Support Board
Date/Time: Mon, 25 Nov 2024 12:38:24 +0000
Post From: Eurex feed bid/ask volume
| [2014-01-09 10:11:01] |
| gfs117 - Posts: 24 |
|
What I've noticed is that the errors happen when there's a big order that takes out the full bid or ask at one or more prices. I've attached a sceenshot of the FGBL this morning and the error is happening at 08:57:50. The market is at 139.49 bid, 139.50 offered at that time. Then there's a large sell order that takes out both the 139.49 and 139.48 bids (executed as 236 and 147 lots). Both of these trades are marked as an Ask trade instead of a bid trade. After the 08:57:50 trades, the market is 139.47 bid and 139.48 offered, yet the T&S window still shows 139.49 as bid and 139.50 as ask, even after the fifth trade in that second. It looks like the bid and ask are not updating fast enough. |
 2014-01-09-Trade-002.png / V - Attached On 2014-01-09 09:58:00 UTC - Size: 581.38 KB - 584 views |