Support Board

Date/Time: Mon, 29 Apr 2024 05:58:56 +0000

Post From: Eurex feed bid/ask volume

[2014-01-09 10:11:01] Link To Thread - Link To Post [Go To First Post]
gfs117 - Posts: 24
What I've noticed is that the errors happen when there's a big order that takes out the full bid or ask at one or more prices. I've attached a sceenshot of the FGBL this morning and the error is happening at 08:57:50. The market is at 139.49 bid, 139.50 offered at that time. Then there's a large sell order that takes out both the 139.49 and 139.48 bids (executed as 236 and 147 lots). Both of these trades are marked as an Ask trade instead of a bid trade. After the 08:57:50 trades, the market is 139.47 bid and 139.48 offered, yet the T&S window still shows 139.49 as bid and 139.50 as ask, even after the fifth trade in that second. It looks like the bid and ask are not updating fast enough.


2014-01-09-Trade-002.png / V - Attached On 2014-01-09 09:58:00 UTC - Size: 581.38 KB - 547 views