OnMarketData and Data.MarketDataEventArgs

[number1]

Hi NinjaTrader,

For the class Data.MarketDataEventArgs that is returned with the callback OnMarketData, I have a question about what we can assume about it.

When e.MarketDataType == Data.MarketDataType.Last (i.e. a last trade occurred) can was assume that the class will be populated with Bid, Ask, etc. or do we need to check for null values of those fields ?

I remember seeing something somewhere that said we can assume these fields are populated when a last trade is fired. It gets messy to have to code in null checks, so wanted to inquire.

Thank you for insights.

Number1

[NinjaTrader_ChelseaB]

Hello number1,

The ask or bid will trigger OnMarketData before the last. You can tell if the last was an ask or bid by comparing it to the previous update.

I have an example that reproduces the behavior of the T&S Window that demonstrates.

http://ninjatrader.com/support/forum/showthread.php?p=503265#post503265

[number1]

Thank you. Very helpful.

[number1]

Chelsea,

Thank you. Do you know how "hidden orders" would play out for that OnmarketData bid or ask trigger? Would a sell limit that is "hidden", not posted, and gets filled trigger an ask OnMarketData type?

[NinjaTrader_ChelseaB]

Hello number1,

Are you referring to simulated orders that are not submitted to the exchange until touched? These would not be in level 1 or level 2 data.
Are you referring to working orders that are on the exchanged and not filled? These would be level 2 orders in the market depth (OnMarketDepth).

[number1]

Chelsea,

Thank you for your help.