OnMarketDepth callback

[CraigC]

Hi Dierk,
I'm not sure anything is needed but to induce a level 2 data subscription from TWS. It seems to occur when the market is starting and/or stopping, for example the last error happened when the Aus. SPI futures session closed at 6:30 my time. I will keep monitoring to see if I can get something more concrete.

[CraigC]

I have been working with the market depth callback some more, all that is needed to re-create the problem is a do-nothing strategy that overloads the market depth callback. I can't leave any strategy running using this callback for any length of time before I get some sort of error (as above) and/or NT basically grinding to a halt due to VM usage, all rather frustrating really.

[NinjaTrader_Dierk]

Looks like TWS communication get out of sync for some reason. I'm our of ideas here.