I have to admit that i didn't do any in-depth analysis and my conclusions come simply from looking at market depth window so I might be wrong :) I think that when we see multiple levels at the same price both Market Depth window and Book Trader are showing incorrect sizes. TWS Book Trader aggregates those multiple orders because it assumes they are from different market makers and as I mentioned in my earlier post it works just fine for stocks. When IB server updates order at 1000.5 with new size all other sizes at that price should be discarded (if they exist on different levels).
On Aug 11, 5:33 pm, Eugene Kononov <[email protected]> wrote: > > 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 -~----------~----~----~----~------~----~------~--~---
