I assumed that that when we see multiple levels at the same price only one of them can be taken into account. When we see: 1000.50 size 560 1000.50 size 414 1000.50 size 1811 only one of these orders is correct, and you can easily spot which one by looking at the live market depth window. 3500 is not exactly right, I simply picked one order out of every multiple price segment to estimate the bid size and that's where 3500 comes from.
On Aug 11, 3:35 pm, nonlinear5 <[email protected]> wrote: > > It doesn't look right to me. > > Since there is only 5 correct bid levels we can assume that > > approximate cumulative bid size is 3500 vs 10967. > > Where does 3500 come from? --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
