e.Operation

[:::grimReaper:::]

1. Can someone please explain what e.Operation (and .Add, .RemoveAt, .Insert) means and its purpose? I looked at the sample depth strategy, and was wondering why we can't simply say:

for (int i = 0; i < e.MarketDepth.Bid.Count; i++){
      myBidRows[i].Price = e.MarketDepth.Bid[i]  //where myBidRows is a list of LadderRows
}

under OnMarketDepth.


2. Also, I was looking at the sample depth strategy and was wondering where askRows updated. I see rows = askRows and changes made to rows, but I don't see askRows = rows, or for that matter, askRows = [anything] anywhere.

Thanks!

[NinjaTrader_Joydeep]

Hello :::grimReaper:::,
The Operations are performed in terms of price. Say, bid price at position 1 is at 1450. Now if the price remains at 1450 however the volume changes then an Update operation will be done. However if the price changes at position 2 then a Remove operation and a Insert operation will be performed.

You may further test the following code to understand it

protected override void OnMarketDepth(MarketDepthEventArgs e)
{
	if (e.MarketDataType == MarketDataType.Ask)
	{
		if (e.Position == 1 && e.Operation != Operation.Update)
		Print(e.Operation.ToString() + " Price " + e.Price.ToString() + "   " + e.Volume.ToString() + "  Position   " + e.Position.ToString());
	}
}

2. Are you referring to this sample code.

http://ninjatrader.com/support/forum/showthread.php?t=3478

If so then the below code in the indicator makes sure that if any value is added/removed etc then it will be relected in the orther object too.

rows = askRows;

It is how OOPs works. This is more of a C# query and beyond what we could support.

[:::grimReaper:::]

Thanks Joydeep,

The Operations are performed in terms of price. Say, bid price at position 1 is at 1450. Now if the price remains at 1450 however the volume changes then an Update operation will be done. However if the price changes at position 2 then a Remove operation and a Insert operation will be performed.

So the only purpose is efficiency (and no other purpose)?

If so, why doesn't OnMarketDepth perform the for loop I described above when OnMarketDepth is called the very first time? This way, bidRows and askRows is populated for every price available, rather than adding one row at at time (which causes the list count to change, instead of remaining fixed).

If so then the below code in the indicator makes sure that if any value is added/removed etc then it will be reflected in the other object too.

rows = askRows;

I understand that changes in askRows will now be reflected in rows, but OnBarUpdate uses askRows:

Print("Ask Book");
				for (int idx = 0; idx < askRows.Count; idx++)
					Print("Ask Price=" + askRows[idx].Price + " Volume=" + askRows[idx].Volume + " Position=" + idx);

and I don't see askRows being updated anywhere (e.g askRows = ), despite that OnMarketUpdate seems to modify rows.

[NinjaTrader_Joydeep]

Hello :::grimReaper:::,
It is also done to reflect the true depth. For example if there are 3 positions (particularly true for a illiquidity instrument) then the list should reflect 3 counts and not 5 or 10 counts (depending on how many depth your data provider provides).




If you try the below code in a new indicator then what values are you gettiing

//in variable

List<int> i = new List<int>();

//in OnBarUpate

Print(i.Count.ToString());
List<int> ii = i;
ii.Add(1);
Print(i.Count.ToString());

[:::grimReaper:::]

If you try the below code in a new indicator then what values are you gettiing

//in variable

List<int> i = new List<int>();

//in OnBarUpate

Print(i.Count.ToString());
List<int> ii = i;
ii.Add(1);
Print(i.Count.ToString());

1,1,2,2,3,3

I see now. rows and bidRows point to the same object, so they both get updated when only one of them updates the object. Thanks.