I’d like to know whether aggTrade guarantees that all trades between the first trade ID and the last trade ID are the same (same side, same price) or not.
For example, there are 5 trades in 100ms. The IDs are 1 to 5:
buy buy sell buy buy
The third trade’s side and price are different. The other 4 trades are the same.
Could aggTrade be (f=1, l=5) and (f=3, l=3)?
Or it must be (f=1, l=2) and (f=3, l=3) and (f=4, l=5)?
Thanks!