Current tick size for USDM BTCUSDT is “tickSize”: “0.10”. It was updated on 2022-02-15 from 0.01.
So, most of the prices I see in order book have 0.1 precision. But sometimes I can see price levels with 0.01 precision. For instance, I checked the whole day 2022-05-15. And I got these strange price levels in raw jsons:
It is not some old orders from previous days. I can see trades on these levels and than new orders on same price levels. Here is the example of trade: {"e":"trade","E":1652617820788,"T":1652617820775,"s":"BTCUSDT","t":2249229348,"p":"30230.04","q":"0.001","X":"MARKET","m":true}
I tried to send orders on this price levels, but I get rejects. So, what are those? How is it possible?
No, those are new.
The price moved back and force through these price levels several times. And three months have passed since tick size change. The example is from May 15, and tick size changed Feb 15.
Here is some day changes for the 30230.04 price level
Depth update: 0.001 qty on 30230.04 price level {"e":"depthUpdate",**"E":1652574922159**,"T":1652574922127,"s":"BTCUSDT","U":1506519489785,"u":1506519492757,"pu":1506519489764,...**["30230.04","0.001"]**,...}
Trade on this level on this qty {"e":"aggTrade",**"E":1652615286404**,"a":1227199726,"s":"BTCUSDT","p":**"30230.04",**"q":**"0.001"**,"f":2249012146,"l":2249012146,"T":1652615286091,"m":false}
Depth update: 0.000 qty on 30230.04 price level ...["30230.04","0.000"]... (Can find the full json, if it is necessary)
Depth update: 0.001 qty on 30230.04 price level {"e":"depthUpdate",**"E":1652616072033,**"T":1652616072020,"s":"BTCUSDT","U":1508001530098,"u":1508001535457,"pu":1508001530090,...**["30230.04","0.001"]**...}
As you can see, new order appear on same price level after trade. And it repeats several times a day on different price levels.
