I'm trying to analyze what happens on the ladder across various instruments, so I started recording marketdepth events through ninja.
What I don't understand is how the process of registering the events works:
1) Operation "Insert" means a NEW Bid/Offer has been put on the ladder where previously was "blank"
2) Operation "Update" means the Volume of Bid/Offer is updated where there was already a Bid or an Offer
3) Operation "Remove" ? This should tell that a Bid/Offer has been pulled from the ladder but if I record this event it doesn't say which price was pulled.
Can you please clarify? For your benefit please see below a quick extract of market depth this morning of 6A
A;07/03/2013;08:14:29;29;0;Ask;Update;1.0245;28
6A;07/03/2013;08:14:29;29;0;Bid;Update;1.0244;34
6A;07/03/2013;08:14:29;29;0;Ask;Update;1.0245;27
6A;07/03/2013;08:14:29;29;0;Bid;Update;1.0244;35
6A;07/03/2013;08:14:29;29;0;Ask;Update;1.0245;16
6A;07/03/2013;08:14:25;25;0;Ask;Update;1.0246;61
6A;07/03/2013;08:14:29;29;0;Ask;Update;1.0245;6
6A;07/03/2013;08:14:29;29;0;Ask;Remove;0;0
6A;07/03/2013;08:14:29;29;0;Ask;Insert;1.025;175
6A;07/03/2013;08:14:29;29;0;Bid;Remove;0;0
6A;07/03/2013;08:14:29;29;0;Bid;Insert;1.0241;136
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