Exposed marketDepth Data Ask/Bid Arrays

[NJA_MC]

I am wondering how to access the marketdata arrays much like in this AddOn example within and Indicator/Strategy that uses the OnMarketDepth() function:

 
      public MyAddOnTab()
      {
           // Subscribe to market data. Snapshot data is provided right on subscription
           // Note: "instrument" is a placeholder in this example, you will need to replace          
           // with a valid Instrument object through various methods or properties available depending
           // on the NinjaScript type you are working with (e.g., Bars.Instrument or Instrument.GetInstrument()
           marketDepth = new MarketDepth<MarketDepthRow>(instrument);
           marketDepth.Update += OnMarketDepth;
      }
  
      // This method is fired on market depth events and after the snapshot data is updated.
      private void OnMarketDepth(object sender, MarketDepthEventArgs e)
      {
           // Print the Ask's price ladder
           for (int i = 0; i < marketDepth.Asks.Count; i++)
           {
                NinjaTrader.Code.Output.Process(string.Format("Position: {0} Price: {1} Volume: {2}", i,
                     marketDepth.Asks[i].Price, marketDepth.Asks[i].Volume), PrintTo.OutputTab1);
           }
      }

[NinjaTrader_MichaelM]

Hello NJA_MC,

Thank you for writing in. I will confirm whether this is or should be possible inside an indicator/strategy and if so what method would be preferred for accomplishing this. Please note: Our normal operating hours are between 8:30AM EST and 6:00PM EST Monday through Friday.

Thank you for your patience in the meantime.

[NinjaTrader_ZacharyG]

Hello NJA_MC,

You will be able to utilize that code in an indicator/strategy just as you do in an AddOn.

You'll want to place

marketDepth = new MarketDepth<MarketDepthRow>(instrument);
marketDepth.Update += OnMarketDepth;

in State == State.Defaults

Be aware, however, that this will not work with Market Replay; it will only work with live data.

Please, let us know if we may be of further assistance.