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 Post subject: TT market data
PostPosted: Wed Oct 08, 2014 7:59 pm 
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Joined: Thu Sep 18, 2014 5:32 pm
Posts: 28
Hi

I noticed that market data for Level 2 quotes (best 10 bids and offers) for TT is only pulling in outright prices.

Please enable market data for implied prices quotes.

Please refer to http://www.cmegroup.com/education/inter ... ality.html

Thanks


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 Post subject: Re: TT market data
PostPosted: Wed Oct 08, 2014 9:33 pm 
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Site Admin

Joined: Thu Jul 17, 2003 10:39 am
Posts: 1478
Hi,

TT FIX plugin requests and receives the market data for all imstrument types on the same manner (all levels).
I think that the server side determines what depth of data should be sent to the client.

_________________
SmartQuant Development Team


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 Post subject: Re: TT market data
PostPosted: Wed Oct 08, 2014 11:15 pm 
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Joined: Thu Sep 18, 2014 5:32 pm
Posts: 28
Literally the correct orderbook for CME futures is made up of 2 things

outright book
1) outright orders (typically top 5 or 10 bids and offers)
implied book
2) implied orders (typically either 1 or 2 bids and offers)

Then the 2 books are merged to form the full book

OpenQuant is just considering 1) outright orders

please add the implied orders and add a callback such as
onImpliedBookChanged()


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