Complete Order Book Indicator

[Bobin]

Does anyone know of a third party indicator or market data provider that provides up to date order book data?
The goal would be to get every order in the current order book.
I know I could subscribe to a Market Depth stream and build my own order book. However, this would be extremely complicated as you would need to listen to Market Depth for countless markets 24/7.

[NinjaTrader_Jim]

Hello Bobin,

Thanks for your question.

What is wrong with using OnMarketDepth and using the Level 2 data from your data provider? We can also use Market Replay data to playback Level 2 data as well.

Are you maybe looking at the number of levels of depth loaded from your data provider?

To demonstrate, I am testing Order Flow MarketDepthMap and I have set the indicator's levels of depth to 100. I am also using a Rithmic connection where many levels of depth are available:

https://drive.google.com/file/d/1lzz...w?usp=drivesdk

The level 2 data loads very quickly in my tests.

[Bobin]

Hi Jim
ohhh.... I didn't know market replay would support level 2 data.
Thank you!