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I have a days-worth of level 2 market data. I am calculating S&P500 index arbitrage. I have a few questions about the calculation:

1) Should I be summing all the bids and asks from the stocks separately and then do the discounting on the sum of the bids, discounting on the sum of the asks and then compare with the E-Mini future bid and ask- all separately? Or in contrast should I be using mid values throughout?

If I calculate the prices separately and (see question below) I ask for the best bid/ask of at least quantity 1 I end up getting stupid values like S&P500 total of all stock bids is 1687 but the ask sum is like 1200.

2) Related to the above, do you only choose the best "bid" (or "ask") dependent on the quantity available in the orderbook and if so, what quantity level do you choose to select the best bid/ask?

If there is an order with quantity 1 (which is many price levels away from the main liquidity) it can cause problems if I just ask for the "best" price level.

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