Ever since the switch to the new API I noticed some odd behavior with bid/ask. It seems there is some default value the ask goes to when some condition happens. Here’s a sample from my raw feed. Notice how 33.50 just shows up out of nowhere only to go back to “real” (?) ask value.
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 30.66 / 1
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 30.67 / 1
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 30.67 / 3
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 30.66 / 1
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 30.67 / 2
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 30.66 / 1
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 30.67 / 2
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:15:48 SPCE bid: 30.00 / 2 ask: 30.67 / 1
[STDOUT] 2021-03-04 11:15:49 SPCE bid: 30.00 / 2 ask: 30.66 / 1
[STDOUT] 2021-03-04 11:15:49 SPCE bid: 30.00 / 2 ask: 30.67 / 2
[STDOUT] 2021-03-04 11:15:49 SPCE bid: 30.00 / 2 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:15:49 SPCE bid: 30.00 / 2 ask: 30.67 / 1
[STDOUT] 2021-03-04 11:15:50 SPCE bid: 30.00 / 2 ask: 30.65 / 1
[STDOUT] 2021-03-04 11:15:50 SPCE bid: 30.00 / 2 ask: 30.67 / 2
[STDOUT] 2021-03-04 11:15:50 SPCE bid: 30.00 / 2 ask: 30.67 / 3
[STDOUT] 2021-03-04 11:15:50 SPCE bid: 30.00 / 2 ask: 30.67 / 5
[STDOUT] 2021-03-04 11:15:50 SPCE bid: 30.00 / 2 ask: 30.67 / 3
[STDOUT] 2021-03-04 11:15:50 SPCE bid: 30.00 / 2 ask: 30.67 / 1
[STDOUT] 2021-03-04 11:15:55 SPCE bid: 30.00 / 2 ask: 30.65 / 2
[STDOUT] 2021-03-04 11:15:55 SPCE bid: 30.00 / 2 ask: 30.65 / 3
[STDOUT] 2021-03-04 11:15:55 SPCE bid: 30.00 / 2 ask: 30.64 / 2
[STDOUT] 2021-03-04 11:15:55 SPCE bid: 30.00 / 2 ask: 30.64 / 3
[STDOUT] 2021-03-04 11:15:55 SPCE bid: 30.00 / 2 ask: 30.64 / 1
[STDOUT] 2021-03-04 11:15:55 SPCE bid: 30.00 / 2 ask: 30.63 / 1
[STDOUT] 2021-03-04 11:15:55 SPCE bid: 30.00 / 2 ask: 30.63 / 3
[STDOUT] 2021-03-04 11:15:55 SPCE bid: 30.00 / 2 ask: 30.63 / 1
[STDOUT] 2021-03-04 11:15:55 SPCE bid: 30.00 / 2 ask: 33.50 / 1
and here’s another log fragment from few minutes later,… same thing:
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.14 / 3 ask: 31.19 / 2
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.14 / 3 ask: 31.19 / 2
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.14 / 3 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.14 / 3 ask: 31.21 / 2
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.14 / 3 ask: 31.21 / 3
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.17 / 1 ask: 31.21 / 3
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.17 / 1 ask: 31.21 / 1
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.17 / 1 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.17 / 1 ask: 31.21 / 2
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.17 / 1 ask: 31.21 / 3
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.17 / 3 ask: 31.21 / 3
[STDOUT] 2021-03-04 11:42:00 SPCE bid: 31.17 / 3 ask: 31.21 / 1
[STDOUT] 2021-03-04 11:42:01 SPCE bid: 31.17 / 3 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:42:01 SPCE bid: 31.17 / 3 ask: 31.21 / 1
[STDOUT] 2021-03-04 11:42:01 SPCE bid: 31.17 / 3 ask: 31.21 / 1
[STDOUT] 2021-03-04 11:42:01 SPCE bid: 31.17 / 3 ask: 31.21 / 3
[STDOUT] 2021-03-04 11:42:01 SPCE bid: 31.17 / 3 ask: 31.21 / 1
[STDOUT] 2021-03-04 11:42:01 SPCE bid: 31.17 / 3 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:42:01 SPCE bid: 31.17 / 3 ask: 31.21 / 2
[STDOUT] 2021-03-04 11:42:01 SPCE bid: 31.17 / 3 ask: 31.21 / 3
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.17 / 3 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.17 / 3 ask: 31.21 / 1
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.17 / 3 ask: 31.21 / 3
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.16 / 2 ask: 31.21 / 2
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.16 / 2 ask: 31.21 / 2
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.16 / 2 ask: 31.22 / 2
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.16 / 2 ask: 31.22 / 3
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.16 / 2 ask: 31.22 / 1
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.15 / 2 ask: 31.22 / 1
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.15 / 3 ask: 31.22 / 1
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.17 / 3 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:42:02 SPCE bid: 31.17 / 3 ask: 31.21 / 1
[STDOUT] 2021-03-04 11:42:03 SPCE bid: 31.17 / 3 ask: 31.21 / 3
[STDOUT] 2021-03-04 11:42:03 SPCE bid: 31.17 / 3 ask: 31.21 / 3
[STDOUT] 2021-03-04 11:42:03 SPCE bid: 31.17 / 3 ask: 31.21 / 1
[STDOUT] 2021-03-04 11:42:03 SPCE bid: 31.17 / 3 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:42:03 SPCE bid: 31.19 / 1 ask: 33.50 / 1
[STDOUT] 2021-03-04 11:42:03 SPCE bid: 31.19 / 1 ask: 31.21 / 2
[STDOUT] 2021-03-04 11:42:03 SPCE bid: 31.19 / 1 ask: 31.21 / 3
That value is different every day but it remains the same throughout the day no matter where “the real” bid/ask goes that day. Seems odd and feels like a bug.