Ideally, I want to capture this market depth map data in variables using Ninjascript/C# so I can utilize them in custom strategies. From what I've been able to gather, I can use something like this to get started:
https://ninjatrader.com/support/help...vel_ii_dat.htm
Another example is from the NT8 Help Guide on MarketDepth:
https://ninjatrader.com/support/help...arketdepth.htm
Beyond these, does anyone have any recommendations or best practices on how to capture market depth/order book related data?
Thanks in advance!
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