This is my first post in here, so please be gentle. I'm new to NT and come to it from a Python coding background.
I've got a fairly simple requirement (I think) but am stumped by my current lack of C# experience; am sure some of you more experienced guys and gals will have no problem pointing me in the right direction.
I'm using OnMarketData() so that I can capture each update of the level 1 data as it is streamed live. I would like to capture a rolling X minute window of these bid and ask updates, and then perform some calculations on this window of data.
In Python I would construct a timestamp-indexed pandas dataframe for this job. I'd then contribute the incoming bid and ask updates to this dataframe. I could then timeslice the dataframe using something like:
[ (timestampOfLastTick - X minutes) : timestampOfLastTick]
to get my X-minute window and then perform the calculations I need before the next tick update comes in from OnMarketData()
What is the equivalent and correct way to approach this in NT and C# ?
Thanks in advance for your thoughts.
AhabMD
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