OnMarketDepth method

[kanarkia]

Hello,

I use OnMarketDepth method to build price ladder the same way like it is done for "SampleLevel2Book" Next, price ladder I use to create indicator which shows me some bar values in seperate window. I know that OnMarketDepth is a real-time data stream but is there any way to keep values which I get from price ladder? When I change timeframe all outputs which I collect disapear and my indicator is buit from the beginning based on real-time data stream.

I would be glad for any help.

[NinjaTrader_ChrisL]

Hello kanarkia,

Thank you for the post.

The script would need to save "slices" of the level 2 data. A good data structure for this would be the Dictionary structure because it takes two types for the key/value. Your key could be a DateTime object and the values could be a level 2 "slice" or image for that time.

Please let me know if you have any questions.

[kanarkia]

Hello,

It makes sense. Thanks for that. One question more. Is there any method to keep it saved and available always when Ninjatrader starts?

[NinjaTrader_ChrisL]

Hello kanarkia,

Thanks for the reply.

There are no methods in NinjaTrader that allow for storing indicator values. One would need to store the data in a text file, XML file, or an SQL DB and retrieve the data when the script starts up.

Please let me know if I can assist further.

[kanarkia]

Hello ChrisL,

Thanks for the replay.

Would you suggest the best and the easiest way to do that? Any example which I can relay on?

Cheers

kanarkia

[NinjaTrader_ChrisL]

Hello kanarkia,

Thanks for the reply.

This project would take some advanced C# concepts such as data organization and serializing a complex data structure to a file for storage. It might even take some Asynchronous programming as to not hang up NinjaTrader's processing.

I modified the SampleLevel2 book a bit by adding in memory slice storage. As a disclaimer, this sample is not complete and not considering many things such as:

1. Loading the previously gathered historical data from a txt, JSON, or some other kind of file while in the historical mode.
2. When/how to write the collected data to a file and clear out the Dictionaries memory.
3. How often we should gather this data.
4. Since I was getting duplicate keys for the DateTime key, I needed to append a GUID to each DateTime key to keep them unique, this could lead to us needing to consider how to access the data we need properly, possibly even consider a different key for the structure altogether.

Please let me know if you have any questions.