marketDepthUpdate strange order of events

[doron]

Hi

I am using NT8

I am connected to CQG

I build indicator which is based on events accepted via OnMarketDepth method.

I am intested , for now, in bid and ask events .

I found that the order of events which trigger the method is not always according to time as given by marketDepthUpdate.Time. i.e. sometimes new event has time stamp before the event.just begore the new one.

I found that this happened only with marketDepthUpdate.Operation with value ADD

(but not always )

Is the event with operation ADD a real event ?
Should I ignore this event ?

In addition What is operation Remove ?

Can you explain that.

[NinjaTrader_PatrickH]

Hello doron,

Thank you for your post.

The Operation of MarketDepthEventArgs is used when building a level ii book.

• Add will add the level to the ladder of depth
• Update will change a level in the ladder of depth
• Remove will remove the level from the ladder of depth

What event sequence are you seeing that is out of order? Please detail each event and it's time stamp. If you can provide the code used, please do so.

[doron]

as i told you i am looking at bid and ask events only

what is the difference between ASK event which come with an ADD operation
and ask event information which come with update operation

both has time and volume

when i have update operation with time stamp on it i understand that at this time the volume updated at this price level.

when i have an add operation with time stamp on it what does this time represent ?

i am looking event after event as they arrive regardless of the price and compair the last event time to previous event time

[NinjaTrader_PatrickH]

Hello doron,

ANY event when it is ADD is being added to the depth ladder. ANY event that is UPDATE is an update to an existing level in the ladder. The TIME of an ADD event is the time the add was called to add the level to the ladder - essentially the time the value updated outside the current levels.