Registered: Apr 2012
11-24-12 05:04 PM
Quote from monstimal:
Well I guess I don't understand the question. You've taken the feed and tried to build the book and executions and have found some executions that don't make sense/seem to violate rules. I think that indicates there are mistakes in your reading of the ITCH messages.
Well that is always a possibility. But the code is simple, and also pretty well debugged. Also, the OP seemed to have the same problem, so that reduces the chance that it's a problem with my code. The trace statement that I posted basically shows that these rogue orders were appearing out of nowhere and getting executed against.