Bug in Level 2 - negative spread, wrong bid

[shawnj]

v 6.5.1000.13

See the attached level 2 screenshot.

The inside (yellow) bid/ask spread is -5.00. This of course cannot happen. It looks like the culprit is the bid is showing 984.00 but the bid should be closer to about 979.00.

This condition persisted with the inside bid "frozen" at 984.00 for several hours till the market traded back above 984.00 which seemed to "reset" it. While the problem persisted, I opened another Level 2 form and the problem was the same. I also opened a static dom and it did not have the problem.

Throughout the day my data feed was disconnecting and reconnecting. This may or may not have had something to do with it.

Besides documenting the bug with this report, I would like to ask is there another way to collect the data for the 10 deep levels of ZS market other than opening the Level2 form? The dom is only showing 5 levels and the Level 2 form developement is "immature" (the kindest work I can think of <g>). If I apply to a regular chart an indicator which calls OnMarketDepth() will this cause the Level2 data to be stored for later replay?

thanks,
shawnj

[NinjaTrader_Kyle]

Hello Shawnj,

Thank you for your note.

1.) Which data feed were you connecting through when this occurred?

2.) Unfortunately, only the 5 levels of depth are available in the DOM. The full 10 is, however, on our development team's list of future considerations.

[shawnj]

Hello Shawnj,

Thank you for your note.

1.) Which data feed were you connecting through when this occurred?

2.) Unfortunately, only the 5 levels of depth are available in the DOM. The full 10 is, however, on our development team's list of future considerations.

1) Zenfire.

2) I'm not asking for a 10 deep dom, I'm asking what are my options for collection 10 deep data for later replay. Keeping the Level2 form open does it, but that sucker is very unstable.

I guess I'll have to try for myself, but I'm asking if I have an indicator applied to a chart in which the indicator handles the OnMarketDepth() event, will that cause level2 data to be stored?

thanks,
shawnj

[NinjaTrader_Kyle]

Hi Shawnj,

Thank you for your reply.

1.) We have not had other reports of this today.
As such, please send me a note to Support [AT] NinjaTrader [DOT] com with "ATTN: Kyle" in the subject line.

In the message, please include the following:
A.) A link to this forum thread.
B.) Your most recent trace file.
You will find the file here: My Documents > NinjaTrader 6.5 > Trace > trace.YYYYMMDD.txt

2.) Thank you for your clarification.
While this has not been tested, I see no reason why market replay would not record this data with the setup your describing.

[shawnj]

I've documented the problem. I realize the coders have to duplicate it to fix it but I just don't have the energy to follow through on this. If a screen shot is not enough then consider this closed.

[NinjaTrader_Ray]

I've documented the problem. I realize the coders have to duplicate it to fix it but I just don't have the energy to follow through on this. If a screen shot is not enough then consider this closed.

We will run a Level II screen here to see the stale value can be replicated.