[BlowFish]

You will have to make assumptions that's true enough. If you get 300 1 lot trades all at exactly the same time (as reported by the API) it seems a reasonable to re bundle them. (with zen/ninjs I was surprised to find this happen quite a lot) .

Actually you could argue we are not really assuming anything....it is just easier to digest this on the tape as 300@xxx. Actually it is pretty much impossible to digest it all unless you do aggregate it. Essentially since the changes at CME it is impossible to read the tape (time and sales) without as prints (on some instruments) will scroll faster than the eye can see (let alone the brain process.

Negotiator, exactly you have no other real possibility other than setting a 'delta time' threshold. I'm not really inclined to program it at the moment (I do have urges to program now and then!). It really is pretty trivial though (not quite so sure about the displaying things in a scrolling grid). Having said that Ninjas sample code for OnMarketData displayed on a grid I think.

[TheNegotiator]

Well keep us all updated if you fancy a crack at it some time!

[formulaxtrader]

Originally Posted by Jleon »

The programmer was updating my site over the weekend. It should be up and running now.

Pardon me but what is your website address?

Thank you.