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Exposed marketDepth Data Ask/Bid Arrays

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    Exposed marketDepth Data Ask/Bid Arrays

    I am wondering how to access the marketdata arrays much like in this AddOn example within and Indicator/Strategy that uses the OnMarketDepth() function:

    Code:
     
          public MyAddOnTab()
          {
               // Subscribe to market data. Snapshot data is provided right on subscription
               // Note: "instrument" is a placeholder in this example, you will need to replace          
               // with a valid Instrument object through various methods or properties available depending
               // on the NinjaScript type you are working with (e.g., Bars.Instrument or Instrument.GetInstrument()
               marketDepth = new MarketDepth<MarketDepthRow>(instrument);
               marketDepth.Update += OnMarketDepth;
          }
      
          // This method is fired on market depth events and after the snapshot data is updated.
          private void OnMarketDepth(object sender, MarketDepthEventArgs e)
          {
               // Print the Ask's price ladder
               for (int i = 0; i < marketDepth.Asks.Count; i++)
               {
                    NinjaTrader.Code.Output.Process(string.Format("Position: {0} Price: {1} Volume: {2}", i,
                         marketDepth.Asks[i].Price, marketDepth.Asks[i].Volume), PrintTo.OutputTab1);
               }
          }

    #2
    Hello NJA_MC,

    Thank you for writing in. I will confirm whether this is or should be possible inside an indicator/strategy and if so what method would be preferred for accomplishing this. Please note: Our normal operating hours are between 8:30AM EST and 6:00PM EST Monday through Friday.

    Thank you for your patience in the meantime.
    Michael M.NinjaTrader Quality Assurance

    Comment


      #3
      Hello NJA_MC,

      You will be able to utilize that code in an indicator/strategy just as you do in an AddOn.

      You'll want to place
      Code:
      marketDepth = new MarketDepth<MarketDepthRow>(instrument);
      marketDepth.Update += OnMarketDepth;
      in State == State.Defaults

      Be aware, however, that this will not work with Market Replay; it will only work with live data.

      Please, let us know if we may be of further assistance.
      Zachary G.NinjaTrader Customer Service

      Comment

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