On Wed, Jun 2, 2021 at 03:31 AM, JR wrote:
he way I read the is that both price and size must be -1 to indicate missing data. That seems to be the necessary and sufficient condition.
Therefore, your case of a negative price is legitimate when the corresponding size is > 0.
Thanks JR, that does make sense.. I'm mostly doing algo work these days, so the size isn't something I've watched in quite some time..?
I do wish they came in on the same event though, so I could process this case before passing the price along in the system..? Alas, it's nearly 4am and it's been a long day.
-Peter
