Check if level 2 data is available

[Armin]

Hi,

is it possible to check in an indicator, if level 2 data (marketdepth) is available for an instrument or connection.
This information would be needed to enable or disable a new feature of the indicator.

Thanks in advance!
Armin

[NinjaTrader_ChelseaB]

Hello Armin,

There is not a method or property that would state if level 2 data is subscribed.

It would be necessary to use a variable that starts as -1 or null and is assigned on the first update of OnMarketDepth() to see if this is running.

[Armin]

Hello Chelsea,

thanks for your answer!

When I add the OnMarketDepth to the indicator, I get an get_order_book error in the Log.
Will that cause any problems/restrictions to the indicator or will it run without limitations?

Best regards,
Armin

[NinjaTrader_ChelseaB]

Hello Armin,

Unfortunately, I am uncertain. You can test by adding a print to OnMarketData() and see if the print is appearing in real-time after the error appears.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

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

May I have the full error message to further investigate?

Ctrl + c to copy the line on the log, Ctrl + v to paste.

[Armin]

Hello Chelsea,

I've added this part of code to a small test indicator.

protected override void OnMarketDepth(MarketDepthEventArgs marketDepthUpdate)
{

Print(DateTime.Now + " OnMarketDepth " + marketDepthUpdate.ToString());

}

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{

Print(DateTime.Now + " OnMarketData " + marketDataUpdate.ToString());

}

That will result in the following error in the Log tab:

06.04.2023 17:26:57	Connection	Market data failed for 'ES 06-23': 'get_order_book error : 13'

The OnMarketDepth is not triggered, but the OnMarketData fills the Output with a huge amount of new lines like these:
06.04.2023 17:37:54 OnMarketData instrument='ES 06-23 Globex' type=Ask price=4115,25 volume=97 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:54 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=46 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:54 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=47 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:54 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=48 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:54 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=47 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:54 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=46 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:54 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=47 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:54 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=48 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:54 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=49 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:55 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=51 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:55 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=53 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:55 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=52 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:55 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=53 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:55 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=55 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:55 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=56 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:55 OnMarketData instrument='ES 06-23 Globex' type=Ask price=4115,25 volume=81 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False
06.04.2023 17:37:55 OnMarketData instrument='ES 06-23 Globex' type=Bid price=4115 volume=54 time='06.04.2023 17:37:54' bid=4115 ask=4115,25 isReset=False


Does it mean that I can rely that the indicator will work properly without any restrictions?

Thanks a lot for your support!
Armin

[NinjaTrader_ChelseaB]

Hello Armin,

Yes, the indicator is still running as confirmed by these prints.

As long as OnMarketDepth does not update, this would imply that level 2 is not available.