Confused by output of onMarketData

[Cilla]

Hi Chris

The documentation for OnMarketData states that it is "guaranteed to be in the correct sequence for every change in level one market data for the underlying instrument", so I would expect the ask/bid stream to perfectly sync with last update events. Is there possibly a problem with the data feed from Kinetick? Can you refer this to them?

Also, I have used OnMarketDepth extensively before and the problem there is that OnMarketDepth doesn't provide last update events and you cannot rely on e.g. OnMarketDepth always being called before OnMarketData, as NinjaTrader is multi-threaded (also from the docs). In any case, I'm only interested in level one data, for continuous last, bid and ask events and volumes. It's looking very like this data is not reliable, which is disappointing.

Thanks again for investigating this issue.

[NinjaTrader_ChrisL]

Hello Cilla,

Thanks for the follow-up.

I do see the help guide claims the OnMarketData method will be in sync. I will run a test in NInjaTrader 7 to see if the same thing happens there. It appears we will need to make a change to the help guide and/or report this as a bug.

Thanks in advance for your patience.

[NinjaTrader_ChrisL]

Hello Cilla,

Thanks for your patience.

A change to the help guide will be made to make it more clear that OnMarketData will give you every change in level one data that is given through your data provider.

Please let me know if I can assist any further.

[Cilla]

Many thanks Chris, I understand now. I look forward to the change in the help guide.