MarketDataEventArgs Last vs. Price

[swcooke]

What is the difference between Last and Price in this example?

protected override void OnMarketData(MarketDataEventArgs e)
        {
            if (e.MarketDataType == MarketDataType.Last){
                Print(e.Price + " : " + e.Last);  
            }

        }

The documentation on MarketDataEventArgs does not seem to have an entry for Last but it shows up in intellisense. I just want to confirm that Price is the tick of the actual update. Is Last the previous update?

[NinjaTrader_Jim]

Hello swooke,

Thanks for your post.

MarketDataType.Last means the market data update is the last price at which the trade occurred, not necessarily a bid or ask. Price is the price of that bid/ask/last update. "Last" is not documented for regular use and would not be supported, but it does appear to show the price of the previous update.

Please let us know if we can be of further assistance.

[swcooke]

In the above example, what is the proper way to parse the updates from multiple Instruments from inside the OnMarketData() section? I am guessing I cannot check BarsInProgress like I do from OnBarUpdate() from inside OnMarketData().

[NinjaTrader_Jim]

Hello swooke,

BarsInProgress can be used in OnMarketData in the same fashion as in OnBarUpdate. You may test the following to observe in a Multi Time Frame/Instrument NinjaScript:

protected override void OnMarketData(MarketDataEventArgs e)
{
    Print(String.Format("BIP: {0} Instrument.FullName: {1}", BarsInProgress, Instrument.FullName));
}

BIP: 1 Instrument.FullName: ES 03-19
BIP: 0 Instrument.FullName: CL 04-19

Please let us know if you have any questions.