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Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)


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Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)

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When volume comes in you're getting and update for every limit order that was filled rather than an update for each market order that went through. So if one market order of 1000k takes out several hundred different limit orders you'll get a bunch of updates. Hence the whole purpose behind Jigsaw's reconstructed tape. There's also still the issue of whether the volume gets reported first or whether you see the change in the level 2 first.

The easiest solution for this is to just run Jigsaw's Reconstructed Tape, and set the alert to be larger than what the usual resting liquidity is. So if we're putting up 1000's in ZN right now, an alert for 1200 or more would probably alert you to this condition well enough.


Great answer -thanks!

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