OnMarketData

[blar58]

I am trying to understand how to extract bid and ask volume data.

Here is what I am trying to do :

protected override void OnMarketData(MarketDataEventArgs e)
{			
			
    if ((e.MarketDataType == MarketDataType.Ask))
    {
				
              int vol;
              if(AskOrderBook.TryGetValue(time, out vol))
             {
	    vol += e.Volume;
              }
              else
	          AskOrderBook.Add(time, e.Volume);
				
			
	}			
	else
	if ((e.MarketDataType == MarketDataType.Bid))
	{
	      int vol;
	       if(BidOrderBook.TryGetValue(time, out vol))
	       {
		vol += e.Volume;
	        }
	        else
	        BidOrderBook.Add(time, adjvolume);

	}	
}

The problem is that I am counting the volume twice.
For example 19 volume on bid.

When I print the result on the output windown I get :
19
19
added to the the BidOrderBook !

[cls71]

I am trying to understand how to extract bid and ask volume data.

The problem is that I am counting the volume twice.
For example 19 volume on bid.

When I print the result on the output windown I get :
19
19
added to the the BidOrderBook !

In the OnMarketData you are computing the BestAsk and BestBid prices.

However in the OnMarketDepth are computed the AskOrderBook[0] and BidOrderBook[0] prices. This data must match with BestAsk y BestBid received before or after (unfortunately the order is unpredictable) by OnMarketData method.

They are the same repeated data. This is the reason why you see duplicated them ((I guess you add the same data inside OnMarketDepth method).

[NinjaTrader_DaveI]

cls71 is correct -- I would recommend trying to capture market depth data in OnMarketDepth() rather than OnMarketData(). If you continue to see the same issue, can you please provide a complete sample script which will reproduce the issue, so that I can investigate further into exactly how your code is structured?

[blar58]

Thank you guys,


I will rework this with On Market Depth !

Will post my results

Thanks !