I found some difference in Level 2 coding rules for different data feeds.
This data is from CQG data feed printed in OnMarketDepth()
Instrument='6E 03-17 Globex' Type=Bid MM='' Operation=Update Pos=7 Price=1,08035 Volume=52 Time=01.02.2017 8:00:14 bar=417726
Instrument='6E 03-17 Globex' Type=Bid MM='' Operation=Update Pos=7 Price=1,0803 Volume=69 Time=01.02.2017 8:00:20 bar=417726
To build correct DOM for 6E futures this should be interpreted as: "Set volume 69 for price 1,0803 at Bid side".
So I need Dictionary<price, volume> to manage this.
But for data from IQFeed for e.g. AAPL stock this should be interpreted as: "Overwrite position 7 at Bid side. Set price 1,0803 and volume 69"
In this case I need Dictionary<position, {price, volume, optional MM}> to manage this.
Am I right or not?
NT7 Level II window displays correct Level 2 for both data feed.
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