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Trouble with LT-Bid?
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craig_westwood
- Posts: 1
- Joined: Wed Sep 02, 2020 3:55 pm
Re: Trouble with LT-Bid?
Hi Craig, we are already testing the fix for this problem and broken layout of size filters panel. Hopefully, it will be published today.
Just in case anyone is interested in more details: How a sum of positive values can become negative? In short, it would be too heavy performance-wise to compute a weighted sum of all price levels on every update anywhere in the book. Therefore we use a couple of math tricks (specific to exponential function) to compute this sum dynamically: instead of recomputing from scratch, the sum is updated based on its previous value and the new update in the book. However, under certain conditions this may lead to arithmetic underflow, specifically, there are not enough bits in the 64-bit number. There is a mechanism purposed to take care for such situations, but apparently it had too optimistic settings. Now it's hopefully fixed.
Just in case anyone is interested in more details: How a sum of positive values can become negative? In short, it would be too heavy performance-wise to compute a weighted sum of all price levels on every update anywhere in the book. Therefore we use a couple of math tricks (specific to exponential function) to compute this sum dynamically: instead of recomputing from scratch, the sum is updated based on its previous value and the new update in the book. However, under certain conditions this may lead to arithmetic underflow, specifically, there are not enough bits in the 64-bit number. There is a mechanism purposed to take care for such situations, but apparently it had too optimistic settings. Now it's hopefully fixed.