Can you identify a specific time window and the instrument where you observe the irregularity? I can check it on my end.
Tue, 28 Jul 2015 20:53:05.476311, I'm seeing the number of orders on the ask of ESU5 at 2088.25 appear to jump from 35 to 139 at Tue, 28 Jul 2015 18:54:58.718215. This isn't a particularly volatility period or anything, just the first example I found when I began recording that day. Let's hope I'm wrong. I'm using this discussion to inform my choice of buying Nanex vs. DataMine historical data, because Nanex is cheaper but eschews tag 346. So if tag 346 can break down like this in practice, I see little reason to pay for DataMine. Then again, if I am indeed wrong, I'd live to buy the DataMine data and hold onto this Q position info. Thanks for your help.