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Direct MessagesDate/Time: Sun, 08 Sep 2024 00:03:38 +0000
Post From: Amp/TTNet CME Market Depth Missing
| [2016-02-01 23:16:38] |
| User47643 - Posts: 13 |
|
In post #1 User47643 wrote: Here's a copy of the message log indicating a "0" market depth level:
In further research on the FIX Protocol I have learned that "0" is indicating a market depth type, with type "0" being "Full Book". My assumption that "0" was indicating a market depth of zero was incorrect.In post #4 SC Engineering wrote: We heard from the management of AMP this morning and they contacted TT about it again today.
And in post #9, regarding the TT Support Forum, User13668 wrote:There is an open production incident for this issue that is still being looked into.
So things seem to be moving right along, with TT actively investigating this issue. That's good! I have captured some TCP packets being sent to the SC application running on my Windows XP computer from the TTNet Price Server. In analyzing the captured data I have determined that the TTNet Price Server is transmitting trade prices as five digits with no decimal point when the price ends in "0" and transmitting trade prices as five digits followed by a decimal point and the digit "5" (".5") when the price ends in "5". In December 2015 CME Group announced "Change to Minimum Price Increment for Euro/U.S. Dollar (EUR/USD) Futures" with a change in tag 969-MinPriceIncrement from "1" to "0.5". Although the 969 tag is not available on the TT Fix Adapter and is not included in the TCP packets I captured, my conclusion is that the trade prices being transmitted by the TTNet Price Server are correct. I also determined that the TTNet Price Server is transmitting bid/offer prices as six digits with no decimal point, regardless of whether the price ends in "0" or "5". So the values of the bid/offer prices being transmitted by the TTNet Price Server are, in fact, ten times the values of the trade prices. I would think the bid/offer prices are incorrect. Hopefully, TT will soon get this straightened out and fixed. In post #2 SC Engineering wrote: The problem is the market depth data is 10 times the actual value for the 6E. You can see this through File >> Open Market Depth Window.
The price values in the Market Depth Window are affected by the Real-Time Price Multiplier Chart Setting. When I change this setting from "0.00010000" to "0.00001000" the missing DOM Graph appears on the 6E chart. The Chart Price Axis does not seem to be affected by this change. But the Last Traded Price is no longer visible on the chart. I suppose, although the bid/offer prices from the TTNet Price Server may be incorrect, it would be possible for the SC application to be coded to work properly with the 6E price data as that data is currently being transmitted by the AMP TTNet Price Server. Still, it seems as though TT should have already fixed this problem by now. Perhaps User13668 can pass along my analysis to the TT Support Forum. |