Trender
-Interested User-
Posts: 16
Joined: Sep 22, 2009
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Posted: Jan 1, 2012 08:04 AM
Msg. 1 of 2
I am a bit confused about how to use this field and would appreciate your response:
Just to make sure I understand, when a trade occur and I want to check whether it took place below or at the Bid or above or at the Ask, I will compare it to the Bid and Ask that are sent in the update message. I do not have to maintain a variable with the last Bid and Ask values.
I don't understand how to treat "o" updates. The documentation says: "o" - Some other type of update occurred. I have tracked the ES and noticed I got some updates with "o". Sometimes the ask or bid and even the last price changed. Should it be treated as a trade?
Edited by Trender on Jan 1, 2012 at 03:55 PM
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DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
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Posted: Jan 3, 2012 09:07 AM
Msg. 2 of 2
It is possible that an 'o' message will contain information about non-last-qualifying trades (incremental volume and total volume updates). However, you should never see an update to the bid, bid size, ask, ask size, last, or extended trading last fields in an 'o' message. Any changes to those fields should be handled by the 't', 'T', 'b', or 'a' update messaages.
If your results are not agreeing with the above, please give me an example of the datta you received from the feed and I'll be happy to look into it.
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