Support Board
Date/Time: Tue, 26 Nov 2024 13:38:50 +0000
Post From: DTC client implementation in C#-some pointers needed
| [2014-02-26 04:23:21] |
| User57650 - Posts: 50 |
|
I am now looking at market depth updates sent by the relay server and here is a sequence I recorded, with fields being: message type (118),MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT, message size, MarketDataSymbolID, Price, Side, Volume, UpdateType This sequence is for crude oil. Please look at it as there seem to be strange things happening: 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.87,AT_ASK,5,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.84,AT_ASK,3,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.85,AT_ASK,5,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.86,AT_ASK,9,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.86,AT_ASK,11,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.85,AT_ASK,4,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.83,AT_BID,1,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.82,AT_BID,5,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.82,AT_BID,5,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.81,AT_BID,59,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.81,AT_BID,59,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.8,AT_BID,75,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.8,AT_BID,75,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.79,AT_BID,11,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.79,AT_BID,11,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.78,AT_BID,6,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.78,AT_BID,6,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.77,AT_BID,9,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.77,AT_BID,9,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.76,AT_BID,8,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.76,AT_BID,8,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.75,AT_BID,10,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.75,AT_BID,10,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.74,AT_BID,9,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.74,AT_BID,9,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.73,AT_BID,5,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.79,AT_BID,10,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.78,AT_BID,5,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.84,AT_ASK,4,DEPTH_INSERT_UPDATE There is a set of updates above such as 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.82,AT_BID,5,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.82,AT_BID,5,DEPTH_DELETE where an insert/update at a price is immediately followed by a delete of the same quantity at the same price. This seems to happen quite a bit-I recorded a few hours of this data on a number of instruments-and it's everywhere. When looking at order book display of the data this seems to create holes that get filled in from time to time and tend to reoccur. Clearly I must be missing something here or misinterpreting that a DEPTH_DELETE really means removing that price level from DOM. Please advise. |