How to use Level2 data in a my indicator

[agafon2]

Hello
Can you dive me an information about how to use a data from DOM (Level 2 data) in my indicator.
For example, the current price is 15.00 and i want to get an information about quantity of orders on 15.02 price level from DOM - how to do it?

[NinjaTrader_Matthew]

Hello,

You can use OnMarketDepth in order to obtain this information:

http://www.ninjatrader.com/support/helpGuides/nt7/onmarketdepth.htm

We have a reference sample which shows how to obtain information from the market depth collection:

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

[Rhyshaelkan]

Cumulative Market Depth

I will use this thread for a followup question.

Using the position and volume methods under marketdeptheventargs. Is it possible to get a cumulative value, say 5 positions in depth for both Bids and Asks. To see which is greater than the other? Perhaps even, Bids are 10% greater than Asks, therefore do this or that.

Been so long since I wrote my last scripts and my last computer crashed. Any help in how this might be coded would be appreciated.

Thanks,
Rhy.

[NinjaTrader_CalH]

Hello Rhy,

Yes, you would be able to accomplish this. We do have a reference sample on how to build your own level 2 data book. This would be a good start to seeing how Market Depth works with the script -
http://www.ninjatrader.com/support/f...ead.php?t=3478