What would be the most efficient way to aggregate top 10 levels of bid/offer on book in real-time (and preferably historically as well, even if it's a snapshot at bar close)? I have level II data via CQG Continuum.
Thx.
Thx.
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Hello TheFil,
Likely this would be using a list the same way the SampleLevel2Book reference sample demonstrates.
Chelsea B.NinjaTrader Customer Service -
Thanks NinjaTrader_ChelseaB,
Interesting construction in the example... I suppose I would have expected that the bid/offer at a given price would be referenceable by passing a single argument (the price) to a method rather than continuously rebuilding a 10x1 list object. Out of curiosity is this the manner in which the SuperDOM ingests/presents data as well?
As a follow-up to that, what is the manner/structure of the data as sent by the exchange itself (if you happen to know)?
The SuperDOM has a property "Show Cumulative Depth" -- this is essentially the number I'm looking to compute. Is there a more "direct" way to do this than invoking OnMarketDepth() as per the sample you referenced?
Comment
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Hello TheFil,
Unfortunately, I would not be able to give insight about the NinjaTrader core code and I would not be able to give insight about the brokerage or data feed APIs.
How you structure your data storage is up to you.
Using a Dictionary to store levels by a key such as the price is something you could choose to do.Chelsea B.NinjaTrader Customer ServiceComment
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Hello TheFil,
I have a rendering demonstration that uses a dictionary.
Below is a link to the microsoft documentation.
Chelsea B.NinjaTrader Customer ServiceComment
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