> 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. >
I don't think that's the right assumption, though. In this example, I think the actual bid size at 100.5 is 560+414+1811=2785. This is what IB BookTrader window would show. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
