29045.93,
28706.00,
28786.75,
3181.960,
1609460099999,
91834596.81370,
24166,
1277.389,
36899008.19096
0
]
fapi/v1/klines:
[
1609459200000,
"28948.19",
"29045.93",
"28706.00",
"28786.75",
"42236.270",
1609460099999,
"1220393434.49536",
1895,
"19324.997",
"558571428.81492",
"0"
]
continuous klines:
[
1609459200000,
"28907.76",
"29011.21",
"28697.39",
"28750.21",
"42236.270",
1609460099999,
"1220393434.49536",
1895,
"19324.997",
"558571428.81492",
"0"
]
Prices from historic file match Prices from fapi/v1/klines but Volume does NOT.
Volume from fapi/v1/klines
and fapi/v1/continuousKlines
matches but Prices do NOT.
These glaring data discrepancies at the least do not bolster confidence in Binance data integrity, and without data integrity everything else is also suspect.
I do note that there appears to be consistency with current klines (fapi/v1/klines and fapi/v1/continuous klines, retrieved today December 25).
Questions:
- Will these issues (e.g., the zero values in March data) be fixed?
- Is the URL I used for historic data (manual downloading zip files by month) correct?
- What is the difference between Futures klines (fapi/v1/klines) and fapi/v1/continuousKlines with a contract type of PERPETUAL?
On the face of it, it seems to me they are/should be the same.