Level 1 and 2 from Zen Fire dropping messages

November 18th, 2010, 09:29 AM

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

November 18th, 2010, 09:42 AM

Xeno

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

November 18th, 2010, 10:06 AM

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());

}

November 18th, 2010, 10:28 AM

I believe this has been covered already on:

Analysis and comparison on different data Feeds and Platforms for Bid/Ask Studies

Hi All,

I wil try here to do an analysis and comparation on different data feeds and platforms to perfom studies involving bid/ask data, like comulative bid/ask difference or delta bars and footprint like.

Luke.

P.s. Is not a simple work, and take …

Mike

November 18th, 2010, 10:37 AM

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.

November 18th, 2010, 11:11 AM

Big Mike

I believe this has been covered already on:

Analysis and comparison on different data Feeds and Platforms for Bid/Ask Studies

Hi All,

I wil try here to do an analysis and comparation on different data feeds and platforms to perfom studies involving bid/ask data, like comulative bid/ask difference or delta bars and footprint like.

Luke.

P.s. Is not a simple work, and take …

Mike

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

regards
Dave

November 18th, 2010, 11:14 AM

aslan

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

Level 1 and 2 from Zen Fire dropping messages

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Level 1 and 2 from Zen Fire dropping messages