aQuant
-Interested User-
Posts: 49
Joined: Jul 20, 2012
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Posted: Oct 17, 2014 02:43 PM
Msg. 1 of 5
I found that these happen quite a bit (especially in certain special fast conditions). Note that the third line below ('ba' update) shows 0 ask size at 97.97 price. I was able to match this particular sequence with market depth MD01 updates and there the size shows 14. Is there an explanation for this? (this particular sequence is from August, 6th, 2014 CLU4 contract). Can provide more examples if needed. Q,QCLU14,97.96,80692,1,97.96,97.97,4,15,,10:36:14.241,5299981,10:36:14.242,10:36:14.131,b, Q,QCLU14,97.96,80693,1,97.96,97.97,4,15,183,10:36:14.276,5299992,10:36:14.242,10:36:14.131,C, Q,QCLU14,97.96,80693,1,97.96,97.97,3,0,,10:36:14.276,5299992,10:36:14.276,10:36:14.276,ba, Q,QCLU14,97.96,80693,1,97.96,97.97,3,15,,10:36:14.276,5299992,10:36:14.276,10:36:14.277,a, Q,QCLU14,97.96,80693,1,97.96,97.97,3,16,,10:36:14.276,5299992,10:36:14.276,10:36:14.277,a, Q,QCLU14,97.96,80693,1,97.96,97.97,3,17,,10:36:14.276,5299992,10:36:14.276,10:36:14.277,a,
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