Access to level 2 data for the last bar

[AndreaBhs]

Dear Support,

I used the example "Sample level2 book" indicator to access to level 2 data and it work well.

But I need to access to level 2 value for the whole last bar, not only for the last 10 tick up and 10 tick down (which is like SuperDom)

I don't understand how modify the code to do that

can you help me?

thank you, best regards

AndreaBHS

[NinjaTrader_PaulH]

Hello AndreaBhs,

Thanks for your post.

The Sample level2 book example shows the open orders at 10 levels above and below the current price. It would not be directly related to a bar.

Are you looking for the actual buy and sell volumes? Like the data you would find using Volumetric Bars?

Can you clarify what your end goal is?

[AndreaBhs]

Hi Paul,

my goal is print the value of Levels 2 above and below current price for the whole previous bar, like OrderFlow Market Depth built in (when plot is set on historical)

At the moment I need only 1 bar (the last closed bar), not all the last bar

[NinjaTrader_PaulH]

Hello AndreaBhs,

Thanks for your reply and clarification.

We would not have any examples of what you want to do. The Order Flow Market Depth Map code is confidential and I don't have access to it.

There would be a number of technical hurdles to get there. You are going to have to track that information and store it per bar if you want to read the "last bar's L2 data"

In general, we don't have any example code built for that but we think it would be possible to make a Series<Custom class> that describes a snapshot of the level2 book, and then make a Series<Level2SnapShot> that would be assigned and reset from a private/temporary Level2SnapShot object.

The thing is, OnMarketDepth would not be called synchronously after OBU, so it would not be perfect.

Then you would need to custom render that stuff... a lot to think about if you wanted to make a heatmap.

I have attached an example of a series custom class, on each bar, it pulls the open and close values and stores them in the MySeriesClass.

SeriesCustomClass.zip

Note: In the series custom class it will default to a look back of 256 bars so you may want to set the look back to infinite, like this: MySeriesClass = new Series<MyClass>(this, MaximumBarsLookBack.Infinite);

[AndreaBhs]

Thank you PaulH,
I have Ninjatrader Lifetime version, so I don't need to render, I already have OrderFlow MarketDepth Built in.
I need Value for my custom strategy.

I think I will use a <List> for the previous bar to store values

Thank you, best regards,

AndreaBHS