I can make the market depth validation optional via the user preference, but this is likely to lead to unreliable results.
What can be thought as a "true" market depth is a continuously moving target. For liquid instruments such as the ES during the regular trading session, JBT gets about 50 messages per second from the IB servers indicating changes in market depth. Now, consider what happens when the market moves. Suppose the best bid for the ES moves up by 1 tick from 900.25 to 900.50. The way the IB server communicates this change might be these series of updates: -- delete bid level 1 from the queue -- shift the remaining levels 2 through 9 up by 1 -- insert level 10 All of these are separate messages, delivered within a few milliseconds. Now, if we happen to take a snapshot of market depth immediately after the "delete" message, we would likely find that the cumulative size of the bids has suddenly dropped by about 10%. Is that representative of the current balance of buyers and sellers? Of course not! This is simply the result of the mechanics of the update which removes the head of the queue and makes more of its tail visible. At the end of the update, the number of bid levels will be exactly the same as the number of ask levels, and the cumulative size of all the bids will probably be about the same as it was before the update. Now, I understand that there are some less liquid instruments which may legitimately have unequal number of bid and ask levels for some prolonged time. However, If there is no validation, what would happen is that JBT would sometimes catch market depth in "transit", in an unfinished state, as described above. With these less liquid instruments, it becomes more difficult to determine whether the unequal number of bid/ask levels is the result of the on-going market depth update, or the true representation of the buy/sell orders. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
