DOM tracking cancelled and added orders

[RedDuke]

Hello,

I am using OnMarketDepth method to analyze liquidity changes across bid and ask levels. My instrument is index futures. Is there anyway to track cancelled and added orders? Every operation that I get in this method is an update, and not remove or add. I am using IB as a broker.

Thanks,
redduke

[NinjaTrader_Lance]

Hello,

Unfortunately you would need access to level 3 data for this. As far as I am aware only market makers in the pit have access to this.

Let me know if I can be of further assistance.

[RedDuke]

Not sure what you mean by pit. I am talking about index futures like ES traded on cme. OnMarketDepth does have an ability to look at cancel and add, but all changes come through as update. Just wanted to find out how to figure out added or removed liquidity across bids and asks.

[NinjaTrader_Lance]

To verify, you're trying to track the orders canceled or added at the exchange level?

[RedDuke]

Ninja provides the following method:

protected override void OnMarketDepth(MarketDepthEventArgs e)
{
I want to use the following logic:

if (e.Operation==Operation.Insert)
do .....
else if (e.Operation==Operation.Remove)
do .....
else if (e.Operation==Operation.Update)
do .....
}

However, every change comes as Operation.Update.

What do I need to do to use Operation.Insert and Operation.Remove.

Thanks,
redduke

[sledge]

Not sure what you mean by pit. I am talking about index futures like ES traded on cme. OnMarketDepth does have an ability to look at cancel and add, but all changes come through as update. Just wanted to find out how to figure out added or removed liquidity across bids and asks.

https://www.google.com/search?q=cme+pit

[sledge]

Search the forums for Operation.Remove or Operation.Update for more posts about it.

http://www.ninjatrader.com/support/forum/showthread.php?t=56386&highlight=Operation.Remove

Ninja provides the following method:

protected override void OnMarketDepth(MarketDepthEventArgs e)
{
I want to use the following logic:

if (e.Operation==Operation.Insert)
do .....
else if (e.Operation==Operation.Remove)
do .....
else if (e.Operation==Operation.Update)
do .....
}

However, every change comes as Operation.Update.

What do I need to do to use Operation.Insert and Operation.Remove.

Thanks,
redduke

[RedDuke]

Hello,

I did a bit more digging on the forum, and found the following thread:

http://www.ninjatrader.com/support/forum/showthread.php?t=47016

It looks like my understanding of Operation.Remove is correct, and that IB feed to not send this event.

Can someone confirm it. Is there anything that can be done?

Thanks,
redduke

[NinjaTrader_Matthew]

You are correct that the update event is not sent from IB.

In order to get this information, you would need to use another data provider such as Kinetick. Otherwise you may consider more robust brokerage technologies such as Zen-Fire, CQG, etc.

[RedDuke]

Got, this makes sense now. Thanks a lot.