I am having difficulty understanding the time and sales sizes with a zen-fire feed.
I see plenty of large sizes going through 100-1000+.
However when I compare it to an esignal time and sales the numbers nowhere near match, esignal rarely has such large sizes.
Am I missing something here? Is zen-fire doing some kind of sub-totalling not done by esignal.
I am showing my ignorance here, but I thought the "size" is simply the number of contracts a single order is at the price quoted?
If this is the wrong forum for this question, I would be grateful if you could advise where I should ask
thanks in advance
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