Fix incorrect trade message processing

nkaz001 · May 22, 2023 · 8bb6d12 · 8bb6d12
1 parent 8eb436d
commit 8bb6d12
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diff --git a/hftbacktest/__init__.py b/hftbacktest/__init__.py
@@ -128,7 +128,7 @@
     'correct'
 )
 
-__version__ = '1.6.0'
+__version__ = '1.6.1'
 
 
 # JIT'ed latency models

diff --git a/hftbacktest/data/utils/binancefutures.py b/hftbacktest/data/utils/binancefutures.py
@@ -68,6 +68,8 @@ def convert(
             if data is not None:
                 evt = data['e']
                 if evt == 'trade':
+                    if data['X'] != 'MARKET':
+                        continue
                     # event_time = data['E']
                     transaction_time = data['T']
                     price = data['p']