Level II question...

[jerome]

Hi,

How can i get the number of placed orders (not the total volume) at each bid/ask levels from level two market data ?

[NinjaTrader_Matthew]

jerome,

You would have to use OnMarketDepth() to get the level II data:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?welcome_to_productname_version.htm

Please see our Reference Sample on Building your own Level II Book for more information:

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

[jerome]

Thanks for your quick reply Matthew.

I've already seen the OnMarketDepth sample & the help guide, but i didn't find anything concerning my issue.
well, i'm gonna try again...

[NinjaTrader_Matthew]

jerome,

Can you then clarify what you mean by the number of placed orders and not the volume?

When you say volume do you mean the real-time executed volume? Are you looking for the resting orders at additional price levels?

For example if you go to File--> New--> Level II, please give me an idea of what information displayed here you would like to extract.

[jerome]

"When you say volume do you mean the real-time executed volume?"

No, i mean the real-time size of each bid/ask rows available.

well, to clarify "placed orders", for example: ES current ask size is 100, 10 pending orders of 10 shares

Is the "orders" information available in real time ? I didn't find it in the level II window, so, i guess it's not...

[NinjaTrader_Matthew]

jerome,

Unfortunately, this level of data is not avaialble form a L2 stream. It would not be possible to extract this information.

[jerome]

thanks for your help and quick replys Matthew...