| Reply To Message: |
| Posted By |
n/a on 11/5/2008 4:24:46 PM |
| Subject: |
RE: Openbook Ultra feed questions |
| Message: |
Hi.
We have collected some data from "real time" Openbook and from Ultra and cannot reconcile the data.
At the open things generally line up, but after that the books seem to diverge.
I am seeing much smaller volumes in Ultra (e.g. 100 lots on Ultra but 500 lots on Openbook).
My understanding is that Ultra has all limit orders (including floor interest) but RealTime Openbook does not contain floor interest, so Ultra should always show larger volumes than Openbook. These are not small short lived differences, they are long lived.
Can anyone think what I am doing wrong? Or is there some other order type that shows up on Openbook but not on Ultra?
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