I have a doubt and maybe you can solve it or give me some help. Here is my question:
Let´s suppose there is an ask price X an in that price there is a volume to be satisficed of 30 contracts due to 30 limit orders of 1 contract each, and in that moment, a single market buy order of 20 contracts arrives. This last order will be completely and immediately executed at the ask price X, filling 20 of pending orders.
In that moment, what I would receive in OnMarketData 20 events type last of volume 1 and price x, or 1 event type last with volume 20 and price x, or maybe both. If none, how can I know that the market order that arrived filled the 20 pending orders.
Thanks for any help.
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