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Happy to meet you on Y! or IM if you want to swap
real time volume numbers one day.
When I tested Bloomberg and Reuters both feeding
DDE into the same Excel sheet, most of the time
they couldn't even agree on the volume of the
Best Bid/Offer (BBO) ... As for 5 levels deep :)
I've maintained for a long time what a disservice
the exchanges are doing to themselves applying nil
quality control over their price disseminators.
Justin
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Steve Gibbons wrote:
I wondered if the Market Depth that you show coming direct from the CME
is the same information that J-Trader provides. They have a Depth Of
Market (DOME) feature. I often wondered if the data that J-Trader was
showing was just what was going on with that particular broker, or is it
the whole market? Some of numbers I've seen on J-Trader look a bit on
the low side for it to be the whole market.
Steve
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