A Study from the block

[outsource]

The attached is an indicator from the download section:

http://ninjatrader.com/support/forum/local_links_search.php?action=show&userid=1833&sort=d

It shows the new Bid/Ask limit orders as they appear.Sometimes it shows huge limit blocks for Bid and Ask.

I have a question,why this information is not seen in NT DOM?I also tried different L2 indicators and this informnation is also not available.I have a custom L2 indicator which i`m trying to modify.Maybe someone could suggest the region in LEDOnMarketDataBidAsk which i can transfer to my L2 indicator to be able to see such valuable information?

[NinjaTrader_PatrickH]

Hello outsource,

Thank you for your post.

The main piece of the indicator is it's OnMarketData() method. It accumulates order count on the Bid or Ask price levels per second. This is not Level 2 data as Level 2 is resting orders. This is order executions at the Bid or Ask.

OnMarketDepth is Level 2. Consider OnMarketData as Level 1.

Please let me know if you have any questions.

[outsource]

Hello outsource,

Thank you for your post.

The main piece of the indicator is it's OnMarketData() method. It accumulates order count on the Bid or Ask price levels per second. This is not Level 2 data as Level 2 is resting orders. This is order executions at the Bid or Ask.

OnMarketDepth is Level 2. Consider OnMarketData as Level 1.

Please let me know if you have any questions.

Patrick,can you please suggest,for,e.g.,if the study shows 1000 lots per second,was it 1000 large block per second or it could possibly be 100 lots, each in 10 msec?

[NinjaTrader_PatrickH]

outsource,

1,000 would represent 1,000 quantity executed. This could be multiple orders or a single order, there would not be a means to confirm either way.