Support Board

In other words, both values at a particular price level need to be reset simultaneously.

Why? I disagree.

When the market goes back to a prior price level, the Bid Volume and Ask Volume are reset.

The current resetting mechanism appears to be haphazard. It may even be that different criteria are being used to reset a bid volume value than what's being used to reset an ask volume value.

This matches the behavior in the referenced Jigsaw DOM.

Current Trades

The Centre columns shows the number of contracts traded against the inside bid and ask "This time around".

In this example we can see 90 contracts have traded at 1317.75 and 0 contracts have traded at 1318.00. When this 1317.75/1318 became this inside bid/offer, we reset the number of trades here and started to accumulate them. So, if we leave a price and come back to it, the qty of contracts in these columns is reset.

There is an exception to this. If we leave a price for a short period of time and come back to it, then we do not clear the traded quantities. By default that "short period of time" is set to 2500 milliseconds (2.5 seconds).

The idea is that we show the number of contracts to push through the level but it often leaves a level for just a short amount of time and comes back to it. In that case, we don't consider it to have really left.

Clear Trades Timer

When we leave a price and return to it later, the Current Trades value is reset. If we just move out of the area for a very short period – for example we tick up and it immediately ticks down, we will not clear the Current Trades. This setting defines how much time we can spend outside an area before clearing it when we return. This is an advanced setting. Our recommendation is to leave this at 2500 milliseconds (2.5 seconds).

So, instead of using a change in the last traded price as a trigger for resetting, Jigsaw instead uses a change in the last traded price with a change in the last "inside bid/inside ask pair" (best bid/best offer pair). (Which implies a change in trading from bid to ask, or vice-versa.)

I do like a time/distance threshold setting as a possibility as well. For example, do not reset until 3 seconds have passed, or until a price 3 ticks or more away trades.

SC does not simply reset on a change of the bid/offer, but requires that a different bid or offer actually trade.

I like that SC does require a trade to take place before doing a reset.

Levels are currently reset on the bid/ask sides independently. [...] This matches the behavior in the referenced Jigsaw DOM.

The SC implementation is based on trades, so will not do any resetting based solely on changed best bid/ask.

We can look into the timer/threshold option.

Can you reset both the best bid and the best offer when the trade hits?

Also, it stands to reason that the fact a trade did not occur is indeed relevant information, and is not necessarily a loss of information, but is a gain of more current, and therefore more relevant, information. Also, I think it's a reasonable assumption that a lot of thought has gone into the design of the Jigsaw interface.

ES is trading at the LOD, at 1685.00. 85 is bid, 85.25 is offer. 2000 orders hit the bid, moving the bid to 84.75, while 85 goes offer, where it is lifted with 1000 contracts. Anyone who watches ES knows this kind of behavior happens all the time, every day. What I would see is 2000 at the 85 bid, and 1000 at the 85 offer, with the BBO now being 85.00/85.25. If the 85 bid were to be reset when 84.75 went bid, I would never know that 2000 hit the bid at 85.

I just don't quite follow your logic here.

1) Reset on B/O change
2) Reset on new trade at new B/O

However, that is his program, and this is not a replica, so there is no reason to duplicate something exactly

We can look into the timer/threshold option.

Can you reset both the best bid and the best offer when the trade hits? - We will look at this.