protected override void OnMarketData(MarketDataEventArgs e)
{
if ( e.MarketDataType == MarketDataType.Bid )
currentBid = e.Price;
else if ( e.MarketDataType == MarketDataType.Ask )
currentAsk = e.Price;
else if ( e.MarketDataType == MarketDataType.Last )
{
currentPrice = e.Price;
currentVolume= e.Volume;
if ( currentPrice >= currentAsk )
cumulativeDelta += currentVolume;
if ( currentPrice <= currentBid )
cumulativeDelta -= currentVolume;
}
Value[0]=cumulativeDelta
}
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