MarketDepthEventArgs clarification

[:::grimReaper:::]

I read through the Help Guide and couldn't arrive the answers.

1) What does Operation.Remove and Operation.Insert mean? Does this mean limit orders being removed or added?

2) Can you confirm Position of 0 refers to the best bid/offer.

3) What if I use both OnMarketData and OnMarketDepth and the top most bid updates. Do both OnMarkeData and OnMarketDepth get called? So if I wanted to handle all limit order data in OnMarketDepth, could I write:

if (e.MarketDataType == MarketDataType.Bid) { return; }

under OnMarketData

then under OnMarketDepth write:

if (e.MarketDataType == MarketDataType.Bid && e.Position == 0 && e.Operation == Operation.Update)
{ //do stuff}

Thanks.

[NinjaTrader_Lance]

Hello,

I read through the Help Guide and couldn't arrive the answers.

1) What does Operation.Remove and Operation.Insert mean? Does this mean limit orders being removed or added?

Yes this means an order is being added or removed (limit, stop, stop-limit...)

2) Can you confirm Position of 0 refers to the best bid/offer.

Can you please clarify what Position you are referring to?

3) What if I use both OnMarketData and OnMarketDepth and the top most bid updates. Do both OnMarkeData and OnMarketDepth get called? So if I wanted to handle all limit order data in OnMarketDepth, could I write:

if (e.MarketDataType == MarketDataType.Bid) { return; }

under OnMarketData

then under OnMarketDepth write:

if (e.MarketDataType == MarketDataType.Bid && e.Position == 0 && e.Operation == Operation.Update)
{ //do stuff}

Thanks.

They will both get called asynchronously. Could you please clarify what you mean by handle limit order data?

[:::grimReaper:::]

Yes this means an order is being added or removed (limit, stop, stop-limit...)

What do you mean by stop and stop limit? Are you saying I have access to stop and stop limit order data from the exchange? I use Zenfire. Thanks.

[NinjaTrader_Lance]

Hello,

What do you mean by stop and stop limit? Are you saying I have access to stop and stop limit order data from the exchange? I use Zenfire. Thanks.

Operation represents the action you should take when building a level two book.
Possible values are
Operation.Insert Operation.Remove
Operation.Update


These will not let you see the individual order type being sent to the exchange but are used to add/remove/update the bid/ask price.



I mentioned the different order types because I wanted to make clear that the orders could be of different types and would not be just limit orders.

Here is some sample code that might be of further help: http://www.ninjatrader.com/support/f...ead.php?t=3478

Please let me know if I can be of further assistance.