Futures order book top of book crossing

API Futures API
1

Hi Binance,

We are querying your order book snapshot information using the following endpoints:

And we are noticing a problem. It looks like a top-of-book crossing issue which first ask price < first bid price.

I.e: At the book which has sequence = 2725004273928

  • asks = [[28312.9, 0.009], …]
  • bids = [[28318.3, 7.5], …]

It happened in these 4 minutes:

timestamp                 instrument
2023-04-10T09:36:00.000Z          25
2023-04-10T09:37:00.000Z          32
2023-04-10T09:38:00.000Z          24
2023-04-10T09:39:00.000Z          21

Please advise.

2

could you please share more orderbook data for investigate?

thanks

3

Hi Dino,

I published the data that I investigated here MD-1547_ Investigated data.xlsx - Google Sheets

  • “All” sheet: the data from 2023-04-10T09:00:00 to 2023-04-10T11:00:00
  • “Count incorrect” sheet: I grouped the data by minute and count how many instruments that have ask_price < bid_price

Regards