Missing Historical Trades


#1

Doing some comparison of historical trade data, and noticed that there seemed to be a very minor amount of volume missing from the aggregated values when building on total trades compared to the exchange itself. After combing through the trades by ID, noticed there were about 12 trades missing out of a 5 minute period.

This was for Coinbase Pro/GDAX on September 21st 2018.


#3

Thanks for the report. Which market(s) were missing trades?


#4

Thanks Nick! It was BTCUSD.


#6

Thank you, we’ll look into this and repair the missing trades.


#9

Hi @adamdaw,

We identified the missing trades on that day, and we’ve repaired them. We’re now showing the following data for 2018-09-21:

https://api.nomics.com/v1/exchange_candles?key=redacted&exchange=gdax&market=BTC-USD&interval=1d&start=2018-09-21T00%3A00%3A00Z&end=2018-09-21T00%3A00%3A00Z

[{
"timestamp": "2018-09-21T00:00:00Z",
"low": "6492.50000000",
"open": "6493.11000000",
"close": "6750.00000000",
"high": "6777.10000000",
"volume": "11391.70322303",
"num_trades": "83682"
}]

Previous to the fix, the volume was 11382.38794024. Does this line up with what you calculated?


#11

Yep, that sounds like the missing volume!

Thanks!


#12

Great! Thanks for getting back to me on it.