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Total Posts: 38
Joined: Feb 2019
Posted: 2019-11-04 15:45
Hello people,

Thanks for the help on my last question. I am now underway to build the order book, but I am stuck at a particular spot. I am trying to determine the bid/ask spread and volume immediately after the uncross. I have the full history of opening NOII messages for the day.

I understand how to find the side of the spread that "has the imbalance", if you catch my drift. For example consider the following NOII message(last one sent out before the uncross):

{pairedQuantity: 6974, imbalanceQuantity: 931, imbalanceSide: B, equilibriumPrice: 186.7}

Here, we have a buy side imbalance, and so I believe we can assume the best bid price/volume will be 186.7/931. However, how can I determine the best ask price/volume? I've been trying to understand this for a while but I can't seem to get it Hammertime


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