filtering of valid klines through socket stream

Websocket
1

Hello, I’m wondering if there is some rule to follows, in order to exclude some received klines when processing result of websocket stream market data.

For instance, I’ve encountered an example I hardly manage to reproduce, but I received this quote :

It was an answer to subscribtion of ethusdt@kline_1m

{“e”:“kline”,“E”:1711980182436,“s”:“ETHUSDT”,“k”:{“t”:1711980180000,“T”:1711980239999,“s”:“ETHUSDT”,“i”:“1m”,“f”:-1,“L”:-1,“o”:“3556.16000000”,“c”:“3556.16000000”,“h”:“3556.16000000”,“l”:“3556.16000000”,“v”:“0.00000000”,“n”:0,“x”:false,“q”:“0.00000000”,“V”:“0.00000000”,“Q”:“0.00000000”,“B”:“0”}}

You can see the fields First and Last trade ID have value -1
and q V Q at zero.

Unfortunately, I don’t have previous quote, but the o c h l values looked suspicious too (they are all the same).

My question is, what this quote means ? Should I exclude some base on simple rules (like negative values for f or L ?)

Thanks !

2

This kline means there were no trades during the interval.

It can happen during low-volume periods. Most often for low-volume trading pairs, but occasionally with ETH & BTC as well.

That’s why the OHLC prices stay the same: it’s the last traded price, i.e. closing price of a previous kline with at least one trade. That’s also why volume values are all zeros too.

If you would like to filter out events like this, using "n": 0 is easier (that’s the number of trades).

1 Like
3

Thanks for your expanation.
I would have another confirmation to ask you, just to be sure, about how it works :

if I subscribe to a 1m stream, I will always receive some kline with status “x”: true which mean closed, when it switch from one 1m kline to the next.

If I wand to rebuild a 1m kline from these data, I can take the open time and open price from the first kline following a closed kline, the close time and close price of next closed kline, then compute the min and max for high and low values from klines received between these limit ?

Thanks !

4

One last question and I stop :hugs:
Do you have any plan or ticket about SBE kline websocket stream feature ?