Är det inte något konstigt med orderdjupet i test?

Added by Lars over 5 years ago

Instrument ERIC B på marknad 11.

{"type":"depth","data":{"i":"101","m":11,"tick_timestamp":1426753530984,"bid1":110.00,"bid_volume1":100,"bid_orders1":1,"ask1":100.50,"ask_volume1":951,"ask_orders1":1,"bid2":100.20,"bid_volume2":100014,"bid_orders2":2,"ask2":100.60,"ask_volume2":20000,"ask_orders2":1,"bid3":99.90,"bid_volume3":101032,"bid_orders3":2,"ask3":115.00,"ask_volume3":4,"ask_orders3":1,"bid4":95.40,"bid_volume4":3,"bid_orders4":1,"ask4":0.0000,"ask_volume4":0,"ask_orders4":0,"bid5":90.00,"bid_volume5":10,"bid_orders5":1,"ask5":0.0000,"ask_volume5":0,"ask_orders5":0}}

Ask1: 100.5, vol: 951
Bid1: 110.0, vol: 100
Eller beror detta på att det är satt säljaren satt en flagga i stil med "Allt eller inget"?

Sen på Bid5...
Det ser misstänkt likt ut min order som jag registrerade och modifierade igår från mitt testkonto 9210924.
Problemet här är att det var en dagsorder. Den har dock försvunnit från listan över mina egna ordrar. Kan det verkligen vara så att den ligger kvar i orderdjupet, eller är det någon annan som lagt en identisk order?

Mvh
Lasse


Replies (2)

RE: Är det inte något konstigt med orderdjupet i test? - Added by Nordnet Simon over 5 years ago

Hej,

1) Det kan vara korsande priser om instrumentet är i auktion. Det händer i pre- och post-trade och för instrument på mid och small cap finns det en schemalagd auktion på dagen. Om priset på ett instrument rör sig för mycket så går det in i auktion - det händer ytters sällan i produktion - men i test händer det ganska ofta eftersom folk lägger ordrar lite hur som helst. Genom att prenumerera på trading_status kan man klura ut när det här händer.

2) Det låter konstigt - jag har lite svårt att verifiera att det är så nu i efterhand.

Exempel på en auktion:

11:13:15-Received data on Public feed:
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  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"trade_timestamp",1426759345764},
         {"tick_timestamp",1426759883342},
         {"bid",110.0},
         {"bid_volume",200},
         {"ask",117.0},
         {"ask_volume",1},
         {"close",100.4},
         {"high",112.0},
         {"last",112.0},
         {"last_volume",1},
         {"low",110.6},
         {"open",110.6},
         {"vwap",110.8},
         {"turnover",5057.3},
         {"turnover_volume",45}]}}] "type" 

11:14:18-Received data on Public feed:
 [{"type",<<"trading_status">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"tick_timestamp",1426758898000},
         {"status",<<"C">>},
         {"source_status",<<"Trading">>}]}}] "type" 
11:22:53-Received data on Public feed:
 [{"type",<<"price">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"trade_timestamp",1426759345764},
         {"tick_timestamp",1426760573762},
         {"bid",117.0},
         {"bid_volume",1}]}}] "type" 
11:22:53-Received data on Public feed:
 [{"type",<<"depth">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"tick_timestamp",1426760573762},
         {"bid1",117.0},
         {"bid_volume1",1},
         {"bid_orders1",1},
         {"bid2",110.0},
         {"bid_volume2",200},
         {"bid_orders2",2},
         {"bid3",108.0},
         {"bid_volume3",1},
         {"bid4",100.0},
         {"bid_volume4",199},
         {"bid_orders4",1}]}}] "type" 
11:22:53-Received data on Public feed:
 [{"type",<<"trading_status">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"tick_timestamp",1426760573000},
         {"status",<<"R">>},
         {"source_status",<<"Trading">>},
         {"halted",<<"Auction">>}]}}] "type" 
11:22:54-Received data on Public feed:
 [{"type",<<"price">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"trade_timestamp",1426759345764},
         {"tick_timestamp",1426760574000},
         {"ep",117.0},
         {"paired",1},
         {"imbalance",0}]}}] "type" 
11:23:03-Received data on Public feed:
 [{"type",<<"price">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"trade_timestamp",1426759345764},
         {"tick_timestamp",1426760583623},
         {"bid",118.0}]}}] "type" 
11:23:03-Received data on Public feed:
 [{"type",<<"depth">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"tick_timestamp",1426760583623},
         {"bid1",118.0},
         {"bid2",117.0},
         {"bid_volume2",1},
         {"bid_orders2",1},
         {"bid3",110.0},
         {"bid_volume3",200},
         {"bid_orders3",2},
         {"bid4",108.0},
         {"bid_volume4",1},
         {"bid5",100.0},
         {"bid_volume5",199},
         {"bid_orders5",1}]}}] "type" 
11:23:04-Received data on Public feed:
 [{"type",<<"price">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"trade_timestamp",1426759345764},
         {"tick_timestamp",1426760584000},
         {"ep",117.5}]}}] "type" 
11:23:55-Received data on Public feed:
 [{"type",<<"price">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"trade_timestamp",1426760635654},
         {"tick_timestamp",1426760635654},
         {"bid",117.0},
         {"high",117.5},
         {"last",117.5},
         {"vwap",111.25},
         {"turnover",5174.8},
         {"turnover_volume",46},
         {"ep",null},
         {"paired",null},
         {"imbalance",null}]}}] "type" 
11:23:55-Received data on Public feed:
 [{"type",<<"depth">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"tick_timestamp",1426760635654},
         {"bid1",117.0},
         {"bid2",110.0},
         {"bid_volume2",200},
         {"bid_orders2",2},
         {"bid3",108.0},
         {"bid_volume3",1},
         {"bid_orders3",1},
         {"bid4",100.0},
         {"bid_volume4",199},
         {"bid5",0.0},
         {"bid_volume5",0},
         {"bid_orders5",0}]}}] "type" 
11:23:55-Received data on Public feed:
 [{"type",<<"trading_status">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"tick_timestamp",1426760635000},
         {"status",<<"C">>},
         {"source_status",<<"Trading">>}]}}] "type" 
11:23:55-Received data on Public feed:
 [{"type",<<"price">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"trade_timestamp",1426760635654},
         {"tick_timestamp",1426760635654},
         {"ask",0.0},
         {"ask_volume",0}]}}] "type" 
11:23:55-Received data on Public feed:
 [{"type",<<"depth">>},
  {"data",
   {obj,[{"i",<<"101">>},
         {"m",11},
         {"tick_timestamp",1426760635654},
         {"ask1",0.0},
         {"ask_volume1",0},
         {"ask_orders1",0}]}}] "type" 

RE: Är det inte något konstigt med orderdjupet i test? - Added by Nordnet Simon over 5 years ago

En sak till all-or-nothing är bara tillåtet för immidate ordrar så dom kan inte ligga kvar i marknaden under "continous trading" och synas i orderdjupet.

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