Ok, help me to understand. I checked out your SampleMarketDepth code, and it uses OnMarketDepth() to display ladder, I checked out the ShowBidAndAsk indicator, which uses OnMarketData(). OnMarketData() shows me "lastPrice" and vol. OnMarketDepth() only shows bid and ask and vol. (according to data vendor, correct?) I'm using ZenFire/Amp. I wrote a script that shows me the "last price and vol" and I am running the 'SampleMarketDepth' ladder, AND I have the T&S window open. What I see is that the MarketDepth volume coincides with T&S volume and MarketData cannot keep up with the amount of sales that's scrolling by. For example, if T&S spits out 3 rows of contracts traded at ES 1207.75 with vols
like: 8, 5 and 10, the vol from MarketData() will only show the 10 contracts, and not all three. Or is it going sooo fast that I'm not able to see it?
like: 8, 5 and 10, the vol from MarketData() will only show the 10 contracts, and not all three. Or is it going sooo fast that I'm not able to see it?
Comment