epam / epam/java-cme-mdp3-handler
MBP Order Book is incorrectly constructed if Implied Order Book isn’t empty
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- Java
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Description
MBP Order Book is constructed incorrectly if Implied Order Book isn’t empty.
Here are the correct values for MBP Order Book and Implied Order Book:
>
**Order Book 2ZQH0 :**
Bid : 75@9827.5 (1), 85@9827 (1)
Ask : 180@9830 (2), 102@9830.5 (2)
**Implied Order Book 2ZQH0 :**
Bid : 85@9828, 2@9827.5
Ask : 49@9830, 30@9830.5
>
And here are the actual values for MBP Order Book.
Please pay also attention to the value for the "number of orders" - '2147483647' which is not correct.
>
[INFO ] 2017-09-07 13:10:07.743 [main] MBOWithMBPMain - **MBP Book for '998152'**
1 - bid['9827.5' - '75' == '1'] ask['9830.0' - '49' == **'2147483647'**]
2 - bid['9827.0' - '85' == '1'] ask['9830.5' - '30' == **'2147483647'**]
3 - bid['9826.5' - '72' == '1'] ask['9828.0' - '85' == **'2147483647'**]
4 - bid['9.223372036854775E11' - '0' == '0'] ask['9827.5' - '2' == **'2147483647'**]
5 - bid['9.223372036854775E11' - '0' == '0'] ask['9830.0' - '180' == '2']
6 - bid['9.223372036854775E11' - '0' == '0'] ask['9830.5' - '102' == '2']
>
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