Support Board
Date/Time: Tue, 26 Nov 2024 13:44:08 +0000
Post From: DTC client implementation in C#-some pointers needed
| [2014-02-26 14:02:29] |
| User57650 - Posts: 50 |
|
"Are you noticing a problem when you do handle DEPTH_DELETE as an actual delete of that price level from the DOM and then shift down any other levels above it." Here is how I handle the following message: 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,101.83,AT_BID,1,DEPTH_DELETE In the above case, on receiving that message, I would remove 101.83 from DOM bids, all bids ABOVE it will have depth UNCHANGED and all bids BELOW 101.83 will have their depth shifted down by one. I assume DEPTH = 0 corresponds to the best (highest) bid and the higher the depth, the lower price in bids. please let me know if that's correct. Assuming it is, the messages received don't make sense as they in many cases add a level and immediately after that remove it, creating holes. |