real-time level 2 bid/ask volume for a specified price

[martyn73]

Is there a way to get real-time level 2 bid/ask volume for a specified price without leveraging OnMarketDepth()? So using something similar to GetCurrentAskVolume() / GetCurrentBidVolume() but for a specified price?

[NinjaTrader_Jim]

Hello martyn73,

Thanks for your post.

OnMarketDepth would be the advised way to study level 2 data in an indicator. If the target PC is Order Flow + enabled, then the indicator can use the Volumetric Bars data access methods to be able to call GetAskVolumeForPrice and GetBidVolumeForPrice. More information on using these data access methods is included below.

https://ninjatrader.com/support/help...tric_bars2.htm

I look forward to being of any further assistance.

[martyn73]

Is there a way to check if Order Flow + is enabled with NinjaScript? What happens when you use those methods when it's not enabled? And what percentage of NT8 customers would not be licensed for it?

[martyn73]

Also, related to my questions above. Method MarketDepth() documentation states it's a snapshot. How much delay does the snapshot contain compared to the real-time updates in OnMarketDepth()?

[NinjaTrader_Jim]

Hello martyn73,

Thanks for your questions.

We do not publicly document how to check an Order Flow + enabled platform. If you are in our EcoSystem, please consult vendor support for information on how this can be done. If Order Flow + tools are used but the platform is not enabled, an error message will be presented mentioning an Order Flow + enabled license needs to be entered.

MarketDepth will take a current snapshot of the order book and then provide subsequent updates in the Update event. A delay in preparing the snapshot may be 25ms. Each update would then be made as NinjaTrader sees a level 2 update.

I look forward to being of further assistance.