Minimal price increment and multiplier, and other Instrument properties

[velox]

Hello,
I want to get market depth feed for several instruments.
I use the following:

protected override void Initialize()
{

Add("ES 03-14", PeriodType.Second, 30);
Add("CL 03-14", PeriodType.Second, 30);
}

and then override the method:
protected override void OnMarketData(MarketDataEventArgs e)
{}

My question is how and at which stage can I get the minimal price increment (tick), and price multiplier for each instrument? For example, ES, and CL have tick/multiplier 0.25 50, and 0.01 1000 correspondingly.

In addition, is it possible to know how many levels of depth are transmitted?

Thank you!

[NinjaTrader_CalH]

Hello Volex,

Thank you for your note.

To get the Point Value you can use Instrument.MasterInstrument.PointValue
For the tick you can use TickSize but would want to filter out the instrument it came from such as BarsInProgress

http://www.ninjatrader.com/support/h...l?ticksize.htm
http://www.ninjatrader.com/support/h...inprogress.htm
http://www.ninjatrader.com/support/h...trument_po.htm

For market depth you may want to look into OnMarketDepth()
http://www.ninjatrader.com/support/h...arketdepth.htm

[velox]

Thank you!
I need one more property, the depth of the data. Some instruments receive 10 levels of depth, some 5, and so on. How to get this property from instrument's definitions?

[NinjaTrader_CalH]

Hello,

Take a look at the SampleMarketDepth from below -
http://www.ninjatrader.com/support/f...ead.php?t=3478

[velox]

Hello Cal,
Thanks for the link, but I didn't find this information there. I know how to manage order book, but I need to know the property of SecurityDefinition, called MarketDepth (FIX tag = 264).
CME
FIXimate

I know that MarketDepthEventArgs contains all necessary information to manage the order book of any depth. The reason I'm asking about MarketDepth is the following. I want to distinguish the case (e.Operation == Operation.Remove) when it occurs due to the limit of transmitted market depth (e.g. the last level removed because a new level added), or because the level was really removed by a trade or cancellation.

[NinjaTrader_CalH]

Hello Velox,

Operation.Remove is strictly called when the row is removed only.
For the FIX Tags, I believe there is no way to call or access that information. You would need to look into the data provider and if that kind of information can be accessed from their API.