Merging duplicate observations within one account

Within one account, a trade fill and its fee often arrive as separate observations. Reconciliation determines when two observations describe the same event.

Input

Observation[] per source.

Goal

Deduplicate observations into canonical events.

Output

Tree of grouped observations.

For example, Binance exports include these two files:

binance-trade-history.csv

row	type	base	quote	size	price	fee
1	spot_trade	BTC	USDT	0.01	100000	−1 USDT
2	spot_trade	ETH	USDT	0.002	500000	−0.5 USDT

binance-statement.csv

row	type	asset	amount
1	trade_leg	BTC	+0.01
2	trade_leg	ETH	+0.002
3	fee	USDT	−1
4	trade_leg	USDT	−1000
5	trade_leg	USDT	−1000
6	fee	USDT	−0.5

Reconciliation

SpotNode 1 (BTC)

├─ trade: row 1 (history)
├─ base:  row 1 (statement)
├─ quote: row 5 (statement)
└─ fee:   row 3 (statement)

SpotNode 2 (ETH)

├─ trade: row 2 (history)
├─ base:  row 2 (statement)
├─ quote: row 4 (statement)
└─ fee:   row 6 (statement)

Click a table, the arrow, or a result for details.

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