It has been pointed out that our order book is not exactly the same as what it appears on web or app UI. In some situations, a large order may not get fully filled at expected prices though it looks that there are enough opposite orders shown on the order book. We confirm that such cases do exist especially when market volatility is high.
The causation of this issue is the high-latency in the process of updating order book at client side, including Web UI, App and WebSocket API. Our core matching & clearance engine consumes 10k to 100k messages in a second and produces even more messages to outer services. It appears that some services consuming output from the core, such as order book update service and WebSocket service, failed to process all the messages in time. As a consequence, it could lead to very high latency in pushing WebSocket messages, which further incurs high latency in updating order book shown on UI.
We take this issue seriously as a lagged order book will mislead traders and api trading programs. Our development team is working on optimizing the related services and will make the update online by the end of April. As an immediate measure, BTCMEX will add more market makers and change strategies to try to add the trading amount of the current order books under the situation.