PS. I suppose that MarketDataEventArgs.Time is the time when a trade generated inside exchange's kernel and not time when OnMarketData recived this information. Is it correct for CQG?
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OnMarketData. How to know all trades with the same timestamp processed?
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OnMarketData. How to know all trades with the same timestamp processed?
If time resolution of records enough all trades with the same timestamp generated instantly as a single event inside exchange's kernel. In order to know my strategy recieved all trades of this block of trades, I wait for a first trade with a timestamp greater than previous. Can I avoid the delay and to know that the current trade which I recevied inside OnMarketData is the last trade of this single timestamp block? And the same question for any other single timestamp events. Fore example for qoutes recieved by OnMarketDepth.
PS. I suppose that MarketDataEventArgs.Time is the time when a trade generated inside exchange's kernel and not time when OnMarketData recived this information. Is it correct for CQG?Last edited by liberal; 09-15-2022, 04:55 AM. -
Hello liberal,
I'm not aware of a way to receive individual trade information. NinjaTrader is only receiving market updates from the data provider. It's not directly from the exchange. Some data providers aggregate data, some don't. Some data providers include non-qualifying-trades some don't.
In order to know my strategy recieved all trades of this block of trades, I wait for a first trade with a timestamp greater than previous
Can I avoid the delay and to know that the current trade which I recevied inside OnMarketData is the last trade of this single timestamp block?
As far as the delay, are you referring to waiting for a new time stamp? I don't quite understand why you are waiting for a new timestamp. Just process every market update as a separate block of trades.
I suppose that MarketDataEventArgs.Time is the time when a trade generated inside exchange's kernel and not time when OnMarketData recived this information.
Is it correct for CQG
Chelsea B.NinjaTrader Customer Service
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Originally posted by NinjaTrader_ChelseaB View PostHello liberal,
As far as the delay, are you referring to waiting for a new time stamp? I don't quite understand why you are waiting for a new timestamp. Just process every market update as a separate block of trades.
Last edited by liberal; 09-15-2022, 08:59 AM.
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