Error accessing the first bidRows[1].Volume in OnMarketData() method

[er111222]

I have setup the level2 book in OnMarketDepth and working fine. In OnMarketData() when try to access of the bidRows[1].Volume, sometimes works fine, some times return an error:

**NT** Error on calling 'OnMarketData' method for strategy 'TestStrategyOnMarketData/58f61913f4884c2ba124fabc8b57cd92': You are accessing an index with a value that is invalid since its out of range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.

May be OnMarketData is accesing the value too soon when OnMarketDepth() has not produce that value yet. How to overcome that?

protected override void OnMarketData(MarketDataEventArgs e)
		{
			if (e.MarketDataType == MarketDataType.Last)
				{
					tradePrice = e.Price;
					tradeQty = e.Volume;
   			    }
			if (e.MarketDataType == MarketDataType.Ask) 
				{
					askPrice = e.Price;
					askQty = e.Volume;
				}		
			if (e.MarketDataType == MarketDataType.Bid) 
				{
					bidPrice = e.Price;
					bidQty = e.Volume;
				}
			
			Print(bidRows[1].Volume);
			}

[sledge]

Try removing: Print(bidRows[1].Volume);

Where is that assigned? What is it doing?

If you have an ask/bid before that, it isn't assigned. right? (Assuming you've done everything else every where correctly, which I'm not feeling at this point).

I have setup the level2 book in OnMarketDepth and working fine. In OnMarketData() when try to access of the bidRows[1].Volume, sometimes works fine, some times return an error:

**NT** Error on calling 'OnMarketData' method for strategy 'TestStrategyOnMarketData/58f61913f4884c2ba124fabc8b57cd92': You are accessing an index with a value that is invalid since its out of range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.

May be OnMarketData is accesing the value too soon when OnMarketDepth() has not produce that value yet. How to overcome that?

protected override void OnMarketData(MarketDataEventArgs e)
		{
			if (e.MarketDataType == MarketDataType.Last)
				{
					tradePrice = e.Price;
					tradeQty = e.Volume;
   			    }
			if (e.MarketDataType == MarketDataType.Ask) 
				{
					askPrice = e.Price;
					askQty = e.Volume;
				}		
			if (e.MarketDataType == MarketDataType.Bid) 
				{
					bidPrice = e.Price;
					bidQty = e.Volume;
				}
			
			Print(bidRows[1].Volume);
			}

[er111222]

Once the first value print out in the output window, it is working fine, that make me think it is the race reason between OnMarketData and OnMarketDepth, so looking for a way to handle this. bidRows[1].Volume assigned in the NinjaTrader-support suggested level2 book code as follow:

protected override void OnMarketDepth(MarketDepthEventArgs e)
		{
			//Create bid ask order book
			List<LadderRow> rows = null;
			#region Handle race condition in firstAskEvent/firstBidEvent
			if (e.MarketDataType == MarketDataType.Ask)  //Incoming data is an ask data
				{
					rows = askRows;
					if (firstAskEvent)
						{
							if (e.Operation == Operation.Update)
							{
								lock(e.MarketDepth.Ask)
								{
									for (int idx = 0; idx < e.MarketDepth.Ask.Count; idx++)
										rows.Add(new LadderRow(e.MarketDepth.Ask[idx].Time, e.MarketDepth.Ask[idx].Price, e.MarketDepth.Ask[idx].Volume));
								}
							}
							firstAskEvent = false;
						}	
				}
			else if (e.MarketDataType == MarketDataType.Bid)  //Incoming data is a bid data
				{
					rows = bidRows;
					if (firstBidEvent)
					{
						if (e.Operation == Operation.Update)
						{
							lock (e.MarketDepth.Bid)
							{
								for (int idx = 0; idx < e.MarketDepth.Bid.Count; idx++)
									rows.Add(new LadderRow(e.MarketDepth.Bid[idx].Time, e.MarketDepth.Bid[idx].Price, e.MarketDepth.Bid[idx].Volume));
							}
						}
						firstBidEvent = false;
					}
				}
			if (rows == null)  //No incoming data
				{
					return;
				}
			#endregion	
			#region Works on events that are not firstAskEvent/firstBidEvent
			//Operation.Insert	
			if (e.Operation == Operation.Insert)  //either a bid insert or an ask insert
				{
					if (e.Position >= rows.Count)
						{
							rows.Add(new LadderRow(e.Time, e.Price, e.Volume));
						}
					else
						{
							rows.Insert(e.Position, new LadderRow(e.Time, e.Price, e.Volume));
						}
				}
			//Operation.Update	
			else if (e.Operation == Operation.Update)
				{
					rows[e.Position].Time   = e.Time;
					rows[e.Position].Price	= e.Price;  
					rows[e.Position].Volume	= e.Volume;
				}
			//Operation.Remove	
			else if (e.Operation == Operation.Remove && e.Position < rows.Count)
				{
					rows.RemoveAt(e.Position);
				}
				#endregion
		}

[NinjaTrader_Bertrand]

er111222, yes very likely a race conditon with accessing you run into - as there would be no call / event sequence guarantee for those methods. What condition are you trying to setup, wouldn't it be easier to monitor for you condition in OnMarketData() and then set a variable as needed to be able to check if off directly in OnMarketDepth then?

[sledge]

If this is necessary for you, you're going to need to guarantee that the one happened before the other.

Use a flag/variable.... but then you'll have a lot of unnecessary checks...

Or keep restarting until it works