Level 2 Book

[tradingGary]

Hi,

Quick question for anyone using the order book for trading.

When I look at the order book(print out below), there are plenty of instances where Bid/Ask volume does not decrease even though there are executions???

Can anyone explain why this is the case?


BidPrice1 BidVol1 Close Price Close Volume AskPrice1 AskVol1
1056.25 391 1056.25 15 1056.5 521
1056.25 376 1056.5 2 1056.5 563
1056.25 376 1056.5 1 1056.5 563
1056.25 376 1056.5 1 1056.5 563
1056.25 376 1056.5 3 1056.5 563
1056.25 376 1056.5 1 1056.5 563
1056.25 376 1056.5 3 1056.5 563
1056.25 376 1056.5 1 1056.5 563
1056.25 376 1056.5 1 1056.5 563

[NinjaTrader_Bertrand]

tradingGary, sorry for our late reply - at such ultra short term intervals you're likely facing data granularity / timing issues so convey such a picture. This could also be trades outside of the bid / ask as shown on your local PC, however of course on the exchange there would always be a matching of best bid / best ask.

[RJay]

Are you looking at just level zero in the book??

[tradingGary]

No I am looking at all available levels, in this case 10 levels.

I realize there could be orders outside of the bid/ask range that are displayed, but what I don't see reflected is execution volume not being decreased neither from the bid nor the ask volume (of level 0) when I know there are new executions. (Hope that makes sense)


Thanks!
Gary.