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Please let me know if you have any information about my last piece of confusion:

Do you know why I don't notice any MBO/depth inconsistencies on "ES" and "MES"? Do implied orders still occur on these assets? Is there any reason to expect implied orders to be very uncommon on those assets? 



 

So implied orders will be placed, modified, and canceled without any of this showing up in the MBO?  My last piece of confusion is why I don't notice any MBO/depth inconsistencies on "ES" and "MES". Do implied orders still occur on these assets? Is there any reason to expect implied orders to be ver...

Inconsistent, not missing completely. There is only sometimes a depth update without a corresponding order. 

Doesn't Rithmic include the implied order book from spreads? Do I need to use something other than just "send", "replace", and "cancel" to get this data? 

 

Hello, For "ZN", "ZF" and "SR3", when I collect MBO data and use onDepth to record depth, these two pieces of information are inconsistent. Specifically, there will commonly be depth updates from "onDepth" which do not correspond to any order events from "send", "replace" or "cancel".  For "ES" or "...