Attention!

funk101 · 09-23-2008, 02:42 AM

Ok, help me to understand. I checked out your SampleMarketDepth code, and it uses OnMarketDepth() to display ladder, I checked out the ShowBidAndAsk indicator, which uses OnMarketData(). OnMarketData() shows me "lastPrice" and vol. OnMarketDepth() only shows bid and ask and vol. (according to data vendor, correct?) I'm using ZenFire/Amp. I wrote a script that shows me the "last price and vol" and I am running the 'SampleMarketDepth' ladder, AND I have the T&S window open. What I see is that the MarketDepth volume coincides with T&S volume and MarketData cannot keep up with the amount of sales that's scrolling by. For example, if T&S spits out 3 rows of contracts traded at ES 1207.75 with vols
like: 8, 5 and 10, the vol from MarketData() will only show the 10 contracts, and not all three. Or is it going sooo fast that I'm not able to see it?

NinjaTrader_Josh · 09-23-2008, 08:40 AM

OnMarketData() shows level I. OnMarketDepth() shows level II. OnMarketData() will only print out what comes out for L1 data.

09-23-2008, 02:42 AM	#1
funk101 Senior Member Join Date: Jan 2006 Location: Margate, Florida, USA Posts: 426 Thanks: 0 Thanked 2 times in 2 posts	OnMarketData vs OnMarketDepth... Ok, help me to understand. I checked out your SampleMarketDepth code, and it uses OnMarketDepth() to display ladder, I checked out the ShowBidAndAsk indicator, which uses OnMarketData(). OnMarketData() shows me "lastPrice" and vol. OnMarketDepth() only shows bid and ask and vol. (according to data vendor, correct?) I'm using ZenFire/Amp. I wrote a script that shows me the "last price and vol" and I am running the 'SampleMarketDepth' ladder, AND I have the T&S window open. What I see is that the MarketDepth volume coincides with T&S volume and MarketData cannot keep up with the amount of sales that's scrolling by. For example, if T&S spits out 3 rows of contracts traded at ES 1207.75 with vols like: 8, 5 and 10, the vol from MarketData() will only show the 10 contracts, and not all three. Or is it going sooo fast that I'm not able to see it?
	Facebook Twitter YouTube

09-23-2008, 08:40 AM	#2
NinjaTrader_Josh NinjaTrader Product Manager Join Date: May 2007 Location: Denver, CO Posts: 17,458 Thanks: 1 Thanked 106 times in 70 posts	OnMarketData() shows level I. OnMarketDepth() shows level II. OnMarketData() will only print out what comes out for L1 data. Josh NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
	Facebook Twitter YouTube

Thread Tools
Show Printable Version Email this Page
Display Modes
Switch to Linear Mode Hybrid Mode Switch to Threaded Mode

Similar Threads
Thread	Thread Starter	Forum	Replies	Last Post
OnMarketDepth()	SystemTrading	Strategy Development	5	09-04-2008 08:35 AM
OnMarketDepth callback	CraigC	General Programming	17	06-30-2008 11:34 PM
Bug in OnMarketDepth	maxima	Indicator Development	2	05-05-2008 02:44 PM
OnMarketDepth details	ct	General Programming	5	11-30-2007 06:01 AM
Play beep OnMarketDepth	MrBaffalo	Indicator Development	4	11-19-2007 10:39 PM