Any ideas?
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Weird Market-Replay Behavior
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Weird Market-Replay Behavior
I am experiencing weird price action behavior in market replay for oil. I've specifically tested 8/1/11 and 9/1/11. What I'm seeing is that price is not moving and often not staying in sync with the bid and ask. Bid and ask are updating, I presume, correctly, but often price will just sit there and then all of a sudden "jerk" hard to a new price. For example, I can sit there for like 5 to 10 seconds with no price movement (unusual for oil) while bid and ask are updating. Or say, price is sitting on 92.3 - I might see a bid of 92.4 and ask of 92.5 which makes no sense.
Any ideas?Tags: None
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It is data downloaded from your servers.
If I remember correctly, the expiration month for 8/1 is CL 10-11 and for 9/1 it is CL 11-11.
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