Need some help! L2 data in strategy

[massgainstradingwi]

Hi guys and gals,

Ive edited and rewrote my original post. I have been able to make this run perfect with the following setup, and the output displays 100% proper all of the time BUT this is not level 2, I have literally 9 different strategys I have been working on trying to get level two to do cumulative bid/ask to 1.3 ratio but for the life of me I can not do it and I have fallen off track. 1 minute chart, NQ, Calculate.OnEachTick; data resets on the beginnign of next bar, I will end up adding "do not buy/sell if ratio = 1 or 0 but I havent gotten that far yet.....

Here is the code I have for L1, any insight on how to modify this to run off L2 data??? Any help wouold be appreciated, Im losing my mind....

Here are the different segments associated with the bid/ask.

public class NQGROBIDASK1 : Strategy
{
private MACD MACD1;
private double cumulativeAskVolume = 0;
private double cumulativeBidVolume = 0;

_______________________________

protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Last)
{
double tradePrice = e.Price;
double tradeVol = e.Volume;
double bid = e.Bid;
double ask = e.Ask;

if (tradePrice >= ask)
cumulativeAskVolume += tradeVol; // Buy at ask or higher
else if (tradePrice <= bid)
cumulativeBidVolume += tradeVol; // Sell at bid or lower
}
}
protected override void OnBarUpdate()
{
if (CurrentBars[0] < 1 || MACD1 == null)
return;

// Reset mumulative volumes at the start of each bar
if (IsFirstTickOfBar)
{
cumulativeAskVolume = 0;
cumulativeBidVolume = 0;
}

// alculate and pritn bid/ask ratio
double totalVolume = cumulativeAskVolume + cumulativeBidVolume;

Print("Bar " + CurrentBar + " - Ask/Bid Ratio: " + askBidRatio.ToString("F2") +

[massgainstradingwi]

I also have this at the bottom ofthe strategy, forgot.

// Resset and print the reset state
cumulativeAskVolume = 0;
cumulativeBidVolume = 0;
double resetRatio = 0; // Since totalVolume = 0 now
Print("Bar " + CurrentBar + " - RESET - Ask/Bid Ratio: " + resetRatio.ToString("F0"));

[massgainstradingwi]

Well, it looks like I got the L2 to work, but in doing so it appears I lost the ability to have the MACD get its input. Below are the two areas where I believe the issue is occuring but I dont know at this point.... something so simple.... I'm racking my brain to figure out how to have it get its data but drawing a blank......

}
protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.MarketDataType == MarketDataType.Last);

__________________________________________________ _________________

protected override void OnBarUpdate()
{
if (BarsInProgress != 0)
return;

if (CurrentBars[0] < 1)
return;

__________________________________________________ ____________________

[NinjaTrader_Gaby]

Hello,

Thank you for your post.

If you're trying to track changes in level 2 data, you will need to use OnMarketDepth(). OnMarketData() is for level 1 data.

https://ninjatrader.com/support/helpguides/nt8/onmarketdepth.htm

[massgainstradingwi]

Thanks Gaby - it was a simple error I continued to overlook..... made a mountain out of a mole hill of it.... thanks for your time.