Onmarket depth query

[pjsmith]

Hi,

A query regarding this method. In the docs, it states this is a realtime stream. I was wondering though, at the lowest level, does this event fire for every single book update in the data stream? Are they ever consolidated in any way by ninjatrader or the data provider (say, kinetic or continuum). What sort of latency would you expect between the exchange update and the event firing?

Any info you can provide around these topics would be appreciated.


Thanks.

[NinjaTrader_Jim]

Hello pjsmith,

Thanks for your message.

MarketDepth will take a current snapshot of the order book and then provide all subsequent updates. A delay in preparing the snapshot may be 25ms. Each Add/Remove/Update would then be made as NinjaTrader sees a level 2 update. NinjaTrader does not consolidate these events and as far as I am aware Continuum and Kinetick do not consolidate their Level 2 data.

I would expect all level 2 events to come in "in realtime." I could not give any specifics for how much of a delay would be theorized when processing through the platform than from the the raw feed.

I look forward to being of further assistance.

[pjsmith]

Perfect. Just what I wanted to hear. Thank you.