OnMarketDepth – max level size?

[RedDuke]

Hello,

What is the most efficient way to figure out which level on DOM has the largest size for bid and ask? I have the following logic within OnMarketDepth event (ask example):

maxValue=0;
maxAskSizeLevel=0;
for(int i=0; i<5; i++)
{
if (e.MarketDepth.Ask[i].Volume > maxValue)
maxValue = e.MarketDepth.Ask[i].Volume;
maxAskSizeLevel = i;
}

But I am afraid that with all the changes that take place it might be too slow. Is there anyway to get this data with some kind of max function?

Thanks,
redduke

[NinjaTrader_Ray]

You are on the right track but instead of looping through each level, just check the incoming event against your stored variables. The looping is not necessary.

Create some variables local to your indicator/strategy.

private int maxAskValue = 0;
private int maxAskPosition = 0;

then...

if (e.MarketDataType == MarketDataType.Ask && e.Volume > maxAskValue)
{
    maxAskValue = e.Volume;
    maxAskPosition = e.Position;
}

[RedDuke]

Hi Ray,

Thanks for this info. This logic would work if all I needed was the largest value ever. If this logic is put in place, and let’s say that is a huge number that appears only once on ask of 10,000 contracts, this number would constantly be displayed until I stop and restart since no other number will top it.

What I need is the max value at this point of time, which changes many times during even 1 second. The for loop does the job but many times it can not catch up with all DOM changes.

Is there any other way?

Thanks,
redduke

[NinjaTrader_Ray]

Ah..got it.

Not sure what you mean too slow. Your logic should be fine.

[RedDuke]

It works fine when DOM updates are less frequent, but as soon as updates intensify, it many times shows the wrong value, eventually corrects and then the cycle renews.

Thanks,
redduke

[NinjaTrader_Ray]

Best build your own book then. The depth object is multi-threaded and the values you are accessing can already be updated as a new event comes in. You are guaranteed to get all events though.

Here is a reference - http://www.ninjatrader-support.com/v...ead.php?t=3478

[RedDuke]

Ray,

Thanks. I will experiment with it.

Regards,
redduke

[RedDuke]

I figured out what the issue was. It had nothing to do with frequent updates, I got a bit confused in the beginning when I started looking for the error. All it was just missing brackets on if statement (I highlighted them in bold). Without them, the last (fifth) level data was always selected. I tested the code this morning, and it worked fine even during very fast market conditions.

maxValue=0;
maxAskSizeLevel=0;
for(int i=0; i<5; i++)
{
if (e.MarketDepth.Ask[i].Volume > maxValue)
{
maxValue = e.MarketDepth.Ask[i].Volume;
maxAskSizeLevel = i;
}
}

Regards,
redduke

[suprsnipes]

Where would this code go if using the samplemarketdepth provided on the forum?

maxValue=0;
maxAskSizeLevel=0;
for(int i=0; i<5; i++)
{
if (e.MarketDepth.Ask[i].Volume > maxValue)
[B]{[/B]
maxValue = e.MarketDepth.Ask[i].Volume;
maxAskSizeLevel = i;
[B]}[/B]
}

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

[NinjaTrader_Bertrand]

Would be used in your OnMarketDepth() method suprsnipes.

[suprsnipes]

Would be used in your OnMarketDepth() method suprsnipes.

Thanks for your reply. I get the following error 'Cannot implicitly convert type 'long' to 'int'. An explicit conversation exists (are you missing a cast?)' when attempting to add the code to OnMarketDepth() and the 2 lines of code below to the variables section

private int maxValue=0;
private int maxAskSizeLevel=0;

[NinjaTrader_Bertrand]

Please try defining them as long values instead, there was a change for NT7 where Volume is now represented by a long return instead of an int as prior.

[suprsnipes]

Thanks Bertrand. I'm able to print the two elements now if I could bother you for just one further question. What could be causing the following error message;

'You are accessing an index with a value that is invalid since it is out of range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart'.

[NinjaTrader_Bertrand]

Glad to hear, could be multiple things, but most likely tied to not having a high enough check for enough CurrentBars in your OnBarUpdate() section - http://www.ninjatrader.com/support/f...ead.php?t=3170

[suprsnipes]

Ok, I'll check it out cheers