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Lets say we are receiving tradable FX market depth(bid/ask prices and amounts for each level) from several Liquidity Providers and we want to aggregate the market depths in to a single bigger market depth. It is possible to sort the bid prices descending and ask prices ascending to give the best price for each but in this case, max(bid) > min(ask) situation can occur.
Sorting the price lists as above seemed trivial to me. Can you suggest another method?
Thanks

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  • $\begingroup$ The fact that max(bid) > min(ask) is probably not a real market-based phenomenon but the result of a slight lag in getting information from some of the providers, i.e. a "non-simultaneity" problem. If at a certain price levels there are both bids and offers you then have to decide how to handle that... perhaps you might report the net (i.e algebraic sum). $\endgroup$ – noob2 Feb 10 '17 at 13:43
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Are these tradeable prices or indicative feeds from brokers? Or on different e-platforms? If they are tradeable, what other information do you have, like available size, period of validity...

All of that information is needed to tell you what those numbers mean. From indicative numbers you may only be able to get an indication, so significant analysis might be misleading.

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  • $\begingroup$ Brokers send these tradable prices including bid/ask prices and amounts are available for each level. Period of Validity is not available. $\endgroup$ – xyzt Feb 11 '17 at 8:20

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