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What exactly does the Bcnt and Acnt columns on the DOM/price ladder represent? TT's site isn't clear. Are they simply the bids/asks that have printed at a level?
Can you help answer these questions from other members on NexusFi?
Thanks. I found that picture yesterday. My question is more in the frame of how do Bcnt and Acnt differ from the resting limit orders on the price ladder? Do they more represent the available contracts at that order vs resting limit orders equaling first right of refusal when price reaches a level? Do Bcnt and Acnt represent the real state of the auctioning process?
The way i see it is that it represents the number of orders in the market.
For example at 2256.50 are 140 orders that totals 695 contracts so the average order would be 4.96 contracts.
If i would add a buy limit at that price of 10 contracts then it would become 141 orders and 705 contracts.
This is so-called "level 3" information. A practical value in something like this might be, if for example, you see a large offer on the bid or ask but only a few orders. There is a risk that a single large order could be cancelled whereas if you see many orders and size then it is less likely all the orders would be cancelled. I am just hypothesizing here. The fastest processing time I have tested capable of is around 75ms-80ms (on a brain training game); however typical human speed processing is around the 250ms-500ms range plus additional time for reaction. The fastest HFT strategies are operating in the 5ms-25ms zone (if I recall). Now, I have not counted the number of conscious thoughts produced during a day but might be interesting.
