I noticed that JBT stopped updating the ES price today, and this is an indication that something is wrong with the market depth. So, I looked it up in TWS, and sure enough, there are problems. See the attached pic which shows TWS Market Depth and TWS BookTrader side by side.
There are multiple issues there: 1. All the bids in TWS BookTrader match those in TWS Market Depth, but the totals do not match (although the difference is not that large) 2. On the ask side, TWS Market Depth shows multiple levels at the same price, while TWS BookTrader seems to accumulate them into one level. 3. The total ask size in TWS Market Depth is very different from the total ask in TWS Market Depth. There is some market depth validation logic in JBT MarketDepth.java. When it detects that something is gross in market depth, it stops updating the price. This is what is happening today. My question to the group is, what IS market depth based on these attached snapshots and how should JBT deal with these discrepancies? --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
