Market Depth()

[TraderChris123]

Hello,

when the market is open I can see market depth on the Super Dom Rows and also on an additional Add On for the Super DOM.

When the market is closed and I want to replay that recorded data the additional Add On for the Super DOM shows all lines of recorded market depth but on the ladder
of the Super DOM itself the behaviour is unpredictable, I see different depths on bid and ask side and data that is not in line with the recoded data.

If I try to access this data via OnMarketDepth(), it also seems to be incomplete and ask/bid is not symetrically.

What can I do and how do I have to proceed, if I want to test code outside of market hours with full depth ?

[NinjaTrader_BrandonH]

Hello TraderChris123,

Thanks for your post.

OnMarketDepth() is a realtime data stream and is not called on historical data (backtest) as stated in the OnMarketDepth() help guide page. Note that the OnMarketDepth() method is called and guaranteed to be in the correct sequence for every change in level two market data (market depth) for the underlying instrument.

OnMarketDepth(): https://ninjatrader.com/support/help...arketdepth.htm

So I may accurately assist, are you using the Playback connection to play back Market Replay data that you recorded?

Is the SuperDOM AddOn on that you created? Or, was it created by a third-party developer?

If it was created by you, are you printing out the market depth bid and ask values in the script to see how those values are processing?

Please also send a screenshot demonstrating the behavior you are reporting so I may investigate further.

• To send a screenshot with Windows 10 or newer I would recommend using the Windows Snipping Tool.
  • Click here for instructions
• Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save it as a jpeg file and send the file as an attachment.
  • Click here for detailed instruction

I look forward to assisting further.