Yo somethings driving me a bit nuts. I'm using a WS collector and Telonex. I keep finding fills in the "on chain fills" telonex that I can't pick up on the live PM ws or on the "trades" database from telonex for a round. On my last analysis it was 20% of trades that weren't recorded.
Does that make any sense? Can the WS trade feed really be that bad?
Yo somethings driving me a bit nuts. I'm using a WS collector and Telonex. I keep finding fills in the "on chain fills" telonex that I can't pick up on the live PM ws or on the "trades" database from telonex for a round. On my last analysis it was 20% of trades that weren't recorded.
Does that make any sense? Can the WS trade feed really be that bad?
I'm comparing telonex to telonex in this case, but telonex seems to align with my live ws feed in terms of trade count when I include complement fills.
I'm comparing telonex to telonex in this case, but telonex seems to align with my live ws feed in terms of trade count when I include complement fills.
Seems to happen on deep fills that sweep a large number of prices in a short time.
Seems to happen on deep fills that sweep a large number of prices in a short time.
That makes random WS loss seem less likely.
If Telonex trades matches your live WS once complement fills are included, then this sounds more like an issue with how deep sweep fills are reconstructed/classified than dropped WS messages.
I’d bucket the missing fills by sweep depth / number of price levels crossed. And honestly, if you have Codex or Claude available, I’d hand it the scripts and let it trace the mismatch end-to-end
That makes random WS loss seem less likely.
If Telonex trades matches your live WS once complement fills are included, then this sounds more like an issue with how deep sweep fills are reconstructed/classified than dropped WS messages.
I’d bucket the missing fills by sweep depth / number of price levels crossed. And honestly, if you have Codex or Claude available, I’d hand it the scripts and let it trace the mismatch end-to-end
Thats what' I'm doing. Got claude handling all the analysis. The reason I caught it was that I had a real fill on my account that the telonex and my paper trader collector didn't catch, so I know it actually happened. And in that round you can see the deep sweep that got missed. It effectively dropped from like $0.8 to $0.73 in one big sweep and then recentered to $0.81 or so.
Thats what' I'm doing. Got claude handling all the analysis. The reason I caught it was that I had a real fill on my account that the telonex and my paper trader collector didn't catch, so I know it actually happened. And in that round you can see the deep sweep that got missed. It effectively dropped from like $0.8 to $0.73 in one big sweep and then recentered to $0.81 or so.
Looking like ~7% - 15% of fills not in the WS but on chain depending on the round.
Looking like ~7% - 15% of fills not in the WS but on chain depending on the round.
I’d have Claude isolate that exact window and compare on-chain fills vs WS/trades event by event around the sweep
I’d have Claude isolate that exact window and compare on-chain fills vs WS/trades event by event around the sweep
Yea that's what I'm looking at.
Yea that's what I'm looking at.
That should show whether it’s a feed gap, a reconstruction issue, or a complement-fill classification problem
That should show whether it’s a feed gap, a reconstruction issue, or a complement-fill classification problem
My feed matches the telonex feed, so I'm pretty confident we have the WS data that's available. My private feed obviously picks up the fill, but not the public feed.
My feed matches the telonex feed, so I'm pretty confident we have the WS data that's available. My private feed obviously picks up the fill, but not the public feed.
And I can see it in the data itself. No complements reported either.
And I can see it in the data itself. No complements reported either.
I mean, I see that there are complements, but not in that rapid sweep range.
I mean, I see that there are complements, but not in that rapid sweep range.
If you have any interest in seeing one round around a particular fill.
If you have any interest in seeing one round around a particular fill.
It's the $0.74 fill and the other fills between $0.78 and $0.73 that are on chain but not on ws.
It's the $0.74 fill and the other fills between $0.78 and $0.73 that are on chain but not on ws.
maybe best to try asking in <#766038567310065704>
maybe best to try asking in <#766038567310065704>
I pair it with internal collectors but both produce the same results. The fills match 100% on the rounds that I’ve monitored. Both miss fills picked up on chain (which telonex also has).
I pair it with internal collectors but both produce the same results. The fills match 100% on the rounds that I’ve monitored. Both miss fills picked up on chain (which telonex also has).