Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

MBP Order Book is incorrectly constructed if Implied Order Book isn’t empty #29

Open
GayaneD opened this issue Sep 8, 2017 · 0 comments
Labels

Comments

@GayaneD
Copy link

GayaneD commented Sep 8, 2017

MBP Order Book is constructed incorrectly if Implied Order Book isn’t empty.

Here are the correct values for MBP Order Book and Implied Order Book:

Order Book 2ZQH0 :
Bid : 75@9827.5 (1), 85@9827 (1)
Ask : 180@9830 (2), 102@9830.5 (2)
Implied Order Book 2ZQH0 :
Bid : 85@9828, 2@9827.5
Ask : 49@9830, 30@9830.5

And here are the actual values for MBP Order Book.
Please pay also attention to the value for the "number of orders" - '2147483647' which is not correct.

[INFO ] 2017-09-07 13:10:07.743 [main] MBOWithMBPMain - MBP Book for '998152'
1 - bid['9827.5' - '75' == '1'] ask['9830.0' - '49' == '2147483647']
2 - bid['9827.0' - '85' == '1'] ask['9830.5' - '30' == '2147483647']
3 - bid['9826.5' - '72' == '1'] ask['9828.0' - '85' == '2147483647']
4 - bid['9.223372036854775E11' - '0' == '0'] ask['9827.5' - '2' == '2147483647']
5 - bid['9.223372036854775E11' - '0' == '0'] ask['9830.0' - '180' == '2']
6 - bid['9.223372036854775E11' - '0' == '0'] ask['9830.5' - '102' == '2']

@kolybelkin kolybelkin added the bug label Sep 8, 2017
@GayaneD GayaneD changed the title MBP Order Book is constructed incorrectly if Order Book isn’t empty MBP Order Book is constructed incorrectly if Implied Order Book isn’t empty Sep 8, 2017
@GayaneD GayaneD changed the title MBP Order Book is constructed incorrectly if Implied Order Book isn’t empty MBP Order Book is incorrectly constructed if Implied Order Book isn’t empty Sep 20, 2017
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
Projects
None yet
Development

No branches or pull requests

2 participants