Generate candles based on marking price for Phemex

Phemex is a low-liquidity broker with a small number of transactions. As a result, the price may be updated relatively rarely and making effective short trades becomes almost impossible (below the 5-minute timeframe). For example, there are many one-minute candles in which either no trades were made or one trade was made. Candles can jump greatly from one place to another due to the jump in the last price. The real price in the DOM can go quite far from the price of the last trade. Indicators built on price data (high, low, close)simply show unreliable results on small timeframes. For example, I prefer to trade on a five-second timeframe and this is impossible, simply because there are literally no candles there. In general, Phemex has bad native candles that are difficult to fast trading.

But this can be changed if you replace or give the possibility to choose to generate candles based on the marking price, which is available in the exchange data API. The broker itself provides a chart plotting based on the marking price on the website. Since the marking price depends on prices on other exchanges, it is updated frequently and plots more correct and stable data that can be used for analysis and trading and correlates with DOM. This solution can be used not only for this broker.

Phemex is a pleasant user-friendly broker with low fees, but its use can be improved through ATAS.