Time and Sales

[Yandychang]

I'm interested in working with the information on Time and Sales, is there a sample code available?

[NinjaTrader_DaveI]

Hello,

It is possible to work with market depth data in the OnMarketDepth() event. You can pull any state contained within a MarketDepthEventArgs object. For more information on working with market depth, please see the links below:

http://www.ninjatrader.com/support/h...arketdepth.htm

http://www.ninjatrader.com/support/h...heventargs.htm

Also, the reference sample below should shed some more light on accessing Level II data:

http://www.ninjatrader.com/support/f...ead.php?t=3478

Please let me know if I can assist further.

[Yandychang]

thank you for your reply

Regarding the Links you referred me to, I want to get this right... Are Price and Volume, the Last Price the instrument sold for, and the amount of shares/ contracts of that sale?
Operation.Update/Insert/Remove... What exactly those actions represent?

[NinjaTrader_DaveI]

Hello,

You are correct about Price and Volume. Note that this information specifically represents the last traded price and volume provided by your data feed.

In this context, Operation is a property of MarketDepthEventArgs objects. You can use Operation.Insert, Operation.Remove, and Operation.Update when building your own Level II book. Please note that this property applies to NinjaScript in NinjaTrader 8, and will not apply to your script developed for NinjaTrader 7.