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Published 20 hours ago • verified publisher icon epam

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

Open GayaneD opened this issue 8 years ago • 0 comments

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 : [email protected] (1), 85@9827 (1) Ask : 180@9830 (2), [email protected] (2) Implied Order Book 2ZQH0 : Bid : 85@9828, [email protected] Ask : 49@9830, [email protected]

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']

GayaneD avatar Sep 08 '17 10:09 GayaneD