Futures Order Book parsing methodology

Discussion in 'Automated Trading' started by IAS_LLC, Apr 29, 2014.

  1. My approach to this is to consider the order book in the "inconsistent state", as long as the last operation is either "delete" or "insert". When the last operation is the "update", and the book has the same (maximum) depth at both the bid and the ask sides, I consider the book "valid and consistent".
     
    #11     Apr 30, 2014