Real-time Marketh Depth Indicator Reference Sample

[NinjaTrader_Ray]

I have been getting a lot of private requests from individuals asking for a referencesample of how to access market depth (order book) data for the creation of custom indicators. At the time ofthis post, accessing market depth is not part of theofficially supported NinjaScript layer. What I present here is intended for advancedprogrammers andoutside the scope of what we currently provide technical support for.

For those interested,please take a look at theattachedreference indicator. It will show you how to attached market depth event handlers and access some of the depth events as a result.

Ray

[rtrader]

Ray -

Thanks very much for posting this. Saved a lot of researchand works great.

[RedDuke]

I am developing an indicator that utilizes market depth. The difficulty that I am having is showing its results on the chart. When I use Plot or DrawText methods within OnBarUpdate they work great, but are only updated once the chart moves and not when market depth changes. Putting the same commands within OnMarketDepth does not work, they are being ignored. Print method does work, but it required output window.

I realize the Ninja does not provide support for this feature, but I want to ask if anyone had any development done with MarketDepth event. How can I display a value on the chart that changes when OnMarketDepth event is being triggered.

Thanks,
redduke

[jcash]

Originally Posted by RedDuke

I am developing an indicator that utilizes market depth. The difficulty that I am having is showing its results on the chart. When I use Plot or DrawText methods within OnBarUpdate they work great, but are only updated once the chart moves and not when market depth changes. Putting the same commands within OnMarketDepth does not work, they are being ignored. Print method does work, but it required output window.

I realize the Ninja does not provide support for this feature, but I want to ask if anyone had any development done with MarketDepth event. How can I display a value on the chart that changes when OnMarketDepth event is being triggered.

Thanks,
redduke

I have the same question re setting the plots from within OnMarketDepth, updating with each change in depth data. Is this possible? i have written indicators that set a plot from within OnMarketData, which work fine.

[NinjaTrader_Josh]

You should be able to. It would probably be done in the same fashion you have it as over in OnMarketData().

[jcash]

using the following variables b = e.MarketDepth.Bid.TotalVolume(5); a = e.MarketDepth.Ask.TotalVolume(5); within OnMarketDepth, i add Bid.Set(b); and Ask.Set(a); also within OnMarketDepth and get the following error:

Cbi.MarketDepth.MarketDepthItemAddNow: exception caught: Index was out of range. Must be non-negative and less than the size of the collection. Parameter name: index

the variables assign correctly and print in the output window, but no plots.

[NinjaTrader_Josh]

jcash,

Those are not supported MarketDepthEventArgs. Please see this article: http://www.ninjatrader.com/support/h...DepthEventArgs

[RedDuke]

Anybody??? I thought that this feature is being used by a lot of people.
Thanks,
redduke

[mwusu]

Originally Posted by NinjaTrader_Ray

I have been getting a lot of private requests from individuals asking for a referencesample of how to access market depth (order book) data for the creation of custom indicators. At the time ofthis post, accessing market depth is not part of theofficially supported NinjaScript layer. What I present here is intended for advancedprogrammers andoutside the scope of what we currently provide technical support for.

For those interested,please take a look at theattachedreference indicator. It will show you how to attached market depth event handlers and access some of the depth events as a result.

Ray

Is it possible to access this sample indicator from a strategy? I tried and got a "The name 'DepthReferenceSample' does not exist in the current context" error when I tried to compile.

Marcus

[NinjaTrader_Ray]

Hi Marcus,

This indicator is not accessible from a strategy. With our upcoming NT 6.5 release due out in beta late summer, you will be able to access market depth and data events directly.