Events that trigger OnMarketDepth

[juliangonzaconde]

I have a question regarding the OnMarketDepth method, according to what the documentation says:



My question is about the phrase: "for every change in level two market data (market depth) for the underlying instrument." Does "every change in L2" also refer to changes caused by order matching? That's what I understand, but I need to be sure.

As I understand it, if 5 contracts of active volume enter at a certain price level, this method should trigger, and a volume value of -5 should be received at that level.

Thanks in advance!

[NinjaTrader_ChelseaB]

Hello juliangonzaconde,

"Does "every change in L2" also refer to changes caused by order matching"

Unfortunately, I'm not well versed in how data providers prepare their data; I'm not certain what "order matching" means.

It sounds like you are referring to a trade transaction where a buy contract and sell contract were traded, which would remove the volume of those orders from the ask and bid volume.