[Kraken] Orderbooks are getting crossed under load

KrakenOrderbookExample

` List<CurrencyPair> currencyPairs = Lists.list(CurrencyPair.BTC_USD, CurrencyPair.LTC_USD, CurrencyPair.ETH_USD, CurrencyPair.BTC_EUR);

    currencyPairs.forEach(cp -> {
        krakenExchange
                .getStreamingMarketDataService()
                .getOrderBook(cp)
                .subscribe(
                        s -> {

// LOG.info(“Received {}”, s);

                            if (s.getBids().get(0).getLimitPrice().compareTo(s.getAsks().get(0).getLimitPrice()) >= 0)
                                LOG.error("CROSSED book");
                        },
                        throwable -> {
                            LOG.error("Fail to get ticker {}", throwable.getMessage(), throwable);
                        });

    });

`

CROSSED book is hit after a few seconds

With one book it is fine, discovered in my system, a few days/weeks ago. Now replicated here.

@nielsdraaisma

[nielsdraaisma]

Update on this, this was a tricky to resolve as some of the unsubsribe/subscribe logic didn’t work as expected, resulting in the orderbook cutoff not to work as expected. The implementation as proposed in https://github.com/knowm/XChange/pull/4063 works as expected and I have seen various succesfull checksum pickups followed by reconnects as expected, with zero crossed books in the resulting stream.

[mdvx]

What ever the bug, I think it effects more than just Kraken, I saw similar on another exchange