Working with Market Depth

[phi3zz0]

Hi all,
I'm trying to analyze what happens on the ladder across various instruments, so I started recording marketdepth events through ninja.

What I don't understand is how the process of registering the events works:
1) Operation "Insert" means a NEW Bid/Offer has been put on the ladder where previously was "blank"
2) Operation "Update" means the Volume of Bid/Offer is updated where there was already a Bid or an Offer
3) Operation "Remove" ? This should tell that a Bid/Offer has been pulled from the ladder but if I record this event it doesn't say which price was pulled.

Can you please clarify? For your benefit please see below a quick extract of market depth this morning of 6A

A;07/03/2013;08:14:29;29;0;Ask;Update;1.0245;28
6A;07/03/2013;08:14:29;29;0;Bid;Update;1.0244;34
6A;07/03/2013;08:14:29;29;0;Ask;Update;1.0245;27
6A;07/03/2013;08:14:29;29;0;Bid;Update;1.0244;35
6A;07/03/2013;08:14:29;29;0;Ask;Update;1.0245;16
6A;07/03/2013;08:14:25;25;0;Ask;Update;1.0246;61
6A;07/03/2013;08:14:29;29;0;Ask;Update;1.0245;6
6A;07/03/2013;08:14:29;29;0;Ask;Remove;0;0
6A;07/03/2013;08:14:29;29;0;Ask;Insert;1.025;175
6A;07/03/2013;08:14:29;29;0;Bid;Remove;0;0
6A;07/03/2013;08:14:29;29;0;Bid;Insert;1.0241;136

[NinjaTrader_JC]

Hello phi3zz0,

You are understanding is correct of all of the Operations. When the Operation.Remove is called it will not tell you the Price but it will tell you the Position. For example most Market Depth on Instruments will be 5 (numbered 0-4) in either direction, and when a Remove it called it will tell what Position it is removing. So here would be a sample output.

Remove
Price: 0 Position: 4 MarketDataType: Bid
Insert
Price: 1.0247 Position: 4 MarketDataType: Bid

You may view the following sample indicator for an example on how the OnMarketDepth() method functions.

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

Note that if you want to know what price was removed, you can create a Level II book that will hold all of this information and when the Position has been marked as removed you can see which position was removed if you like.