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Post From: what to make of MarketDataUpdateBidAskCompact message with same Bid and Ask price?

[2021-02-18 02:50:46]
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uM8137 - Posts: 183
Here are 35 examples from a just single recent hour, sampled from ESH21-CME as above.
The quantities do differ, so my copy-paste theory is bunk.


MarketDataUpdateBidAskCompact{BidQuantity:2, AskPrice:3951.500000, BidPrice:3951.500000, AskQuantity:2, DateTime:"2021-02-15T17:01:13-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:2, AskPrice:3949.500000, BidPrice:3949.500000, AskQuantity:2, DateTime:"2021-02-15T17:03:00-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:4, AskPrice:3949.750000, BidPrice:3949.750000, AskQuantity:4, DateTime:"2021-02-15T17:04:08-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3950.000000, BidPrice:3950.000000, AskQuantity:3, DateTime:"2021-02-15T17:04:52-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:6, AskPrice:3949.750000, BidPrice:3949.750000, AskQuantity:4, DateTime:"2021-02-15T17:05:23-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3950.750000, BidPrice:3950.750000, AskQuantity:2, DateTime:"2021-02-15T17:06:20-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3950.500000, BidPrice:3950.500000, AskQuantity:6, DateTime:"2021-02-15T17:07:42-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:2, AskPrice:3950.750000, BidPrice:3950.750000, AskQuantity:1, DateTime:"2021-02-15T17:07:42-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3950.750000, BidPrice:3950.750000, AskQuantity:3, DateTime:"2021-02-15T17:07:46-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:5, AskPrice:3950.250000, BidPrice:3950.250000, AskQuantity:1, DateTime:"2021-02-15T17:10:03-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:5, AskPrice:3949.750000, BidPrice:3949.750000, AskQuantity:5, DateTime:"2021-02-15T17:10:26-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:7, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:3, DateTime:"2021-02-15T17:13:43-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:15, AskPrice:3949.000000, BidPrice:3949.000000, AskQuantity:10, DateTime:"2021-02-15T17:13:46-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:3, DateTime:"2021-02-15T17:21:19-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:6, DateTime:"2021-02-15T17:21:21-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:1, DateTime:"2021-02-15T17:21:21-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:1, DateTime:"2021-02-15T17:21:21-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:6, AskPrice:3948.500000, BidPrice:3948.500000, AskQuantity:2, DateTime:"2021-02-15T17:23:43-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:1, DateTime:"2021-02-15T17:33:07-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:1, DateTime:"2021-02-15T17:35:31-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:4, DateTime:"2021-02-15T17:37:32-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:5, AskPrice:3949.000000, BidPrice:3949.000000, AskQuantity:5, DateTime:"2021-02-15T17:37:39-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:7, AskPrice:3949.000000, BidPrice:3949.000000, AskQuantity:3, DateTime:"2021-02-15T17:38:32-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:38, AskPrice:3949.500000, BidPrice:3949.750000, AskQuantity:34, DateTime:"2021-02-15T17:42:43-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:9, AskPrice:3948.500000, BidPrice:3948.500000, AskQuantity:1, DateTime:"2021-02-15T17:45:03-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:8, DateTime:"2021-02-15T17:46:06-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:1, DateTime:"2021-02-15T17:46:18-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:1, DateTime:"2021-02-15T17:46:22-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:7, AskPrice:3948.500000, BidPrice:3948.500000, AskQuantity:4, DateTime:"2021-02-15T17:46:39-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3948.000000, BidPrice:3948.000000, AskQuantity:1, DateTime:"2021-02-15T17:47:28-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:6, AskPrice:3948.000000, BidPrice:3948.000000, AskQuantity:5, DateTime:"2021-02-15T17:47:46-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:7, AskPrice:3947.500000, BidPrice:3947.500000, AskQuantity:8, DateTime:"2021-02-15T17:49:51-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:10, AskPrice:3947.500000, BidPrice:3947.500000, AskQuantity:5, DateTime:"2021-02-15T17:49:54-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3947.500000, BidPrice:3947.500000, AskQuantity:2, DateTime:"2021-02-15T17:50:57-06:00"}

MarketDataUpdateBidAskCompact{BidQuantity:4, AskPrice:3947.500000, BidPrice:3947.500000, AskQuantity:7, DateTime:"2021-02-15T17:51:41-06:00"}