Level 1 and 2 execution order

[dave1992]

I'm having a lot of trouble getting a consistent level 1+2 picture from live data. I use level 1 for current bid ask only, and level 2 for everything else - the depth.

My question is, is there an order of firing for on market data and depth? How are the event queues processed for them? I would have expected omdata to take priority, but in my testing on live data I see omdepth fires first for everything. Is that correct? I also see missing Level 1 data (this is from Zen Fire, RC1) See the list below - the L2 update of 1178.75, vol 139 is completely skipped in the level 1 data

L2: Instrument='ES 12-10 Globex' Type=Ask MM='' Operation=Update Pos=0 Price=1178.75 Volume=118 Time=17/11/2010 23:29:23

L1: Instrument='ES 12-10 Globex' Type=Ask Price=1178.75 Volume=118 Time=17/11/2010 23:29:23

L2: Instrument='ES 12-10 Globex' Type=Ask MM='' Operation=Update Pos=0 Price=1178.75 Volume=121 Time=17/11/2010 23:29:25

L1: Instrument='ES 12-10 Globex' Type=Ask Price=1178.75 Volume=121 Time=17/11/2010 23:29:25

L2: Instrument='ES 12-10 Globex' Type=Ask MM='' Operation=Update Pos=0 Price=1178.75 Volume=139 Time=17/11/2010 23:29:29
L2: Instrument='ES 12-10 Globex' Type=Ask MM='' Operation=Update Pos=0 Price=1178.75 Volume=141 Time=17/11/2010 23:29:29


L1: Instrument='ES 12-10 Globex' Type=Ask Price=1178.75 Volume=141 Time=17/11/2010 23:29:29

L2: Instrument='ES 12-10 Globex' Type=Ask MM='' Operation=Update Pos=1 Price=1179 Volume=207 Time=17/11/2010 23:29:29

[NinjaTrader_Bertrand]

Dave, it will depend on what your provider is sending to you - the are processing in the sequence they arrived in realtime operation - did you rework your ZenFire connection to enable access to the non aggregated servers?

[dave1992]

Hi Bertrand,

Yes, I did. So Zen Fire must be dropping a level 1 update when there are two level 2s very close and the second one replaces the first? That's not good.

It happens regularly. One thing I have noticed, is that the volume difference on the two level 2s is usually quite small - maybe it's a conscious decision to drop the level 1 when the difference is negligable, or maybe the first level 2 record was wrong in some way. I've asked ZF for their opinion too.

thanks
Dave

[NinjaTrader_Bertrand]

Dave, I'm sorry I would not know how the data handling is done internally in the ZenFire API, please post back what they reply.

Thanks