Subscribe to market depth

[morleyc]

Hi fellow traders, I am trying to get order book data so can match tick by tick vs the bid ask spread.

I have ticks coming in, but no order data events.

I presume I do not have full depth data from data provider - which ones would i be looking at for this?

protected override void OnMarketDepth(MarketDepthEventArgs e)
{
  if (e.Operation == Operation.Update && e.MarketDataType == MarketDataType.Ask)
  {
      var quoteData = new
      {
          Time = DateTime.Now.ToString("o"), // ISO 8601 format
          BidPrice = e.Price, // Simplification for the example
          BidVolume = e.Volume,
          AskPrice = e.Price, // Your implementation should properly handle bid/ask
          AskVolume = e.Volume
      };
      SendData(quoteData);
  }
}

[NinjaTrader_ChelseaB]

Hello morleyc,

Welcome to the NinjaTrader forums!

You can subscribed to market depth level II data in the Client Portal.

Below is a link to the support article with instructions.

https://support.ninjatrader.com/s/article/How-do-I-register-for-data-feeds-for-my-account

Also, below is a link to the reference sample in the help guide you may find helpful.

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

[morleyc]

Thanks NinjaTrader_ChelseaB for the quick and helpful reply! I have now subscribed and can see the data from the SuperDOM window.

I can see the indicator sample you provided thank you.

If i wanted to add this to my strategy, would I do this specifically via a DOM indicator?

Or is there a way that the strategy itself can subscribe to DOM (currently, just having OnMarketDepth does not cause it to subscribe).

[NinjaTrader_ChelseaB]

Hello morleyc,

Once market depth is subscribed, the OnMarketDepth() override in the strategy will start updating in real-time with level II data.

Below is a link to the help guide.

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