Data recorder - discrepancy in "Quotes" recorded and displayed in BM

[phil83]

Hi everyone,

I am using the Data Recorder API to record trades, quotes, BBO etc. in a text file. 
When I am looking at the "Quote"-lines that are recorded I see a difference to what is displayed in Bookmap (in the heat map). 

API Code (kept in standard from Git) of the data recorder:

Code: Select all

@Override public void onDepth(boolean isBid, int price, int size) {
String side = isBid ? "Buy" : "Sell";
writeObjects("Quote", side, price, size);
}

Output for todays ESZ0 price level 3403 since the beginning of my recording (UTC/GMT +1:00 hour):
(date, type, price, direction, volume)
2020-09-15 06:39:23.280432,Quote,3403.0,Sell,19
2020-09-15 07:12:20.874939,Quote,3403.0,Sell,21
2020-09-15 07:12:20.874939,Quote,3403.0,Sell,21
2020-09-15 07:52:32.571009,Quote,3403.0,Sell,20
2020-09-15 07:52:32.571009,Quote,3403.0,Sell,20
2020-09-15 08:08:58.325661,Quote,3403.0,Sell,21
2020-09-15 08:08:58.325661,Quote,3403.0,Sell,21
2020-09-15 08:14:35.747663,Quote,3403.0,Sell,20
2020-09-15 08:14:35.747663,Quote,3403.0,Sell,20
2020-09-15 08:21:55.284038,Quote,3403.0,Sell,21
2020-09-15 08:21:55.284038,Quote,3403.0,Sell,21
2020-09-15 08:44:56.401192,Quote,3403.0,Sell,20
2020-09-15 08:44:56.401192,Quote,3403.0,Sell,20

And what is displayed in Bookmap:




In Bookmap the volume of this pricelevel is above what is recorded in the API (at around 120 vs 30). This problem occurs for alle price levels so I assume there is some calculation logic to be known. I would like to have the correct volumes of the order book recorded. 

Where is the difference coming from? 
How are the Quotes/ the volume in the DOM calculated in Bookmap?
How can I fix it?


Thank you
Best
Philipp

 

[phil83]

Update:
I installed the latest build V 7.1.1 build: Mac-119 (released today)

The problem seems to be fixed with this build. Now the heat map values seem to be the same as in the data recorder.
Can you confirm this?

Thanks
Philipp

[Andry API support]

Hi phil83,
price in modules is measured in min increment size (pips) which is 0.25 for ESZ0.
To calculate the real price you should multiply the price-in-pips by pips value. So 3403 is in fact 850.75.
You can get pips value from the initialize method.

Code: Select all

    double pips;

    @Override
    public void initialize(String alias, InstrumentInfo info, Api api, InitialState initialState) {
        //...
        this.pips = info.pips;
    }

[phil83]

Hi Andrey,

thanks for your reply.
My Script is calculating with the price of your Simple Demo and divides it by 4 (pip per point) to get the real price. So 3403 is 13616 as data output in the data recorder. This is all fine. I calculate with this further and divide it locally.

The issue was regarding the volume levels in the heat map. It works fine now with the new build. Is there something you changed  regarding this issue in the build?

THanks
Best
Philipp

[Andry API support]

Philipp,
I am not aware of anything that would directly result in changes you described. Anyway, I am happy it works now.

[arya4700]

i am having the same kind of discrepencies for ES and NQ. 

i tried to install the latest version of bookmap but its still thr. 

any solutions for this?

[Svyatoslav]

arya4700, if you are talking about API - please share short example of the code. I'm pretty sure you are forgetting to multiply the value by pips.

However I see you have a support ticket where you seem to be using two instruments with different expirations, so data does not match. If that's what you are talking about - please select expiration explicitly in both platforms.