OnMarketDepth metrics and bid/ask spread

[paolfili]

Is possible to make an indicator from OnMarketDepth metrics and visualize the Spread bid/ask ?

Ninja compile this code,but nothing other than 1 is visualized.
Can someone give me some suggestions?
I allegate the core fragment.

Thanks

Paolo

--------

namespace NinjaTrader.Indicator
{

[Description("Plots the Total of Buy and Sell Orders shown in the rows of the order book of an instrument.")]
//[Gui.Design.DisplayName("Spread Level")]

public class BidAskLevel: Indicator
{
#region Variables
// Wizard generated variables
int maxrows=10;
bool init =false;
double totAVol;
double totAVol1,totAVol2,totAVol3;
int idx1;
int idx2;
int AskDataType=0,BidDataType=0,InsertDataType=0,Updat eDataType=0,RemoveDataType;
double totBVol;
private DateTime lastRefresh;
// User defined variables (add any user defined variables below)
private long activeBar = -1;
private double buy = 0;
private string MM;
private double sell = 0;
private double delta = 0;

private bool showBidAskVolume = true;
private List<LadderRow> askRows = new List<LadderRow>();
private List<LadderRow> bidRows = new List<LadderRow>();
private double askTotY;
private double bidTotY;
private bool firstPaint = true;
private System.Collections.ArrayList alBuy = new System.Collections.ArrayList();
private System.Collections.ArrayList alSell = new System.Collections.ArrayList();
private System.Collections.ArrayList alDelta = new System.Collections.ArrayList();


#endregion

/// <summary>
///
/// </summary>
protected override void Initialize()
{

Add(new Plot(Color.Red, "DepthIns"));
Add(new Plot(Color.RoyalBlue, "DepthBid"));
Add(new Plot(Color.Yellow, "DepthUpd"));
Add(new Plot(Color.Cyan, "Spread"));


Add(new Line(Color.DimGray, 0, "zeroLine"));
Lines[0].Pen.DashStyle = DashStyle.Dash;
Lines[0].Pen.Width=2;


CalculateOnBarClose = false;
Overlay = false;
PriceTypeSupported = false;
PaintPriceMarkers = true;
AutoScale = true;
}

protected override void OnBarUpdate()

{

if(CurrentBar<3)return;
}


protected override void OnMarketDepth(MarketDepthEventArgs e)
{
// try, catch will handle any runtime errors, preventing the program from crashing
try{ // this { is the start of the area that is being monitored for errors
// there may be runtime errors when this starts up in NT7
{

List<LadderRow> rows = null;

// Checks to see if the event involves ask data
if (e.MarketDataType == MarketDataType.Ask)
{
rows = askRows;
AskDataType=+1;
}

// Checks to see if the event involves bid data
else if (e.MarketDataType == MarketDataType.Bid)
{
rows = bidRows;
BidDataType=+1;
}

if (rows == null) // event involves neither bid nor ask data
return;

#if NT7 // This switch will prevent the bracketed code from being compiled in NT6.5.
// In NT7, MUST explcitly create list rows before inserting into them, to prevent runtime error
{ // Could also have used the Add method but this is more fun.
if(rows.Count<4) //Create as many rows as you will need for your Level II data. I don't know if you can get more than 20.
{ idx1 =0;
for (idx1 = 0; idx1 < maxrows; idx1++)
{ //insert placholder objects of type LadderRowrows into the list
askRows.Insert(idx1, new LadderRow((int)0,(int) 0, ""));
bidRows.Insert(idx1, new LadderRow((int)0,(int) 0, ""));
}
}
}
#endif
// In NT7, insertion will fail if there is not already an empty row to insert into


// Checks to see if the action was an insertion into the ladder
if (e.Operation == Operation.Insert)
{
rows.Insert(e.Position, new LadderRow(0,(int) e.Volume, ""));
InsertDataType=+1;
}
/* Checks to see if data were removed from the ladder

-> check if e.Position is within valid range */
else if (e.Operation == Operation.Remove && e.Position < rows.Count)
{
rows.RemoveAt(e.Position);
RemoveDataType=+1;
}
/* Checks to see if the action was an update of data within the ladder
-> check if e.Position is within valid range */
else if (e.Operation == Operation.Update && e.Position < rows.Count)
{
rows[e.Position].Volume =(int) e.Volume; //VOLUME IS A DOUBLE IN NT7
UpdateDataType=+1;
}



try{
if(CurrentBar<3)return;


totAVol = 0;
totBVol = 0;
for (idx2 = 0; idx2 < maxrows; idx2++)
{
if(idx2<askRows.Count)totAVol += askRows[(int)idx2].Volume;
if(idx2<bidRows.Count)totBVol -= bidRows[(int)idx2].Volume;

Values[0].Set(InsertDataType);
Values[1].Set(BidDataType);
Values[2].Set(UpdateDataType);
Values[3].Set(askRows[(int)0].Price-bidRows[(int)0].Price);

}
} catch (Exception ex){

Print("Trapped exception in XXX OnMarketDepth" + ex.Message);
return;
}

}
} //This is the end of the region that is being monitored for runtime errors
catch (Exception ex){
// Following is what we do if there is an error, sure beats crashing the indicator
Print("Trapped exception in XXXX.OnMarketDepth: " + ex.Message);
return; //prevents the indicator from crashing
}
}

----

[NinjaTrader_Bertrand]

Unfortunately we could not debug the code posted for you - but why are you not using OnMarketData() (Level 1 info) or just straight GetCurrentBid / GetCurrentAsk() in the OnBarUpdate()? That would be much simpler for accessing the current spread.