Aggregate Top 10 Levels of Book Depth

[TheFil]

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.

[NinjaTrader_ChelseaB]

Hello TheFil,

Likely this would be using a list the same way the SampleLevel2Book reference sample demonstrates.

https://ninjatrader.com/support/helpGuides/nt8/creating_your_own_level_ii_dat.htm

[TheFil]

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?

[NinjaTrader_ChelseaB]

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.

[TheFil]

Thanks NinjaTrader_ChelseaB,

Do you have any examples implementing a dictionary that I might reference?

[NinjaTrader_ChelseaB]

Hello TheFil,

I have a rendering demonstration that uses a dictionary.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/98639-performance-optimization?p=789606#post789606

Below is a link to the microsoft documentation.

https://docs.microsoft.com/en-us/dotnet/api/system.collections.generic.dictionary-2?view=netframework-4.8