IB BookTrader and MarketDepth work beautifully with stocks, its really
hard to spot
anything suspicious just by looking at both windows. When IB
BookTrader encounters multiple levels at the same price
it aggregates them because it was designed to do that. It basically
assumes that these orders are from different market
makers. Most of the time it does the same thing with the futures even
though it shouldn't.
So I guess when we see multiple levels at the same price (futures
only!) in Market Depth window IB Book Trader doesn't show
correct sizes either.
My theory is that multiple levels might be caused by an uptick or
downtick before complete update of every level.
I still don't understand why those errors in the book remain for
minutes at a time. Once price settles for a while
IB server should update every row and everything should go back to
normal.
Maybe some sort of book preprocessing would solve it.
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