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I figured it out. Either your data feed or trading platform is broken.
Your video starts either between 10:09:08.018812 to 10:09:15.132012 or 10:14:52.952962 to 10:14:54.305191 (CME timestamps).
What's happening is that the BBO level deletion actually takes place first, then the depth at the 2nd and 3rd levels update. These two events take place immediately one after another.
But your data feed or trading platform messes up and is displaying this in the reverse order, it's updating the depth at the 2nd and 3rd levels first, then it displays the level deletion. Moreover, it's updating this with significant lag between the two.
The hypotheses that this is an autospreader is definitely incorrect. There's 48,344 book changes associated to the most active 14 outrights during these 2 periods and I looked through all of them. I also looked at the 6,519 book changes on the 3 most active spreads (CLG7-CLH7, CLG7-CLJ7 and CL:C1 RB-CL G7). There's no relationship.
Thanks artemiso. Surprising and worrying at the same time.
Likely not a platform issue as I have two different platforms and the book looks identical on both.
But both platforms get book updates via a CQG feed (two separate accounts).
Would you be able to share a future video snapshot of the book from your end, so that I could compare it with mine and provide them both to CQG with a request for explanation?
The events are coming in around every 1.4 milliseconds during that time, the refresh rate of a monitor won't be able to keep up so it's difficult to compare the two with a video. I've PMed you something which should also help your trading.
I know this is a very old thread, but I thought the title was relevant. Just spotted this spoof. Note the big solid color blocks at both the bid and ask, which were quickly removed all at once a few minutes later. Anyone has an idea what was the point of that?
