I'm using the Level II code direct from the NT7 sample provided here : http://www.ninjatrader.com/support/f...7&d=1305216647
On ZN futures I am experiencing the occasional missing level in the price ladder, and some duplicate levels. For instance, here is some of the debugging code printing out the Level II book, one price is missing and another is duplicated.
132'035 not found in level II ladder for the TrailStop!! Taking no action. Level II book is this:
Ask Book:
Ask Price 5 =132'060 Volume=3058
Ask Price 4 =132'055 Volume=2350
Ask Price 3 =132'050 Volume=2391
Ask Price 2 =132'045 Volume=2757
Ask Price 1 =132'040 Volume=2473
Ask Price 0 =132'030 Volume=25
Bid Book:
Bid Price 0 =132'025 Volume=3034
Bid Price 1 =132'020 Volume=3262
Bid Price 2 =132'020 Volume=3402
Bid Price 3 =132'015 Volume=2320
Bid Price 4 =132'010 Volume=2403
Bid Price 5 =132'005 Volume=2199
Do you have any helpful suggestions? Remember this is the Ninja supplied Level II code at work here.
Many thanks,
saltminer
Comment