Hello,

I'm getting level 1 messages missing in my live Zen Fire Feed in Ninja 7-23. I wanted to run it past you guys to see if you see it the same way I do. It's quite regular, and is the same scenario every time. Two L2 messages close together, same price, slightly different volume, then a L1 message but only for the second L2 message:

e.g. (all times GMT)

 

Code

L2: Instrument='ES 12-10 Globex' Type=Bid MM='' Operation=Update Pos=0 Price=1189.5 Volume=890 Time=18/11/2010 12:44:06 L2: Instrument='ES 12-10 Globex' Type=Bid MM='' Operation=Update Pos=0 Price=1189.5 Volume=893 Time=18/11/2010 12:44:06 L1: Instrument='ES 12-10 Globex' Type=Bid Price=1189.5 Volume=893 Time=18/11/2010 12:44:06

Maybe they're aggregated because they're close together and the second L2 replaces the first? Have I misunderstood what to expect?

thanks
Dave

Xeno 

Hello, I'm getting level 1 messages missing in my live Zen Fire Feed in Ninja 7-23. I wanted to run it past you guys to see if you see it the same way I do. It's quite regular, and is the same scenario every time. Two L2 messages close together, same price, slightly different volume, then a L1 message but only for the second L2 message: e.g. (all times GMT)   Code L2: Instrument='ES 12-10 Globex' Type=Bid MM='' Operation=Update Pos=0 Price=1189.5 Volume=890 Time=18/11/2010 12:44:06 L2: Instrument='ES 12-10 Globex' Type=Bid MM='' Operation=Update Pos=0 Price=1189.5 Volume=893 Time=18/11/2010 12:44:06 L1: Instrument='ES 12-10 Globex' Type=Bid Price=1189.5 Volume=893 Time=18/11/2010 12:44:06 Maybe they're aggregated because they're close together and the second L2 replaces the first? Have I misunderstood what to expect? thanks Dave

Dave,

Post the cs file here and I'll try to confirm.

RJay

It's really simple.

Just:

protected override void OnMarketData(MarketDataEventArgs e)
{
Print("L1: "+e.ToString());
}
protected override void OnMarketDepth(MarketDepthEventArgs e)
{
Print("L2: "+e.ToString());

}

I believe this has been covered already on:

Analysis and comparison on different data Feeds and Platforms for Bid/Ask Studies Hi All, I wil try here to do an analysis and comparation on different data feeds and platforms to perfom studies involving bid/ask data, like comulative bid/ask difference or delta bars and footprint like. Luke. P.s. Is not a simple work, and take …

Mike

This does not sound like an issue to me. The L1 quotes are providing the best bid/ask, so dropping some quantity changes is not a big deal (to me), as you are getting what you need.

The L2 on the other hand is providing the order book, so you need to see the changes (though I suspect some of these changes might be compressed also). The L2 and L1 streams have duplicate info for best bid/ask, so you need to decide what you need and use it appropriately.

Big Mike 

I believe this has been covered already on: Analysis and comparison on different data Feeds and Platforms for Bid/Ask Studies Hi All, I wil try here to do an analysis and comparation on different data feeds and platforms to perfom studies involving bid/ask data, like comulative bid/ask difference or delta bars and footprint like. Luke. P.s. Is not a simple work, and take … Mike

Ah, thank you. I just joined recently so haven't got round to doing elite yet, but probably will soon.

regards
Dave

aslan 

This does not sound like an issue to me. The L1 quotes are providing the best bid/ask, so dropping some quantity changes is not a big deal (to me), as you are getting what you need.

Agreed, it probably doesn't make much difference, however, if I don't know why it's happening I can't be reassured it won't happen for a more significant difference. I'd just like to know if it's deliberate, since I was under the impression that every change in Level 1 volume would generate a level 1 message on 'unfiltered' feeds (I'm connected to the latest, supposedly unfiltered Zen feed)

thanks for your input
Dave