Well, with the SPY as it's shown in the TWS Market Depth Window, this makes sense. Multiple market makers (obviously distinct ones, as indicated by their names) may bid the same price level and may offer at the same price level. But with the ES contract, the TWS Market Depth Window shows only one MM, which is Globex, and from my observations, the situation when we see multiple bid levels at the same price only happens about 5% of the time, which is why I believe that this is a corrupted DOM. If the "granularity" is the explanation, then every time when I submit a limit order to buy one ES contract two ticks below the current bid, we should see a new level in the DOM, (granularly) showing my bid. But this never happens. Instead, my order size is added to the existing bid level which corresponds to my limit price. So, am still confused about this. Can you please clarify where the granularity in the ES contract comes from?
IB Chronic Data Feed Issue
- Thread starter rcj
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Well, with the SPY as it's shown in the TWS Market Depth Window, this makes sense. Multiple market makers (obviously distinct ones, as indicated by their names) may bid the same price level and may offer at the same price level. But with the ES contract, the TWS Market Depth Window shows only one MM, which is Globex, and from my observations, the situation when we see multiple bid levels at the same price only happens about 5% of the time, which is why I believe that this is a corrupted DOM. If the "granularity" is the explanation, then every time when I submit a limit order to buy one ES contract two ticks below the current bid, we should see a new level in the DOM, (granularly) showing my bid. But this never happens. Instead, my order size is added to the existing bid level which corresponds to my limit price. So, am still confused about this. Can you please clarify where the granularity in the ES contract comes from?
There are two cases here:
a) The marketDepth for Futures
b) The Level-2 for some stock-exchanges.
Our thread was about the first (a), and they don't have the same price-levels in more than one row. And always should show the same number of rows on Bid and Ask-side (5 or 10 ).
The second (b) will surely have multiple rows, if and only if the Market-maker code is different.
Anything else is a bug....
But according to dst, futures can have the same price levels in more than one row of market depth, and it's not a bug.
I agree.
The ES Globex DOM posted by nonlinear5 is obviously displaying bad data. Any proper Globex DOM display has only one size at each price level. Displaying multiple sizes at the same price level is blatantly incorrect.
It is very disturbing that IB software developers and testers cannot even tell the difference between a bad and a good data display. No wonder it takes so long to get TWS problems fixed.
Thnx for the update, Dst.
i havent seen any problems with YM data in past several days.
If IB hasnt finished with the fix, then im wondering why the
YM data has stayed "clean" . I guess im still a bit(Pun) suspicious
that the YM problem originated some where at or between the matching engine hardware or comm link to IB.
Probably not, but ...