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Level 1 and 2 from Zen Fire dropping messages
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Level 1 and 2 from Zen Fire dropping messages

  #1 (permalink)
Elite Member
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Futures Experience: Intermediate
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Broker/Data: Mirus/Zen
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Level 1 and 2 from Zen Fire dropping messages

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

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  #2 (permalink)
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  #3 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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Xeno View Post
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

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  #4 (permalink)
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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());

}

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  #5 (permalink)
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I believe this has been covered already on:

https://futures.io/elite-circle/3873-analysis-comparison-different-data-feeds-platforms-bid-ask-studies.html

Mike

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  #6 (permalink)
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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.

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

regards
Dave

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  #8 (permalink)
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aslan View Post
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

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