Eugene can you tell me what part of JBT 7.01 validation logic rejects > this book state: > > http://groups.google.com/group/jbooktrader/attach/6d73aad569adff53/marketDataIssues.png?part=4&view=1 >
JBT 7.01 would not reject it, because the validation logic in 7.01 is somewhat relaxed, as it allows the same price on multiple levels. However, one can tell that something is seriously wrong with the market depth by looking at this snapshot, specifically on the "ask" side. Even if we assume that IB BookTrader somehow "intelligently" corrects the IB Market Depth by aggregating the sizes, we still see only 6 ask levels. This is *very* suspicious. No one in the world wants to sell above 939.5? For the next release, I am making the following changes. 1. Market depth validation will be stricter. Specifically, market depth would be considered valid if all four of the following conditions are true: a. The number of bid levels equals the number of ask levels and is non-zero b. The bid price of level N is smaller than the bid price of level N-1 for all levels c. The ask price of level N is greater than the ask price of level N-1 for all levels d. The best bid price (at level 0) is smaller than the best ask price (at level 0) 2. If market depth is detected as invalid, the last known valid balance would be used to update the indicators. 3. If market depth has been invalid for significantly long period of time P, the corresponding strategy will close its open position (if any) and stop trading. The parameter P can be set in the preferences. I am thinking the default should be somewhere between 5 and 15 minutes. I am open to discussion about these changes. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
