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Bookmap xRay
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Bookmap xRay

  #51 (permalink)
Elite Member
london
 
Futures Experience: Advanced
Platform: multicharts,ninja,Bookmap
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johnnyte View Post
Hi John! I am also curious to know if you've tried the same tests with version 5? I have no issues seeing icebergs on the bond products I use.

Hi Johnnyte

Yes I am doing the testing on version 5-410 DTN IQ Data standalone

Because of the iceberg issues I have found with V5 I still use 4 129 for Live

Are you looking at the Eurex BOBL and Eurostox too

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  #52 (permalink)
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johnl,

Your findings are aligned with the check I made as I also didn't see iceberg on FGBL. The fact that you see icebergs on the close eliminates the option that it doesn't work at all.

As I stated, the same algo that detect icebergs is implemented on different platforms. Also, Bookmap isn't aware of the exchange parameter or which instrument you trade so it works the same on different exchanges and different instruments of the same platform.

While using the same provider, if you see differences in iceberg between exchanges or instruments, it could be related to the implementation of that market data provider. It's possible that something is different about the way specific exchanges send their data or how the instrument usually trades (e.g. small trades and large sizes on BBO).

Did you manage to see icebergs with same provider on other instruments traded on other exchanges? if yes, then it is not related to Bookmap. If you can't see icebergs, please let us know and well run Bookmap in the same setup on our side and dig further into it. Also, please update your Bookmap to the latest beta 5.0 build, through Help>>Update>>Check for Updates.

regards,

The Bookmap Team


Last edited by Bookmap; February 22nd, 2017 at 10:48 AM.
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  #53 (permalink)
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I see icebergs for FGBL now, though in earlier releases of 5 there were none.

As far as I am aware DTN IQ is the market leading data vendor,I assume as a supported Datafeed if there are issues using Bookmap with this data then it should be picked up by developers.

To gain a better understanding of Bookmaps implementation of Icebergs do you have any worked numeric examples with T&S and order book numbers available to see the calculation at work.

I would be very surprised if the Estoxx and Bobl is fundamentally different to other Eurex Markets but looking at worked examples may be the only way to clear up this anomaly.



Bookmap View Post
johnl,

your findings are aligned with the check I made as I also didn't see iceberg on FGBL
the fact that you see icebergs on close eliminates the option that it doesn't work at all.

As I stated same algo that detect icebergs is implemented on different platforms. also, Bookmap doesn't aware of the exchange parameter or which instrument you trade so it works the same on different exchanges and different instruments of the same platform.

While using the same provider, if you see differences in iceberg between exchanges or instruments, it could be related to the implantation of that market data provider. It's possible that something is different about the way how specific exchange sends the data or how is the instrument usually traded (e.g. small trades and large sizes on BBO).

Did you manage to see icebergs with same provider on other instruments traded on other exchanges? if yes, than it is not related to Bookmap. if you can't see icebergs, please let us know and well run Bookmap in the same setup on our side and dig into it further. In your check pls use the latest build (5)


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  #54 (permalink)
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johnl View Post
I see icebergs for FGBL now, though in earlier releases of 5 there were none.

As far as I am aware DTN IQ is the market leading data vendor,I assume as a supported Datafeed if there are issues using Bookmap with this data then it should be picked up by developers.

To gain a better understanding of Bookmaps implementation of Icebergs do you have any worked numeric examples with T&S and order book numbers available to see the calculation at work.

I would be very surprised if the Estoxx and Bobl is fundamentally different to other Eurex Markets but looking at worked examples may be the only way to clear up this anomaly.

johnl,

If you wish to examine the implementation of the iceberg detection, you don't need the code, you simply can use Bookmap. Just pause the heat map (by clicking on the hand) and zoom-in, now drag it forward slowly and compare the traded volume to best bid / ask size.
I've also attached a numerical example:
https://docs.google.com/spreadsheets/d/1W0U5pRMQBWNhQghAF8s_jkjatnCKmUHXOP_GiB4lCqU/pubhtml

We use the same iceberg detection algorithm for all instruments, and it's unlikely that any recent update could break it. But we will perform another test with DTN to be sure.

Regards,
Sergey / Bookmap


Last edited by Bookmap; February 22nd, 2017 at 04:26 PM.
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  #55 (permalink)
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Thanks Sergey

I will record time and sales and see how the numbers work out for Estoxx




Bookmap View Post
johnl,

Please look at this numerical example:
https://docs.google.com/spreadsheets/d/1W0U5pRMQBWNhQghAF8s_jkjatnCKmUHXOP_GiB4lCqU/pubhtml

We use the same iceberg detection algorithm for all instruments, and it's unlikely that any recent update could break it. But we will perform another test with DTN to be sure.

Regards,
Sergey / Bookmap


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  #56 (permalink)
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hi there @Bookmap is it possible to just see the current quotes and/or historic. If no function...is there a possibility to request quotes upto x levels displayed with history/no history.
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thanks

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  #57 (permalink)
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Hi Paps,

Quotes counter (CQC or SQC) counts only the levels that are inside of the reported range (in your example 10 levels). this is because other levels are not being reported by the exchange.

In your request, do you mean the possibility to count less levels (in your example, less than 10)? If yes, what would be the benefit?


Last edited by Bookmap; February 23rd, 2017 at 11:21 AM.
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  #58 (permalink)
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Hi @Bookmap

This just an idea.

Sometime soon the CME will give the exact spot in queue, maybe a number somewhere after this is available giving the exact number rather than an estimate. Could be turned on or off.

Sent using the futures.io mobile app

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  #59 (permalink)
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bathrobe View Post
Hi @Bookmap

This just an idea.

Sometime soon the CME will give the exact spot in queue, maybe a number somewhere after this is available giving the exact number rather than an estimate. Could be turned on or off.

Sent using the futures.io mobile app

bathrobe,

Thank you for this information! Yes, it's preferable than the estimated value. According to CME, it will be available on March 26. But we will need to wait until market data providers that Bookmap supports will make the changes. If we get a schedule for this update from any of them, we will let you know.

Sergey / Bookmap

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  #60 (permalink)
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Bookmap View Post
Hi Paps,

Quotes counter (CQC or SQC) counts only the levels that are inside of the reported range (in your example 10 levels). this is because other levels are not being reported by the exchange.

In your request, do you mean the possibility to count less levels (in your example, less than 10)? If yes, what would be the benefit?

hi @Bookmap you are correct. user defined ability to count less. Well am deep into OF. I see a definite relationship into Quotes /Limit Orders / Market Order - and a few nuances of how these are being handled which have a immediate affect on price. currently only quotes delta is dynamic..which is great. however having quotes static-add/del or dynamic on user defined levels is what am looking for. currently quotes displayed is only doing static adds.

this is just a request....as it helps me in my study/observation in the markets. also understand that its just my need and probably not being asked by others.

cheers

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