I think that 'MarketDepth' in TWS was designed primarly as a stock trading tool. Open market depth for any stock and you will notice that situation described by you happens very often. The only difference is that MM panel shows different market maker name and that's what makes it normal of course. In case of the futures identical price at two different levels is an erroneous occurrence. http://jbooktrader.googlegroups.com/web/goog1.png?gsc=dhoUowsAAAD33LzGhYfWBPM4vQP19-4h
I also noticed that bid and ask levels are often deleted when you view market depth for stocks. This doesn't happen in case of the futures contracts. It seems that once every level is filled with some value it can only be updated but never deleted. Notice the duplicated values in the second picture. Book Trader does not show any orders at the 7634-7644 levels but they are still there in the Market Depth window. http://jbooktrader.googlegroups.com/web/booktrader19.png?gsc=dhoUowsAAAD33LzGhYfWBPM4vQP19-4h http://jbooktrader.googlegroups.com/web/booktrader20.png?gsc=dhoUowsAAAD33LzGhYfWBPM4vQP19-4h Well, that's my theory. On Mar 24, 9:51 pm, Eugene Kononov <[email protected]> wrote: > I ran my first tests on the 10-level deep YM book. JBT logic rejected the > book, and for a good reason. I attached the market depth window from TWS. > Notice how there are two ask levels at the same price, 7646. This seems like > a persistent prioblem. The existing JBT book validation logic detects this > and rejects the book. I'll try again during the regular trading hours. > > YM_depth.png > 48KViewDownload --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
