OnMarketDepth and List<MarketDepthRow>

[Fernand0]

Hi! I hope you all are having a good day.

This code print FALSEs, it shouldn't have the same values?

protected override void OnMarketDepth(MarketDepthEventArgs e)
{
	
	lock (e.Instrument.SyncMarketDepth)
	{
		
		List<MarketDepthRow> rows;
		if (e.MarketDataType == MarketDataType.Ask)
			rows = e.Instrument.MarketDepth.Asks;
		else
			rows = e.Instrument.MarketDepth.Bids;
		
		if (rows.Count - 1 < e.Position)
			return;
		
		if (e.Price == rows[e.Position].Price)
			Print("true");
		else
			Print("FALSE");
		
	}
	
}

Thanks for your time.

[NinjaTrader_Jesse]

Hello Fernand0,

Thank you for the post.

In this case, I wouldnt know what specifically is wrong without Printing to see what values you are actually comparing. I could suggest a print like the following to gague what is happening better:

Print(e.Price + " == " + rows[e.Position].Price);

I also see this deviates from the OnMarketDepth sample we provide as you are directly assigning collections instead of checking the type and adding or removing or updating.

You have:

if (e.MarketDataType == MarketDataType.Ask)
			rows = e.Instrument.MarketDepth.Asks;
		else
			rows = e.Instrument.MarketDepth.Bids;

The sample we provide instead uses:

 List<LadderRow> rows	= (e.MarketDataType == MarketDataType.Ask ? askRows: bidRows);

The differences is the sample uses askRows: bidRows where you use e.Instrument.MarketDepth.Asks or e.Instrument.MarketDepth.Bids;

Later the data is added to the askRows: bidRows with logic.

If you are trying to use the rows[e.Position] syntax, I would suggest replicating how this is done in the following sample:

https://ninjatrader.com/support/helpGuides/nt8/en-us/creating_your_own_level_ii_dat.htm

I look forward to being of further assistance.

[Fernand0]

I wouldnt know what specifically is wrong without Printing to see what values you are actually comparing. I could suggest a print like the following to gague what is happening better:

Print(e.Price + " == " + rows[e.Position].Price);

if you print the prices or if you put an if comparing them, it's the same, i don't care about the prices, i care about them being the same...

private class LadderRow
        {
            public	string	MarketMaker; // relevant for stocks only
            public	double	Price;
            public	long	Volume;
        }

it's not neccesary, it's just a block of information...


The question is really simple...

Why MarketDepth<MarketDepthRow>.List<MarketDepthRow> have different values than MarketDepthEventArgs in the overridden method: OnMarketDepth?


Please, I request help from other NinjaTrader Customer Service. Who at least wants to try the codes that the user provides.

[NinjaTrader_Jesse]

Hello Fernand0.

I understand this is what you want to know, and I did previously test what you provided which is why I provided the answer that I had.

In my test I actually see some true's happening so again this is something that you can test for on your end to find the specific problem. Debugging is not a service our support provides but we can provide educational information to help you develop items on your own.

if you print the prices or if you put an if comparing them, it's the same, i don't care about the prices, i care about them being the same...

This is actually not correct. Printing will allow you to review what values are being used which in turn will let you know if they were or were not able to be true. Using an if comparison on two floating point numbers may not be true even if they are the same value, a Print will allow you to easily see this is the case. You can read about this subject here:

https://ninjatrader.com/support/helpGuides/nt8/en-us/floating-point_arithmetic.htm

https://ninjatrader.com/support/helpGuides/nt8/en-us/formatting_numbers.htm

You may need to use Floating-Point Arithmetic to do your comparison correctly but as noted you are deviating from what we provide as a sample of this concept, so using prints will be crucial to making sure what you are doing is valid.

In your specific test, displaying false is just not enough information to know why the condition was not true. Using a Print to see what the values are, what values were being compared when the condition was false?


I look forward to being of further assistance.

[Fernand0]

You may need to use Floating-Point Arithmetic to do your comparison correctly but as noted you are deviating from what we provide as a sample of this concept, so using prints will be crucial to making sure what you are doing is valid.

What...?
Your sample don't use List<MarketDepthRow>... what sample? where?
Please, show me the line. What you provide is a SAMPLE... i don't have to make all my codes exactly the same as your samples...
What kind of logic is that?


I'm asking about the functionality of NT platform...
Again you didn't answer, and you are patronizing now..

The prices have to be the same... you think that i didn't test them...?
I made several Prints to see what was going on... the volume is not the same either...

So... my question remains....
Why MarketDepth<MarketDepthRow>.List<MarketDepthRow> have different values than MarketDepthEventArgs in the overridden method: OnMarketDepth?

[Fernand0]

It's pretty clear that you can't help me and you underestimate the users....

Please, I request help from other NinjaTrader Customer Service. Who at least wants to try the codes that the user provides.

Debugging is not a service our support provides but we can provide educational information to help you develop items on your own.

I'm not even asking for debugging!! WTF

[NinjaTrader_PatrickH]

Hello Fernand0,

Thank you for your patience.

I am looking into your question further on my end.

However, e.Instrument.MarketDepth.Asks and e.Instrument.MarketDepth.Bids are not the recommended approach here for OnMarketDepth. These collections in fact are not documented. Comparisons to these collections from your own or from e.Price may not yield an exact match.

With that said I will provide details when I have them on why exactly they do not match.

I look forward to assisting you further.

[Fernand0]

Hello Patrick, thanks for your time.
I'll wait your conclusion in this matter

I am looking into your question further on my end.

Thanks for your dedication. Sincerely

However, e.Instrument.MarketDepth.Asks and e.Instrument.MarketDepth.Bids are not the recommended approach here for OnMarketDepth. These collections in fact are not documented. Comparisons to these collections from your own or from e.Price may not yield an exact match.

Hum.... if this is true, maybe a change should be done in a comment at this example

protected override void OnMarketDepth(MarketDepthEventArgs e)
        {
			// protect [B]e.Instrument.MarketDepth.Asks[/B] and [B]e.Instrument.MarketDepth.Bids[/B] against in-flight changes
			lock (e.Instrument.SyncMarketDepth)
			{
....

Anyway.. I'm testing it with Simulated Data Feed(market is closed by now)... There is not a single FALSE

Thanks for your patience and time.
My regards

[Fernand0]

Got it...

When OnMarketDepth starts, the MarketDepthEventArgs.Instrument.MarketDepth has already been changed

I upload the image.


Thanks for your time.

[Fernand0]

However, e.Instrument.MarketDepth.Asks and e.Instrument.MarketDepth.Bids are not the recommended approach here for OnMarketDepth. These collections in fact are not documented. Comparisons to these collections from your own or from e.Price may not yield an exact match.

DO NOT USE "Instrument.MarketDepth.Ask and Instrument.MarketDepth.Bid" as Patrick said

BUT.. you can keep using "marketDepth" from

marketDepth 		= new MarketDepth<MarketDepthRow>(instrument);
marketDepth.Update 	+= OnMarketDepth;

So, "marketDepth.Asks/Bids[i]" works without problems, even outside the OnMarketDepth method.

Regards