Support Board
Date/Time: Sun, 16 Mar 2025 12:16:07 +0000
Post From: MBO tick data issue
[2022-08-16 04:17:42] |
User785723 - Posts: 58 |
I’m using ACSIL to get and store MBO tick data on the ask and bid side. I am considering sc.LastTradePrice and expecting that the minimum ask order is always above and the maximum bid order is always below sc.LastTradePrice. However, for around 20% of the stored data, this is not the case i.e., either: minimum ask order price < sc. LastTradePrice or maximum bid order price > sc.LastTradePrice How can I address this issue? Also I wonder if the trader id for each of the orders can be obtained via ACSIL for MBO data. |