Reading Missing Levels in SIMNOW Gold Tick Data
Summary
A trader reports that a SIMNOW simulated-market subscription for gold futures returned a plausible best bid and ask, but apparently invalid values for deeper order-book levels. The example shows first-level prices and quantities alongside zero quantities and a very large floating-point sentinel in several second-through-fifth-level prices. This pattern is consistent with unavailable or unpopulated depth fields, rather than evidence that those extreme values are executable quotes.
The post is a question, not a confirmed diagnosis: it does not establish whether the cause is the SIMNOW feed, the instrument’s available depth, a gateway mapping issue, or how the receiving application represents missing values. It offers no fix or comparison across feeds. For research and trading systems, the practical lesson is to validate each depth level and treat sentinel values and zero-size levels as potentially missing data before using them in execution logic or market-microstructure analysis.
Key ideas
- A plausible best bid and ask can coexist with unavailable deeper book levels.
- Extremely large floating-point prices may be missing-value sentinels rather than valid quotes.
- The example does not identify whether the cause lies in the feed, gateway, or data handling.
- Validate depth fields before using them in execution or order-book analysis.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.