| Reply To Message: |
| Posted By |
n/a on 11/12/2008 11:43:11 PM |
| Subject: |
Making sense of OpenBook Ultra "multiple events" message |
| Message: |
Hello-
I am trying to figure out if I can do anything useful with the ultra type 'X' message. First of all, of the three events (add, cancel, trade), is there any restriction at all on which combination of the three may appear in an 'X' message? Or could any arbitrary combination have happened? I see that the link ID gets set in the case that a trade was part of the event. In this case, is there any way at all I can infer what quantity was traded? Even something that is only approximately correct? It would be nice if this feed could be used to count NYSE trade volumes accurately... but this 'X' message essentially destroys that ability, unless I am missing something. Thanks for your help... |
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