Current list of open bid and ask data

[amrik]

How to get all open bid and open ask data such as prices and the number of corresponding open contracts. What I mean is that currently there will be several bids and asks which are waiting to be fulfilled. How can I get the complete list of such open bids and asks prices and number of contracts. I want to create a suitable indicator.

[NinjaTrader_Erick]

Hello amrik,

Thank you for your message.

For that, you would need to have Level 2 (Full Market Depth) data enabled on your account connection.

The difference between Top of Book (Level 1) and Full Market Depth data (Level 2) is that Top of Book data provides only the latest bid and ask prices, while Market Depth refers to the amounts of money waiting to be matched at all prices in the market.


Full market depth data allows you to get an expanded view of the entire market, not just the three "front-end" prices.

Reasons why you may need Level 2 data:

- You want to see more levels of Bids and Orders in the SuperDOM.

- You want to make full use of the platform's Order Flow+ tools, specifically the Market Depth Map

- You have certain indicators that require full market depth data to plot.


In the end, only you will know whether you need Level 2 data or not, but you may choose to change or upgrade your data subscription for your NinjaTrader Brokerage account (from the NinjaTrader Client Portal ) if you decide in the future that a different subscription would benefit you.


Let us know if we can be of further assistance.

[amrik]

Hi Erick,

Thanks for your response. I will work with Level 2 data. Do you have any sample scripts or code snippets that I can use to build my indicator or any relevant pages in your online guide. I spent the day looking for something related to this. All I could find was related to current Bid/Ask.

Thank You
Amrik

[NinjaTrader_ChelseaB]

Hello Amrik,

Yes, a reference sample exists that can be downloaded from the help guide linked below.

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

I'm also including a link to the help guide on the OnMarketDepth() override method.

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

As a heads up, OnMarketDepth() does not run in historical data and is not recorded with TickReplay.