I'm trying to understand some of the output of OnMarketData in which I think I see more traded volume at the Ask than available volume at the Ask. I ran the following code against YM 06-19 future:
protected override void OnMarketData(MarketDataEventArgs e)
{
The output I don't understand:
Ask: -1 to 15 @ 25989
Bid: 1 to 5 @ 25988
Bid: 1 to 6 @ 25988
Bid: 1 to 7 @ 25988
Ask: -1 to 14 @ 25989
Bid: 1 to 8 @ 25988
Bid: -1 to 7 @ 25988
Ask: -1 to 13 @ 25989
Bid: -1 to 6 @ 25988
Last: 1 @ 25989
Last: 1 @ 25989
Last: 1 @ 25989
Last: 14 @ 25989
Ask: -7 to 6 @ 25990
Bid: 1 to 7 @ 25988
Bid: 1 to 8 @ 25988
Ask: 1 to 7 @ 25990
Bid: 1 to 9 @ 25988
Bid: -1 to 8 @ 25988
So, it looks to me like there were 17 contracts traded at the Ask (25989) when there was only an ask volume of 13 available.
Please could someone help me make sense of this.
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