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penberg / helix

Helix, a market data feed handler for C and C++.
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check for crossed market #10

Closed ghost closed 8 years ago

ghost commented 9 years ago

as a test of correctness would be great to do assert(best bid < best ask)

ghost commented 9 years ago

i did it in helix-trace maybe in other places it'd be useful also

penberg commented 8 years ago

That assertion is not a good correctness test because it is only true during continuous trading hours after uncross for NASDAQ OMX Nordic market model, for example.