How many times does OnMarketDepth() called

[appleseed]

I use an example to explain my question here. This is level 2 status before top one is executed.

Bid position 0: $9.99 200 shares >>>> to be executed
Bid position 1: $9.98 100 shares
Bid position 2: $9.96 3000 shares

When bid position 0 is executed and gone, is onMarketDepth() to be called to update "bid position 1" which will become position 0, or it is called only to indicate "bid position 0" is removed? How many times is it called when bid 0 is executed?

Thanks.

[NinjaTrader_JC]

Hello appleseed,

There is no set number of times OnMarketDepth() will be called as it is entirely going to dependent on the Data mostly and the data provider. Odds are that you are not going to be guaranteed an updated of the next position.

For example if the first level of Level II data (Bid Position 0) changes you may see an update for the change of shares at that bid price without Bid Position 1 changing to 0.

[appleseed]

Each level 2 data include Position, value and volume. Since OnMarketDepth() method is called for every change in level two market data (market depth), does this mean any one of above three data changes will trigger to call OnMarketDepth()? Thanks.

[NinjaTrader_JC]

Hello appleseed,

Yes, that is correct.