OnMarketDepth()

[funk101]

The eventArgs have e.Operation == Operation.Remove, Operation.Update, etc.
Assuming the current price of a contract is 949.00 and the orderbook shows there is 400 offered at 950.25 and then all of sudden there's 300 offered at 950.25, does that mean that someone has cancelled 100 at 950.25? And is that what Operation.Remove would show? or Update?

[NinjaTrader_JoshP]

That would be an update. Operation.Remove is when you completely remove the price from the ladder. Update just updates something already on the ladder. Insert would be to add a price to the ladder. As far as why it would update the price, it could very well mean someone cancelled.

[NetTecture]

The eventArgs have e.Operation == Operation.Remove, Operation.Update, etc.
Assuming the current price of a contract is 949.00 and the orderbook shows there is 400 offered at 950.25 and then all of sudden there's 300 offered at 950.25, does that mean that someone has cancelled 100 at 950.25? And is that what Operation.Remove would show? or Update?

Getting more technically (as basically the support answer is short).

* Change can mean:
- someone cancelled.
- someone added new orders
- an order changed in size
- a trade executed at that price (as: every fill not only fills the order, it also changes the outstanding amount still to be filled, which is shown in the ladder).

* Remove means:
- no more price at that point. THis can be because of a move of best bid/ask, as the ladders are not indefinite in depth. So, elements "falling off" the long side (like 11th element on CME, which publishes ticks deep) get removed when the price moves.