Can't get LAST in MarketDepth

[Vash666]

Hi,

I want receive the last (trades) in the market depth but there are only bid/ask

If I use MarketData I receive Bid/Ask/Last but not the marketdepth

When I see timestamp between OnMarketData and OnMarketDataDepth it's not in order !!!!

How do to get the good order, there are an orderID , millisecond in timestamp, ... ?

thanks

[NinjaTrader_Bertrand]

Welcome to our forums - timestamps would be down to 1 second. OnMarketData() is used for Level 1 data events (Last / Bid / Ask), while OnMarketDepth() would be used to access the 5 best bid / ask (book) levels.

[Vash666]

Thanks for your replay !

It's possible to synchronize Depth market with the trades (last) ?

[NinjaTrader_Bertrand]

I'm not exactly sure I follow you - in real time the events will be called whenever there is either a change in Level 1 or Level 2 data. In Market Replay, the granularity is limited to 1 second, enhancing this is on our feedback list already.

[Vash666]

OK NinjaTrader_Bertrand,

I want construct a feed L2 with depth market and trades but I can't synchronize MarketData and MarketDataDepth, because there are more update of the best bid/ask in the L1 than L2.

I count 20 update in one second on 6750.50/6751 (L1) VERSUS 3 update 6750.50/6751 (L2)

The is that the data receive from L1 to 10:10:12 are:

+++++++++++++++++++++++++++++ Last | 101012 | 6750.50 | 2
DailyVolume | 101012 | 0.00 | 17,098
+++++++++++++++++++++++++++++ Last | 101012 | 6751.00 | 3
DailyVolume | 101012 | 0.00 | 17,101
Ask | 101012 | 6751.00 | 15
Bid | 101012 | 6750.00 | 4
Ask | 101012 | 6751.00 | 14
Bid | 101012 | 6750.00 | 7
Ask | 101012 | 6751.00 | 12
Bid | 101012 | 6750.00 | 9
Ask | 101012 | 6751.00 | 11
Bid | 101012 | 6750.50 | 1
Ask | 101012 | 6751.00 | 7
Ask | 101012 | 6751.00 | 6
Bid | 101012 | 6750.50 | 2
Ask | 101012 | 6751.00 | 5
Bid | 101012 | 6750.50 | 3
Ask | 101012 | 6751.00 | 4
Ask | 101012 | 6751.00 | 3
+++++++++++++++++++++++++++++ Last | 101012 | 6750.50 | 1
DailyVolume | 101012 | 0.00 | 17,102
Bid | 101012 | 6750.50 | 2
Ask | 101012 | 6751.00 | 4
Ask | 101012 | 6751.00 | 3
Ask | 101012 | 6751.00 | 4
Ask | 101012 | 6751.00 | 5

and the data from L2 are (B: bid, A: ask) :

B,U,6750.5,101012,3
A,U,6751,101012,4
A,U,6753,101012,30
A,U,6751,101012,3
A,U,6753,101012,31
B,U,6749,101012,26
A,U,6753,101012,32
A,U,6753,101012,33
A,U,6753,101012,34
A,R,0,101012,0
A,R,0,101012,0
A,I,6751.5,101012,8
A,I,6761,101012,26
A,U,6752.5,101012,24
A,U,6753.5,101012,19
A,U,6751.5,101012,7
A,U,6756.5,101012,15
A,U,6752,101012,19
B,U,6750,101012,17
A,U,6752.5,101012,21
B,U,6749.5,101012,13
A,U,6753,101012,38
B,U,6748.5,101012,23
A,U,6754,101012,23
B,U,6747.5,101012,37
A,U,6754.5,101012,32
B,U,6746.5,101012,17
A,U,6755.5,101012,24
B,U,6745.5,101012,14
A,U,6756,101012,23
B,U,6745,101012,45
A,U,6757,101012,24
B,U,6744.5,101012,63
A,U,6758,101012,105
B,U,6743.5,101012,16
A,U,6759,101012,19
B,U,6742.5,101012,75
A,U,6759.5,101012,31
B,U,6741.5,101012,12
A,U,6760.5,101012,16
A,U,6752.5,101012,20
A,U,6753.5,101012,18
A,U,6754,101012,24
A,U,6756.5,101012,14
A,U,6757,101012,25
A,U,6760.5,101012,17
A,U,6752.5,101012,19
A,U,6753.5,101012,19
B,U,6746,101012,31
B,U,6745.5,101012,12

