Retrieving Last Bid and Ask size

[Brutus]

Can you help me with some simple code to get the last bid size, and ask size (market depth 1st level). Not the bid/ask volume or bid/ask value.

I looked a the sample level II book and it looks very complex. I just want the 1st level sizes.

Many thanks



a sample I copied from the sample maket depth book

/// <summary>
/// Called on each incoming real time market depth event
/// </summary>
protected override void OnMarketDepth(MarketDepthEventArgs e)
{
List<LadderRow> rows = null;

// Checks to see if the Market Data is of the Ask type
if (e.MarketDataType == MarketDataType.Ask)
rows = askRows;

// Checks to see if the Market Data is of the Bid type
else if (e.MarketDataType == MarketDataType.Bid)
rows = bidRows;

if (rows == null)
return;

[NinjaTrader_JoshP]

Hi Brutus,

Welcome to the NinjaTrader Support Forums.

For Level I data please use OnMarketData() instead of OnMarketDepth(). The data you are looking for can be very easily accessed from the code sample shown in this article: http://www.ninjatrader-support.com/H...tDataEventArgs

Hope that helps.

[Brutus]

Hi Josh

Thank you for the welcome

What I need is code to get the last bid size and ask size (market depth 1st level size displayed at bid or ask). Not the bid/ask volume or bid/ask value.

From what you provided I can get the last bid and ask values, and calculate the trade volume at bid or trade volume at ask, but not get displayed size.

R/
B

[NinjaTrader_JoshP]

Hi Brutus,

I am not sure what you mean by bid size then. How is that any different then accessing bid volume?

[Brutus]

Hi Josh

Its the size of the actual bid, shown in the DOM. For the Es the Dom shows 5 bid levels -

1st level 200 contracts bid at 954 *** i want to get the 1st bid level value (200)
2nd level 300 contracts bid at 953.75
3rd level 400 contracts bid at 953.5
4th level 1200 contracts bid at 953.25
5th level 700 contracts bid at 953


So the 1st level, or inside bid/ask, size of bid and size of ask.

Thanks

[NinjaTrader_JoshP]

Ah. Then Brutus, you will have to use the reference sample. Instead of cycling through the whole array you could print the first row.

[Brutus]

Ah. Then Brutus, you will have to use the reference sample. Instead of cycling through the whole array you could print the first row.

Hi Josh

Could you help me out with the code to pull the first row data. Just the size of bid and size of ask

Thanks

[NinjaTrader_JoshP]

I believe you want to print the first [] from the ask book and the last [] on the bid book.

askRows[0].Price + askRows[0].Volume

bidRows[bidRows.Count - 1].Price + bidRows[bidRows.Count - 1].Volume

You will need to play with it. Use the reference sample and look at the printed books. Then work from there to get what you want.

If you feel you just don't want to deal with this level of programming you can try contacting one of the 3rd party NinjaScript Consultants here: http://www.ninjatrader.com/webnew/pa...injaScript.htm

[Brutus]

OK thanks Josh, I think I got enought to work with.