Granularity of Market Depth Updates

[GKonheiser]

Hi,

I wrote code a while ago to build a Market Death book looking at the level 2 changes to the book.

I am just inspecting the items that are coming in on OnMarketDepth and looking at the timestamp and it shows no millisecond count, it only has accurate to the second?

How can this be when there are 100 of not thousands of updates a second?

I am trying to get an accurate picture of the market depth book on a sub-second bases, what is the granuality of updates in OnMarketDepth ?

[NinjaTrader_MichaelM]

Hello GKonheiser,

Thank you for writing in. The timestamp contained in MarketDepthEventArgs.Time will not contain milliseconds in NinjaTrader 7.

Because the order is guaranteed, you could theoretically attach the current timestamp milliseconds to the MarketDepthEventArgs time stamp to calculate relationships on the difference in time between updates.

For example:

Print(e.Time.AddMilliseconds(DateTime.UtcNow.Millisecond).ToString("hh:mm:ss.fff tt"));

Please note that the DateTime is only accurate to about 10-15ms of the actual time so you may not want to be calculating anything that required the actual times that updates occured but you could calculate the relationship between the "simulated" actual times that they occur which lends itself to what you are looking to do.

Please let me know if you have any questions or if I may be of further assistance.