I'm having problems using OnMarketDepth when the indicator is multi-series.
To test it take SampleLevel2Book and add
Add(PeriodType.Tick, 1);
to the Initialize() function.
OnMarketDepth is called twice per each event, but BarsInProgress is always 0. I've try to make a workaround using information only once call each two, but doesn't works fine, because some times OnMarketDepth is in line for the same series, instead of alternative (for example initial Inserts), but only sometimes, others doesn't. Kind of a hell :-(
Hope you can help me with this.
Best regards and thank you!
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