Posted: Jul 16, 2013 @ 03:45 AM             Msg. 1 of 2

We are noticing a problem with EUREX market depth data using the standard API.

If you have a look at this image:
http://www.sierrachart.com/image.php?l=1373960204802.png

Notice on the Ask side, Level 2 and level 6 have the same price value. This is counting from 1 from the top. There are other issues we notice as well.

This is the code that we use when we get an OnDOMChanged call.

for (int Level = 0; Level < max (10,MAX_NUM_DOM_LEVELS); ++Level)
{
if (Level < Contract->DOM->BidLevels->Length)
p_SymbolData->m_BasicData.BidDOM[Level].Price = (float)(Contract->DOM->BidLevels[Level] * PriceMultiplier);

if (Level < Contract->DOM->BidSizes->Length)
p_SymbolData->m_BasicData.BidDOM[Level].Volume = Contract->DOM->BidSizes[Level];

if (Level < Contract->DOM->AskLevels->Length)
p_SymbolData->m_BasicData.AskDOM[Level].Price = (float)(Contract->DOM->AskLevels[Level] * PriceMultiplier);

if (Level < Contract->DOM->AskSizes->Length)
p_SymbolData->m_BasicData.AskDOM[Level].Volume = Contract->DOM->AskSizes[Level];
}

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Thank You,
Sierra Chart Engineering

Posted: Jul 16, 2013 @ 12:02 PM             Msg. 2 of 2

We couldn't reproduce the issue, but will continue watching.

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Victor Vins
Lead Software Developer