use exchange time of data, so that orderbook doesn't lag behind
Posted: Wed Jun 09, 2021 9:10 pm
As far as I understand from interaction between me and support, in order to display data, arrival time at the computer is used instead of exchange time. This can cause issues with the synchrony between the order book and the trade history. But also other issues like the consolidation of large orders, especially if the computer is lagging.
Essentially changes in the order book don't line up with the trades because exchange time isn't used but some arbitrary arrival time at the computer that can be lagging if the computer doesn't catch up, which mean the order book will appear shifted (usually it lags). Sometimes by several seconds. The suggested precision between orders and orderbook (microseconds) is generally nowhere near achieved. I have seen that with my own eye, for example if a big order comes in and sweeps the book. The heatmap changes don't happen when the order happens.
Essentially changes in the order book don't line up with the trades because exchange time isn't used but some arbitrary arrival time at the computer that can be lagging if the computer doesn't catch up, which mean the order book will appear shifted (usually it lags). Sometimes by several seconds. The suggested precision between orders and orderbook (microseconds) is generally nowhere near achieved. I have seen that with my own eye, for example if a big order comes in and sweeps the book. The heatmap changes don't happen when the order happens.