So I ran a test where I placed an order that I knew would be unique and then promptly canceled it, the whole time logging all depth objects to my terminal
The result was
{ price: '66',
type: 2,
type_str: 'bid',
volume: '6.66',
price_int: '6600000',
volume_int: '666000000',
item: 'BTC',
currency: 'USD',
now: '1370548662105838',
total_volume_int: '37301280846' }
and shortly after
{ price: '66',
type: 2,
type_str: 'bid',
volume: '-6.66',
price_int: '6600000',
volume_int: '-666000000',
item: 'BTC',
currency: 'USD',
now: '1370548667379328',
total_volume_int: '36635280846' }
Which leads me to conclue that negative volumes are in fact the result of a canceled trade
Topic: negative volumes in MtGox depth event (Read 371 times)
I am using MtGox's websockets api, and on the depth events it sometimes returns negative values for volume and volume_int
{
"channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe",
"depth":{
"currency":"USD",
"item":"BTC",
"now":"1323644358437819",
"price":"14.43",
"price_int":"1443000",
"total_volume_int":"849766000",
"type":1,
"type_str":"ask",
"volume":"-2.71",
"volume_int":"-271000000"
},
"op":"private",
"origin":"broadcast",
"private":"depth"
}
Why is this? Another problem I've encountered when constructing an order book is accounting for canceled trades. I'm wondering if perhaps negative values are used to indicate when a trade has been canceled?
{
"channel":"24e67e0d-1cad-4cc0-9e7a-f8523ef460fe",
"depth":{
"currency":"USD",
"item":"BTC",
"now":"1323644358437819",
"price":"14.43",
"price_int":"1443000",
"total_volume_int":"849766000",
"type":1,
"type_str":"ask",
"volume":"-2.71",
"volume_int":"-271000000"
},
"op":"private",
"origin":"broadcast",
"private":"depth"
}
Why is this? Another problem I've encountered when constructing an order book is accounting for canceled trades. I'm wondering if perhaps negative values are used to indicate when a trade has been canceled?
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