Asks/Bids in the public lob passed to traders don't have any kind of identifier about bristolstockexchange HOT 3 CLOSED

it looks like the orderbook combines orders of the same price. Is this right @davecliff ?

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it looks like the orderbook combines orders of the same price. Is this right @davecliff ?

Yes, because that is what real LOBs look like in so-called "Level 2" market data.

If ever BSE produces a LOB like {'bids':{'lob':[[185,1],[185,1]]}} then something has gone wrong: it should be [[185,2]].

Was this not clear from what's written in BSEguide.pdf, e.g. in the discussion of Figure 1.1?

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Hi Dave,

Yeah. I took another look over this afterwards. I think I was seeing some ghosts in the machine due to a bug in my own code.

Thanks

Sam Phippen

On 28 Oct 2012, at 19:34, davecliff wrote:

it looks like the orderbook combines orders of the same price. Is this right @davecliff ?

Yes, because that is what real LOBs look like in so-called "Level 2" market data.

If ever BSE produces a LOB like {'bids':{'lob':[[185,1],[185,1]]}} then something has gone wrong: it should be [[185,2]].

Was this not clear from what's written in BSEguide.pdf, e.g. in the discussion of Figure 1.1?

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