Marketdepth

[tonynt]

Hello,

what might be the reason that the numbers in level2 and marketdepth are different? In the attached screenshot one can see that level2 and jigsaw depth are same numbers, but marketdepth shows different numbers.

Today I made a screenshot (FESX) with marketdepth, level2 and anotther 3rd-party-indicator, and again the Level2 and 3rd-party-ind draw same numbers (385x384 and 742x589) but marketdepth numbers are different.

Another screenshot FESX few minutes later same numbers Level2 and 3rd-party-ind but different numbers marketdepth.

Thank you!
Tony

[NinjaTrader_Clayton]

Hello tonynt,

Thank you for writing in.

For the Order Flow Market Depth Map to most closely match the Level 2 window, you would need to base the Order Flow Market Depth Map on a 1 Tick Data Series.

• Please see the description from the Help Guide below:
  • Order Flow Market Depth Map by default also shows Realtime Depth.
    
    Realtime Depth means it displays the realtime Order Flow Market Depth Map values of the currently forming bar. So this will display the largest depth that was received at that price level within the most recent bars time frame. To more closely match the SuperDOM or Level II window you would need to run the Order Flow Market Depth Map on a 1 tick data series.
    • https://ninjatrader.com/support/help...p.htm#Overview

Even when using a 1-Tick Data Series with the Market Depth map, it is going to be very close but most likely not line up with the Level 2 Window or SuperDOM exactly due to the way that the chart waits for an incoming tick to change or recalculate the window while the Level 2 and SuperDOM windows can update the values showing at all the different price levels without a trade needing to take place to make the window refresh/update.

Please see these examples from my platform. I have a 1 Minute chart and a 1 Tick chart to show how the different interval length can affect the results of the Order Flow Market Depth Map. We can then see the official Market Depths being reported within the SuperDOM and Level 2 window:





Please let us know if we may provide any further assistance.