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Date/Time: Fri, 19 Apr 2024 11:15:32 +0000

Post From: MBO data errors

[2021-06-10 01:26:13] Link To Thread - Link To Post [Go To First Post]
@TRADE_YOUR_PLAN - Posts: 126
The following video shows, and columns are from left to right: Price Bid Market Order (bid MBO), bid pulling/stacking, bids, recent bid volume, recent ask volume, asks, ask pulling/stacking, Ask Market Order (ask MBO). The column I'm wanting you to look at it is the bid MBO next to price. It is shaded light gray. Notice the quantities are completely incorrect? I have to disconnect and reconnect my data multiple times per day in order for quantities to show up correctly. Why do I know that the data is not showing up correctly sometimes? Because I will see 400 or 500 lots come into the ES book on either the bid or ask side, and the MBO data does not even reflect a size greater than 10. If I then disconnect and reconnect data, the MBO refreshes and I see the limit order size. I have set the MBO minimum size to 10 on ES, but also removed that and let the default (4) run, and I get these same issues either way. Please see video link (very short < 30 seconds) and the screenshot where I've shown obvious errors (MBO limit orders are greater than actual bids for example): http://somup.com/cr16Viq4nV


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