Level 2 data stream

[Chippy]

Where can I find more detailed info on how the level 2 data stream works?

I am studying the OnMarketDepth() and noticed a few behaviors I cannot explain nor find more info on. If there's a white paper or something more technical on the topic that might help answer the questions below, I would be grateful. First, I'm studying by writing an indicator. It is only reading the level 2 data stream, then stream writing to a file. I'm receiving no errors. Set to Calculate.OBC, 1-minute chart. Only a single Print() in the OBU().

1) I have noticed at times order entries in the text file can be several seconds out of chronological order. What might cause this? How often is it expected? How accurate/reliable is the data?

2) Are there sync issues? Specifically within the stream and also syncing with other streams like combining level 2 with T&S?

3) Times have huge gaps between entries. Does the chart running the indicator need to have focus? Just be visible?

[NinjaTrader_ChrisL]

Hi Chippy, thanks for posting.

The best example to study the level 2 data and how to use it is the Level 2 book example we have made:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?creating_your_own_level_ii_dat.htm

1. The first question depends on how you have written your test script. If you study the above script it should resolve. Writing to a .txt file can be a slow and expensive procedure, so it should not be called very frequently.
2. The T&S window is more of a representation of the OnMarketData method. A SuperDOM window would be a representation of OnMarketDepth.
3. Indicators have a property IsSuspendedWhileInactive. Make sure this is set to false and it will run when minimized/non-active.

Kind regards,
-ChrisL