Orders and OnMarketData

[james@iknowsystems.com]

Does OnMarketData get called for each Order placed in a market?

Are the Ask / Bid Values in OnMarketData the same as the values in the Time and Sales window?

James Donald

[NinjaTrader_Bertrand]

Correct James, OnMarketData() and the Time and Sales windows access the same Level 1 data stream.

OnMarketData() will get called for each of those event args -

MarketDataType.Ask

MarketDataType.Bid

MarketDataType.DailyHigh

MarketDataType.DailyLow

MarketDataType.DailyVolume

MarketDataType.Last

MarketDataType.LastClose (prior session close)

MarketDataType.Opening

[james@iknowsystems.com]

Thanks Bertrand.

[james@iknowsystems.com]

I am having problems getting the data from OnMarketData to match the T&S window.

I set up a threshold to only show me Asks / Bids larger than a threshold. I set the T&S size filter to the same threshold. I seem to get more Ask / Bids from my indicator than shown on the T&S.

Does the T&S apply any additional filtering on the Ask / Bid Volume?

James Donald

[NinjaTrader_RyanM]

James,

The time and sales window does not display bid / ask volume. It's transactional volume which would be volume during Last updates if comparing with OnMarketData() stream.

[james@iknowsystems.com]

Ryan,

I got it to match the T&S now, but what does MarketDataType.Last mean?

James

[RJay]

Hi James,

Bid and Ask refer to updates to the number of limit order contracts available at the current Bid and Ask prices.

"Last" refers to contracts traded.

RJay