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MBP Order Book is incorrectly constructed after Step2 in CME AutoCert test "Channel Reset for Market by Price" #30

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GayaneD opened this issue Sep 20, 2017 · 0 comments
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@GayaneD
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GayaneD commented Sep 20, 2017

MBP Order Book is incorrectly constructed after Step2 in CME AutoCert test "Channel Reset for Market by Price".

"Channel Reset for Market by Price" steps are:
Step1: Confirm books are empty for the selected instruments.
Step2: Receive market data for a set of orders.

Expected MBP Order Book:
Order Book 0ZQZ7 :
Bid : 61@9877.5 (2), 212@9877 (2), 113@9876.5 (2), 152@9876 (2), 89@9875.5 (1)
Ask : 87@9878.5 (1), 75@9879 (1), 49@9879.5 (1), 57@9880 (1), 85@9880.5 (1)

Actual MBP Order Book:
[INFO ] 2017-09-20 16:16:35.217 [main] MBOWithMBPMain - MBP Book for '998080'
1 - bid['9877.5' - '61' == '2'] ask['9878.5' - '87' == '1']
2 - bid['9877.0' - '212' == '2'] ask['9879.0' - '75' == '1']
3 - bid['9876.5' - '113' == '2'] ask['9879.5' - '49' == '1']
4 - bid['9876.0' - '152' == '2'] ask['9880.0' - '57' == '1']
5 - bid['9875.5' - '89' == '1'] ask['9880.5' - '85' == '1']
6 - bid['9870.5' - '28' == '1'] ask['9.223372036854775E11' - '0' == '0']

UDP dump files are attached: UDP_Dump.zip

@iamolever iamolever added the bug label Sep 20, 2017
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