I want something like :
if (e.MarketDataType == MarketDataType.Last) {
if (e.MarketDataType == MarketDataType.Bid) a = e.Volume;
if (e.MarketDataType == MarketDataType.Ask) b = e.Volume;
}
I want to access the MarketDataType.Last hit at the bid (and below) and the MarketDataType.Last hit at the ask (and above). How to do that ?
I tried comparing e.Price with the price of the tick before but unfortunately I don't get what I want. Rising/falling price doesn't always mean the ask/bid is hit.
Thanks
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