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Strategies & Market Trends : Level II Trading
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To: ExCane who wrote (257)2/27/1998 12:15:00 AM
From: Dan Duchardt  Read Replies (2) of 1086
 
Alex,

>>>Dominick-
We're getting there- to use your example, if there was a display of
what I mean, it would look like this-

GSCO 50 SBSH 50 1/8
TSCO 50 MASH 50 3/16
NITE 49 7/8 ISLD 50 1/4
ISLD 49 7/8 NITE 50 1/4
ISLD 49 3/4 ISLD 50 5/16

and so on. Anybody?<<<
-Alex

I apologize if my responses to your questions have been obscure. I guess I misinterpreted your comment about an ECN order "magically appearing" when another ECN order has been executed.

I'm not sure what Dominick intended by his reply, but in my experience using both PCQuote and Comstock with RealTick 3, level II displays only the BEST bid and BEST ask for each ECN. In you example, the ISLD bid at 49 3/4 and the ISLD offer at 50 5/16 would NOT appear on level II. You would only know they existed if you had another way to see inside the ISLD limit book, or as you say, after the better orders had been executed.

Dan
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