Level 1 & 2 Data

[GKonheiser]

If I am looking at OnMarketDepth (level 2 Data) will that include all changes in Level 1 data ? IE will I get all the changes in bid / offer just as in OnBarUpdate ?

[NinjaTrader_Jim]

Hello GKonheiser,

Thanks for opening the thread.

OnMarketDepth() is guaranteed to provide level 2 data in the correct sequence for every change of level 2 data.

OnMarketData() is guaranteed to be in the correct sequence for every change in level 1 data.

For all changes in level 1 data, I would suggest to use OnMarketData(). Further reading can be found below:

OnMarketData() - https://ninjatrader.com/support/help...marketdata.htm

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

Please let me know if I may be of further assistance.

[GKonheiser]

Hi Jim,

Thanks for the reply, if level 2 data include the most the bid and offer at position 0 , ie the current best bid and offer why would this not be identical to level 1 data ?

[NinjaTrader_Jim]

Hello GKonheiser,

Thanks for the additional question.

The bigger difference between the two methods lies in the MarketDataEventArgs and MarketDepthEventArgs. OnMarketData() which is used for outputting level 1 data has the following MarketDataType's:

MarketDataType.Ask
MarketDataType.Bid
MarketDataType.DailyHigh
MarketDataType.DailyLow
MarketDataType.DailyVolume
MarketDataType.Last
MarketDataType.LastClose (prior session close)
MarketDataType.Opening
MarketDataType.OpenInterest (supported by IQFeed, Kinetick)
MarketDataType.Settlement

OnMarketDepth() which is used for outputting level 2 data only has bid and ask available and provides other functionality to build a level 2 book.

MarketDataType.Ask
MarketDataType.Bid

As these methods are called asynchronously and provide different output, you will not see identical Bid and Ask prices passing through these methods. This is where it would be advised to use OnMarketData() for level 1 purposes over the Bid/Ask in OnMarketDepth().

If you have any additional questions, please don't hesitate to ask.