[BitMEX] orderBookL2 feed is skipping messages

[somguyth]

Just after 12:00 UTC on 14th May (today, 2 hours before this post), I've been getting update message types following delete message types (with no insert message types in between).

For example, just 2 hours ago (14th May at 12:00:40 UTC), I got a message for orderid 8791580900 that tried to amend the size of the order. This was the message:

update_type: update (<-- was expecting insert) instrument: XBTUSD time: 1526299240054971000 human_time: 12:00:40 UTC, 14 May size: 254 id: 8791580900

However, the last message received before this one, corresponding to this specific id (8791580900), was a delete message at 11:24:24 UTC. This seems to be a problem (not sure if it's our side or BitMEX side) as we should get an insert message type after a delete.

update_type: delete instrument: XBTUSD time: 1526297064936863000 human_time: 11:24:24 UTC, 14 May id: 8791580900

[jkolobok]

@somguyth have you tried comparing it with what REST api returns?

[Flemingjp]

This bug is several months old - needs testing and validating to see if it still bug. It is likely it was a server side bug that may have been fixed by now.