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How to deal with bid/ask size that is not whole number?
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Author:  dave10030 [ Tue Oct 29, 2019 8:39 pm ]
Post subject:  How to deal with bid/ask size that is not whole number?

There are many instruments have non-integer size, but OpenQuant2014 only provide integer type for bid/ask size like:

Code:
public Bid(DateTime dateTime, byte providerId, int instrumentId, double price, int size);


Is there an official way to deal with this?

Author:  skuvv [ Wed Oct 30, 2019 10:17 am ]
Post subject:  Re: How to deal with bid/ask size that is not whole number?

Hi,
currently double size is not supported in OQ2014.
However, you can save additional info in fields, eg:
Code:
trade[index] = 123.456;
double size = (double)trade[index];

If this is appropriate way to you we can add fields for all types of ticks.

Author:  dave10030 [ Wed Oct 30, 2019 1:33 pm ]
Post subject:  Re: How to deal with bid/ask size that is not whole number?

skuvv wrote:
Hi,
currently double size is not supported in OQ2014.
However, you can save additional info in fields, eg:
Code:
trade[index] = 123.456;
double size = (double)trade[index];

If this is appropriate way to you we can add fields for all types of ticks.


Yes, it would be a great pleasure if you add double size in the next version of OQ2014, because all the framework is based on int size, it would be difficult and error-prone if I try to do it in another way.

Author:  skuvv [ Wed Oct 30, 2019 2:19 pm ]
Post subject:  Re: How to deal with bid/ask size that is not whole number?

dave10030 wrote:
Yes, it would be a great pleasure if you add double size in the next version of OQ2014, because all the framework is based on int size, it would be difficult and error-prone if I try to do it in another way.

Double size is not planned now.

Author:  wukan [ Sat Nov 30, 2019 3:17 pm ]
Post subject:  Re: How to deal with bid/ask size that is not whole number?

Double size is very useful to cryptocoin

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