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Inconsistent Depth and MBO data
Posted: Fri Jul 22, 2022 8:11 pm
by stefanivanovic
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 "MES", I do not have this problem and everything is consistent.
Am I missing something? Is some reason for this to occur?
Thank you,
Stefan
Re: Inconsistent Depth and MBO data
Posted: Tue Jul 26, 2022 12:06 pm
by Svyatoslav
Hi. Inconsistent or MBO missing completely? I believe for some exchanges there is simply no MBO. Also I believe MBO does not include implied order book.
Re: Inconsistent Depth and MBO data
Posted: Tue Jul 26, 2022 1:53 pm
by stefanivanovic
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?
Re: Inconsistent Depth and MBO data
Posted: Tue Jul 26, 2022 2:20 pm
by Svyatoslav
Rithmic includes that in the depth (MBP) data, but I don't think it's available as MBO. I don't think you can get this information as MBO at this point (at least not through current version of Bookmap)
Re: Inconsistent Depth and MBO data
Posted: Tue Jul 26, 2022 2:29 pm
by stefanivanovic
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 very uncommon on those assets?
Thank you very much for your help!
Stefan
Re: Inconsistent Depth and MBO data
Posted: Thu Jul 28, 2022 5:39 pm
by stefanivanovic
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?
Re: Inconsistent Depth and MBO data
Posted: Fri Jul 29, 2022 9:35 am
by Svyatoslav
Hi, I'm not sure my assumptions above are correct here. Your example with ES and MES makes me think I'm wrong (at least for some instruments).
We do not filter out or augment the MBO data, so that's basically what we receive. As for why we receive it this way - I don't really know at this point. You might want to do some comparisons with the data from other sources (i.e. DxFeed instead of Rithmic) to attempt figuring out what's going on (at least that's what I would try if I'd need to investigate that).