Problem with CQG Market Depth

[DangerBoy]

Hi guys,

There seems to be some kind of issue with the Market Depth from CQG Amp. I notice that the adapter was revised in one of the recent versions, maybe an introduced bug?

To see the issue, just open NinjaTrader and load the SampleMarketDepth that you provide:

Below is copy and pasted output as of right now on ZN 12-13, so far I only see this problem on that market. Notice that the Bid Ladder is correct with 10 Levels but for some reason the Ask side is outputting 12 with two spurious numbers on the end in the 11th and 12th positions. I have debugged this and it comes through from MarketDepthHandler.

The problem is not immediately obvious on SuperDom as it does not have full depth and if you open Level II view of the instrument for whatever reason there it only shows 10 but definitely the SampleMarketDepth and MarketDepthHandler are providing 12 and so my app is showing the same problem also.

Ask Book
Ask Price=127.203125 Volume=778 Position=0
Ask Price=127.21875 Volume=2628 Position=1
Ask Price=127.234375 Volume=2407 Position=2
Ask Price=127.25 Volume=2352 Position=3
Ask Price=127.265625 Volume=2223 Position=4
Ask Price=127.28125 Volume=2565 Position=5
Ask Price=127.296875 Volume=2557 Position=6
Ask Price=127.3125 Volume=2753 Position=7
Ask Price=127.328125 Volume=2311 Position=8
Ask Price=127.34375 Volume=2427 Position=9
Ask Price=127.375 Volume=11 Position=10
Ask Price=127.390625 Volume=9 Position=11

Bid Book
Bid Price=127.1875 Volume=710 Position=0
Bid Price=127.171875 Volume=2166 Position=1
Bid Price=127.15625 Volume=2185 Position=2
Bid Price=127.140625 Volume=2194 Position=3
Bid Price=127.125 Volume=2288 Position=4
Bid Price=127.109375 Volume=2502 Position=5
Bid Price=127.09375 Volume=2289 Position=6
Bid Price=127.078125 Volume=2261 Position=7
Bid Price=127.0625 Volume=2786 Position=8
Bid Price=127.046875 Volume=2240 Position=9

Could you check and let me know if you see the problem?

Thanks

[NinjaTrader_Matthew]

Thanks for your report.

I see this on my end, but it's not unheard of for some providers to provide more than 10 levels. We've checked in with CQG's data services in the past and it was simply due to the fact what is being reported from the system.

For example if you load the TF 12-13 you'll see hundreds of positions reported from CQG. This has been the case for quite some time.

In terms of the LevelI window, it's default to 10 positions so the additional information would not be displayed, however this change changed from the Properties menu by changing the "Details" # of price levels

If these additional levels are causing problems with your system, you can add some error handling to check if e.Position is greater than the number of levels you desire.


Please let me know if you have any questions.

[DangerBoy]

In terms of the LevelI window, it's default to 10 positions so the additional information would not be displayed, however this change changed from the Properties menu by changing the "Details" # of price levels

Sorry Mathew, my bad, I always forget that LevelI window has a parameter driven row restriction. I just set it above it and sure enough there are those two random numbers in the ask depth.

I expected them to be there as I debugged the feed and could see it was coming from CQG so understood why it wasn't on the SuperDom but quickly checked on the Levell and thought, can't see them, what's going on here now.

Any case, so it seems the feed is supplying it then. Nothing we can do about that.

Thanks for such a quick response. Very helpful.

Ross

[NinjaTrader_Matthew]

Hi Ross,

Happy to help. It is a bit odd though, as the CME only provides 10 positions. We'll double check on this for you and get back once we have confirmation that nothing can be done.

[DangerBoy]

Yes especially strange on that product on only the ask side. Looks like a server needs rebooting somewhere.. lol