Very weird. Does anyone know who to contact at IB to get to the bottom of this? I suppose posting something to the forums might yield some answers, but speaking directly to someone at IB might tell us which of these two windows to trust.
In the meantime, what should we be doing with our code? When we detect a discrepancy, should we: 1) Do nothing (current code stops updating prices, continue with this practice) 2) Trust IB BookTrader, continue on as normal. 3) Trust IB Market Depth, continue on as normal. 4) Trust nothing, setPosition(0) in all strategies on this underlying until things match. My feeling is that option 4 is the safest thing to do, BUT, I can easily see that this may happen many times per day intermittently and I'd hate for entire days to go to waste (or worse) by getting flat on a little hiccup that may occur. No. 1 is possibly the worst thing to do currently, as it leaves our positions open without any knowledge of what is happening to the UL price. The only thing that will close our positions here, is the end of any defined TradingSchedule. So, considering this, I suggest we go to Nos. 2 or 3. Which one, I can't be sure. :) There may be other options too. On 17 July, 21:19, ecthx <[email protected]> wrote: > My opinion is that TWS BookTrader is simply smarter tool when it comes > to handling > market depth. Removing JBT validation logic would solve our problems > but then can we trust signals generated from data that might be > distorted? > I remember that last year we did some testing with raw data. Back then > our main concern > was timing and discrepancies among users, but maybe we should do some > more testing? > We could record raw data with every operation listed (insert update > delete) and then analyze it > line by line. > > More extreme example > :)http://jbooktrader.googlegroups.com/web/depth16.png?gsc=TqIuRAsAAADBZ... > > On Jul 17, 2:54 pm, nonlinear5 <[email protected]> wrote: > > > I looked at IB BookTrader window a lot before, but I just noticed that > > the cumulative bid and cumulative ask size numbers are updated very > > infrequently there, something in the order of once per minute or so. > > That means it's meaningless to compare them to those in the IB market > > depth window where the cumulative numbers are changing several time > > per second. So, perhaps, the issues that I reported above are not as > > severe as they appeared to me first. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
