inconsistent historical ohlc

[squeaky-godzilla]

Versions

OS:       Ubuntu 18.04
Python:   3.6.7
krakenex: 2.1.0

What are you trying to achieve?

get the historical data and update current dataframe with it.

pull original dataframe via pykrakenapi
wait
pull updated dataframe
concatenate dataframes and drop duplicates

# code sample

What do you expect to happen?

dataframe updated with new new lines, duplicate rows from the new dataframe will be dropped as they already exist in the old one

What happens instead?

some of the rows remain, as they have the same datetime index, but different values in series (ie. the closing or opening price is different)

[veox]

Issues involving pykrakenapi should be reported at dominiktraxl/pykrakenapi, not here.

---

That said - yes, this is a known upstream (Kraken's) implementation detail. Using plain krakenex produces the same result.

Here's a (historic) gist when this has first been brought to my attention. Rather annoyingly, the discussion is in a sub-reddit (/r/ethtraders) that has since been made private, so I can't reasonably link it (or copy-paste, for that matter, as I don't have access).

This can (theoretically) be explained by OHLC data being provided by a cluster of machines accessed through a high-availability/load-balancing proxy; and the machines having different data (for unknown reason)... But that's just guesswork.

Anyway, yes - this is an annoyance, and there seems nothing can be done... except contacting Kraken. ;)

[veox]

For ref, the script used to produce the gist was (quite likely an earlier version of)

https://github.com/veox/python3-krakenex/blob/master/examples/log-ohlc.py