As I understand it the globex reports a trade if someone hits the bid with 100 contracts is to split this up for each bidder that filled it. This is not good for any indicator trying to track large trades. Is there any way to use a time stamp to reconstruct the real order size?
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Hi andy2001,
You can work with OnMarketData to monitor for changes to bid / ask / last and volume associated with each.
Monitoring "last" is what you see reported in the Time and Sales window. There isn't anything additional to OnMarketData to monitor a stream of filled trades. If the trade reporting you are concerned about happens upstream, I'm not aware of a way to catch it within NinjaTrader.Ryan M.NinjaTrader Customer Service
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