I have a question about structSTIQuoteUpdate. I'm writing code off market hours, so I guess I can just test tomorrow, but:
Are those bool variants at the end telling me what type of update it is, or can multiple bool variants be set?
So say the market had an ask size of 10,000. Someone trades 1,000 against the offer.
If bLastPrice is set and bAskPrice is set, and the last trade happened on the same exchange on which the AskPrice is, and the ask size is now 8000, what happened? Did the cancel of 1000 happen followed by a trade of 1000, or did a trade of 1000 happen followed by a cancel of 1000? Or will the structure only show one variant set per exchange?
It's not clear to me from the docs, because it says the ask price will be set to 0 if it's a "bid or last", but then the docs don't say whether bid or last can be updated simultaneously.
I mean I get that the same net effect of a cancel and a trade happened, but I guess I'm wondering if both can update at the same time, and whether proper sequencing is possible.
Are those bool variants at the end telling me what type of update it is, or can multiple bool variants be set?
So say the market had an ask size of 10,000. Someone trades 1,000 against the offer.
If bLastPrice is set and bAskPrice is set, and the last trade happened on the same exchange on which the AskPrice is, and the ask size is now 8000, what happened? Did the cancel of 1000 happen followed by a trade of 1000, or did a trade of 1000 happen followed by a cancel of 1000? Or will the structure only show one variant set per exchange?
It's not clear to me from the docs, because it says the ask price will be set to 0 if it's a "bid or last", but then the docs don't say whether bid or last can be updated simultaneously.
I mean I get that the same net effect of a cancel and a trade happened, but I guess I'm wondering if both can update at the same time, and whether proper sequencing is possible.