Support Board
Date/Time: Tue, 26 Nov 2024 12:29:05 +0000
Post From: Problem with market depth desapearing
| [2015-03-31 03:00:23] |
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We understand what you are saying but this still indicates a fault on the IB side if they are sending through an insert or an update with a value of zero. The code is designed to be efficient. And we know that for a market that is trading around zero like a spread contract will be problem but this is not the issue here with the depth problems reported. Also, this code has to process every level up to MAX_NUM_DOM_LEVELS on any delete. Using a last_level variable as I described previously would mean it wouldn't have to do all of that on every single delete. It just deletes up to that point because there's no way any levels beyond that have ever been touched. If a bunch of initial updates happened with a wide spread or possibly a level without any bids/asks (this *does* happen), you're going to end up with a level that's already 0 if the structure was initialized to 0's beforehand or explicitly updated by the feed with a price of 0.0. If we understand this correctly, we do not agree with this. Even if there are skipped prices, that does not mean that there are blank levels, the depth level will not exist between the skipped prices.So we still see this as a problem on the IB side and there still is not any determination otherwise. For Interactive Brokers to be updating a level with a price of zero, assuming they do that, makes no sense unless it is a spread contract. For them to be doing an insert with a price of zero makes no sense, assuming they do that, unless it is a spread contract. Neither of these has any logic whatsoever unless it were a spread contract. And it shows an incorrect data stream being transmitted , assuming this is even happening. In any case, we changed the following code which will be out in the next release: if (TempDomStructure.Price == 0 && TempDomStructure.Volume == 0) break; // no more DOM Levels Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-03-31 03:37:36
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