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Re: updateMktDepthL2 missing data points


 

Can you add 'operation' in your csv ?
I assume your 'bid' = IB 'side', correct ?


It is MANDATORY to use operation? to manage and ensure the integrity of your entries, otherwise you might very well end up receiving request to update a row you didn't inserted. Or insertion or a row you never removed (duplicate), doesn't explain your figures but area to consider
because what is surprising is to see entries with price =0 and volume = 0.

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