Asks/Bids in the public lob passed to traders don't have any kind of identifier

[fables-tales]

If two asks or bids are given that have the same price and quantity by two different traders, these are represented in the lob passed into respond method of a trader by two lists which will contain the exact same values. If the trader is maintaining a list of existing trades when the new lob comes in and attempts to diff the new lob with the old one, it becomes difficult to determine if these orders have already been seen. An example of this is detailed below:

>>> existing_bids = [[185,1]]
>>> previous_lob = {"bids":{"lob":[[185,1]]}}
>>> new_lob = {"bids":{"lob":[[185,1],[185,1]]}}
>>> [x for x in new_lob["bids"]["lob"] if x not in existing_bids]
[]

I believe this could be solved if each bid/ask was given a unique identifier which lasts for as long as it is on the order book.

[fables-tales]

it looks like the orderbook combines orders of the same price. Is this right @davecliff ?

[davecliff]

it looks like the orderbook combines orders of the same price. Is this right @davecliff ?

Yes, because that is what real LOBs look like in so-called "Level 2" market data.

If ever BSE produces a LOB like {'bids':{'lob':[[185,1],[185,1]]}} then something has gone wrong: it should be [[185,2]].

Was this not clear from what's written in BSEguide.pdf, e.g. in the discussion of Figure 1.1?

[fables-tales]

Hi Dave,

Yeah. I took another look over this afterwards. I think I was seeing some ghosts in the machine due to a bug in my own code.

Thanks

Sam Phippen

On 28 Oct 2012, at 19:34, davecliff wrote:

it looks like the orderbook combines orders of the same price. Is this right @davecliff ?

Yes, because that is what real LOBs look like in so-called "Level 2" market data.

If ever BSE produces a LOB like {'bids':{'lob':[[185,1],[185,1]]}} then something has gone wrong: it should be [[185,2]].

Was this not clear from what's written in BSEguide.pdf, e.g. in the discussion of Figure 1.1?

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