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epam / java-cme-mdp3-handler

Java Market Data Handler for CME Market Data (MDP 3.0)
GNU Lesser General Public License v3.0
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MBP Order Book is incorrectly constructed after Step2 in CME AutoCert test "Channel Reset for Market by Price" #30

Open GayaneD opened 7 years ago

GayaneD commented 7 years ago

MBP Order Book is incorrectly constructed after Step2 in CME AutoCert test "Channel Reset for Market by Price".

"Channel Reset for Market by Price" steps are: Step1: Confirm books are empty for the selected instruments. Step2: Receive market data for a set of orders.

Expected MBP Order Book: Order Book 0ZQZ7 : Bid : 61@9877.5 (2), 212@9877 (2), 113@9876.5 (2), 152@9876 (2), 89@9875.5 (1) Ask : 87@9878.5 (1), 75@9879 (1), 49@9879.5 (1), 57@9880 (1), 85@9880.5 (1)

Actual MBP Order Book: [INFO ] 2017-09-20 16:16:35.217 [main] MBOWithMBPMain - MBP Book for '998080' 1 - bid['9877.5' - '61' == '2'] ask['9878.5' - '87' == '1'] 2 - bid['9877.0' - '212' == '2'] ask['9879.0' - '75' == '1'] 3 - bid['9876.5' - '113' == '2'] ask['9879.5' - '49' == '1'] 4 - bid['9876.0' - '152' == '2'] ask['9880.0' - '57' == '1'] 5 - bid['9875.5' - '89' == '1'] ask['9880.5' - '85' == '1'] 6 - bid['9870.5' - '28' == '1'] ask['9.223372036854775E11' - '0' == '0']

UDP dump files are attached: UDP_Dump.zip