Hi, thanks for the important comments and clarification. I am now wondering whether you all see the same market depth as I do.. If I use market depth tool by IB for EUR-Future I see typically 6 bid levels, 5 ask levels. No more. Probably this is the reason why it is considered invalid.
Regarding the issue: I see it such that currently market validation bans some instruments from being traded. So, I see two possibilities (if this should be repaired): a) market depth that is taken into account, could be a per-contract parameter. (meaning, one would only look at the first 5 levels for EUR, but for the first 10 levels for ES) b) invalid data is simply passed along with a tag "invalid". Then each strategy can decide whether after a number of ticks it simply "believes" the data. c) a combination of both. Certainly, the current situation where data stalls for invalid received data is problematic. This means that most data on contracts like EUR-future will not be accepted (not just a few gaps in between? - Most would be gaps.. Right? (At least, here most! of the data on record is identical..) Klaus On 4 Aug., 14:31, Eugene Kononov <[email protected]> wrote: > 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 -~----------~----~----~----~------~----~------~--~---
