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Just seeking a confirmation, but it seems that the updates sent over the web socket are updates of the order book before they got matched by the exchange matching engine. I observe for example message sequences such as this one:
When performing the updates to an order book structure stored by the client, you would end up with an order book whereby the nearest bid and ask are at the same level, and thus equal to the mid price, e.g. spread would be 0. IMO this should never be the case
Expected behaviour would that updates are sent after matching by the matching-engine, so that the bids @ 2244.1 level is to 0, and the ask is set at the open amount after matching
Is this by design?
The text was updated successfully, but these errors were encountered:
Just seeking a confirmation, but it seems that the updates sent over the web socket are updates of the order book before they got matched by the exchange matching engine. I observe for example message sequences such as this one:
When performing the updates to an order book structure stored by the client, you would end up with an order book whereby the nearest bid and ask are at the same level, and thus equal to the mid price, e.g. spread would be 0. IMO this should never be the case
Later on I get:
Expected behaviour would that updates are sent after matching by the matching-engine, so that the bids @ 2244.1 level is to 0, and the ask is set at the open amount after matching
Is this by design?
The text was updated successfully, but these errors were encountered: