Should I ignore this event ?
Announcement
Collapse
No announcement yet.
Partner 728x90
Collapse
NinjaTrader
marketDepthUpdate strange order of events
Collapse
X
-
marketDepthUpdate strange order of events
HiI am using NT8I am connected to CQGI 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.Tags: None
-
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.Last edited by NinjaTrader_PatrickH; 08-31-2016, 12:55 PM.
-
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 timeLast edited by doron; 08-30-2016, 01:18 PM.
Comment
-
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.
Comment
Latest Posts
Collapse
Topics | Statistics | Last Post | ||
---|---|---|---|---|
Started by GussJ, 03-04-2020, 03:11 PM
|
16 responses
3,279 views
0 likes
|
Last Post
by Leafcutter
Today, 04:14 PM
|
||
Started by WHICKED, Today, 12:45 PM
|
2 responses
19 views
0 likes
|
Last Post
by WHICKED
Today, 03:36 PM
|
||
Started by Tim-c, Today, 02:10 PM
|
1 response
9 views
0 likes
|
Last Post Today, 02:52 PM | ||
Started by Taddypole, Today, 02:47 PM
|
0 responses
5 views
0 likes
|
Last Post
by Taddypole
Today, 02:47 PM
|
||
Started by chbruno, 04-24-2024, 04:10 PM
|
4 responses
52 views
0 likes
|
Last Post
by chbruno
Today, 02:38 PM
|
Comment