Ask + Bid values on each price levels

[gyilaoliver]

Hi,

i am learning to code, i can work with OnMarketData outputs regarding ask and bid values, but right now i am only able to o it for a given bar.
I would like to learn how to work with each price level inside of the bar, is there any way it can be done ?
Or can someone point me to a reference of how i would be able to do this ? ( want to learn )

Thank you

[NinjaTrader_Jesse]

Hello gyilaoliver,

You can see the following example which works with level2 data, that will let you get the various levels. Resetting per bar would be based on your logic so after collecting data in the bar when a new bar happens from OnBarUpdate you could clear the collection or use a series to store data per bar.

https://developer.ninjatrader.com/docs/desktop/using_custom_events_to_output_the_current_level_ii_data_book

[gyilaoliver]

Hi Jesse, thanks for the reply.
Actually i don’t need level 2 data ( as I don’t have ), maybe i didn’t express myself well when asking the question.

what i want to do is to check imbalances, for example, as the candle is building. What i thought i could do, but don’t know if it would work, is something like :

Sells[0][pricelevel] = sells (from OnMarketData)
where [0] would refer to the current bar index, then i would compare Buys[0][pricelevel] to Sells[0][pricelevel]

[NinjaTrader_Jesse]

Hello gyilaoliver,

It would be similar concept if you wanted to do that with just level 1 data, you would need to use a dictionary like the sample I linked so you can have a collection where a key is used to see values. Level 1 data is just a tick so there are no levels, that would be completely up to your own logic to store values so you can refer to them later.