Matching orders

[telbentel]

Hi everybody,

I have a doubt and maybe you can solve it or give me some help. Here is my question:

Let´s suppose there is an ask price X an in that price there is a volume to be satisficed of 30 contracts due to 30 limit orders of 1 contract each, and in that moment, a single market buy order of 20 contracts arrives. This last order will be completely and immediately executed at the ask price X, filling 20 of pending orders.

In that moment, what I would receive in OnMarketData 20 events type last of volume 1 and price x, or 1 event type last with volume 20 and price x, or maybe both. If none, how can I know that the market order that arrived filled the 20 pending orders.

Thanks for any help.

[NinjaTrader_Bertrand]

telbentel, I guess I'm not really clear what type of feedback you're looking for from the OnMarketDate(), it will transmit every Level 1 change (bid, ask, last) - in your scenario you would likely see a combination of events, as it would also depend on how your provider aggregates the data they sent out. If you look for a direct fill confirmation of your market order, try checking the IOrder fillstates returned -

http://www.ninjatrader-support.com/H...V6/IOrder.html

[telbentel]

Hi again,

I will try to clarify more what I'm looking for.

First of all, these won't be my orders. Orders will pending in the bid or the ask queue, as bid or ask volume available at a certain price due to limit orders placed before, and then, a big market order will arrive to the market and this big order gets filled with part of the volume available at that price.

IOrder is not useful, because orders have not been placed by me.

What happens when the big market order arrives. If it get filled with pending orders in the queue (let's say pending limit sell orders and a big buy market order arrives) what events onmarketdata or onmarketdepth will everybody receive, a single OMD event, type last, at the price the big order got filled with the volume of the big order, or several events of type last (one for each small pending order) with the same price and with the volume of each small pending order, or maybe both messages (the one with the big volume and the ones with the small volumes).

I want to know if the decrese in the bid or the ask is due to a single order or to more than one order.

thanks in advance

[NinjaTrader_Bertrand]

telbentel, you could unfortunately not dissect how the providers sends their data out, if it's aggregated it could appear as one block, if not you would see the individual trades printing as on the time and sales. You need to study your data received to analyze which conclusions to draw from it.

[telbentel]

I'm using zenfire as data provider, any idea how they provide this info?

[NinjaTrader_Brett]

Hello,

Zenfire provides this information tick by tick.

Let me know if I can be of further assistance.

[telbentel]

but in the example I use before, using zenfire, that order will be reflected as only one event type last with the whole volume, or several events (one for each order pending filled with the volume of that order that was pending)?

[NinjaTrader_Bertrand]

I would believe you see all trades non-aggregated with ZenFire, provided you're on latest NT7 RC1 (B23) and have resetup the ZenFire connection fresh to use the most up to date server points.

Thanks,