[NinjaTrader_Bertrand]

This can be the case as both would listen to different events completely - to see how to construct a Level 2 book, please see this sample -

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

[Vash666]

Ok for the sample, but why the L1 feed and L2 feed are different for the best bid/ask ?

normally the L2 include L1, not ?

[NinjaTrader_Bertrand]

Yes, the Level 2 0 position would be the current bid / ask as also reported by the OnMarketData() method. Are you comparing the correct positions in the book to Level 1 data? Due to update timing (different events) you might still see slight differences.

[Vash666]

Thank you,

I feel there is a gap between the timestamp on the two streams.

I continue to seek

[Vash666]

Why your L1 feed and L2 feed are not in the same order ?
(Market data replay FDAX 2010-11-08)

sample :
(A/B bid/ask == price == HHmmss == volume)

--- L1 ---
A == 6756 == 80009 == 2
B == 6754.5 == 80009 == 2
B == 6754.5 == 80009 == 3
B == 6755.5 == 80009 == 1
A == 6756 == 80010 == 7
B == 6755.5 == 80010 == 3
B == 6755.5 == 80011 == 2
B == 6755.5 == 80011 == 1
B == 6755 == 80011 == 2
A == 6755.5 == 80011 == 1
B == 6755 == 80012 == 1
A == 6756 == 80012 == 10
B == 6754.5 == 80012 == 3
B == 6755 == 80012 == 4
A == 6756 == 80013 == 11
A == 6756 == 80013 == 10
A == 6755.5 == 80013 == 2
B == 6755 == 80013 == 3
B == 6754.5 == 80013 == 3
B == 6755 == 80013 == 1
A == 6756 == 80014 == 10
A == 6756 == 80014 == 9
A == 6755.5 == 80015 == 22
A == 6755 == 80015 == 21
B == 6754.5 == 80015 == 4
B == 6754.5 == 80015 == 2

--- L2 position 0 (normally the same)

A == 6756 == 80008 == 2
B == 6754.5 == 80008 == 2
B == 6754.5 == 80008 == 3
B == 6755.5 == 80008 == 1
A == 6756 == 80009 == 7
B == 6755.5 == 80009 == 3
B == 6755.5 == 80010 == 2
B == 6755.5 == 80010 == 1
A == 6755.5 == 80010 == 1
B == 6755 == 80011 == 1
B == 6755 == 80011 == 4
A == 6756 == 80012 == 11
A == 6756 == 80012 == 10
A == 6755.5 == 80012 == 2
B == 6755 == 80012 == 3
B == 6755 == 80012 == 1
A == 6756 == 80013 == 9
A == 6755.5 == 80014 == 22
A == 6755 == 80014 == 21
B == 6754.5 == 80014 == 2
A == 6754.5 == 80014 == 19
A == 6754 == 80014 == 9
B == 6753.5 == 80014 == 2
B == 6753.5 == 80015 == 3
B == 6753.5 == 80015 == 6
A == 6754 == 80015 == 1
B == 6753.5 == 80015 == 5
B == 6753.5 == 80015 == 4
B == 6753.5 == 80015 == 7
B == 6753.5 == 80015 == 9
A == 6754 == 80016 == 2
A == 6754 == 80016 == 1
B == 6753.5 == 80016 == 8
B == 6753.5 == 80016 == 9
B == 6753.5 == 80016 == 10
B == 6753.5 == 80016 == 12
B == 6753.5 == 80016 == 13

[NinjaTrader_Bertrand]

Vash666, they would be aligned within a 1 second tolerance window - http://www.ninjatrader.com/support/f...ad.php?t=34923