kline aggregation mismatch

API Spot/Margin API
1

I’m trying to create 1d candles by grouping candles of lower timeframe and found that the data doesn’t match in some cases. Let me elaborate with an example.

I tried to do this for ENJTRY and found that the 1 day candle starting at 1640476800000 doesn’t match when I combined 24 1 hour candles. Upon closer inspection, I found that the 1hour candles with timestamp 1640559600000 has only a single trade with 4.69 total volume. When I looked at the 1min bars during this 1hour window, the total volume added upto 10331.42 , which is totally different.

Can someone explain the reason for this discrepancy ? Technically, we should be able to create 1day candles using 1 hour candles or 1min candles. Although this works in most cases, there are few odd ones like the above example where the values don’t match.

2

Thank you for your feedback, we will investigate.

3

Did you get a chance to investigate ?

4

still looking into it.

5

It’s been 10 days. Just checking if you got a chance to look into it.

6

Any update on this ? It’s been over two months. This puts integrity of historical data into question, so really appreciate you could look into it.

7

Upon closer inspection, I found that the 1hour candles with timestamp 1640559600000 has only a single trade with 4.69 total volume.

This is incorrect. The candle has 102 trades.

 GET https://api.binance.com/api/v3/klines?startTime=1640559600000&limit=1&symbol=ENJTRY&interval=1h

 [
    [
        1640559600000,
        "36.34000000",
        "36.52000000",
        "36.00000000",
        "36.52000000",
        "11759.29000000",
        1640563199999,
        "425732.38870000",
        102,
        "4865.43000000",
        "176146.05640000",
        "0"
    ]
]

I tried to do this for ENJTRY and found that the 1 day candle starting at 1640476800000 doesn’t match when I combined 24 1 hour candles.

This is also incorrect. The sum of the 1m candles match the volume of the 1h candle.

GET https://api.binance.com/api/v3/klines?startTime=1640476800000&limit=60&symbol=ENJTRY&interval=1m

Sum of $[*][5] = 8726.49

GET https://api.binance.com/api/v3/klines?startTime=1640476800000&limit=1&symbol=ENJTRY&interval=1h

[
    [
        1640476800000,
        "36.37000000",
        "36.49000000",
        "35.90000000",
        "36.06000000",
        "8726.49000000",
        1640480399999,
        "314919.61080000",
        107,
        "4959.57000000",
        "178866.25430000",
        "0"
    ]
]