I am looking for a way to display market orders that have been filled at ask and at bid.
I tried to reproduce this today and to display results to the output screen.
I found the following:
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e.MarketData.Bid.Price feed - gives me the current bid price.
e.MarketData.Bid.Volume feed - gives me the current number of contracts available @ that bid price.
MarketDataType.Last feed - gives me the sum of bid and ask contracts traded between each update.
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I have not been able to find a stream displaying filled Bid and Ask Market Orders.
I believe your volume series is the sum of Market Orders filled at Bid and Ask.
This problem seems pretty basic, but its got me stumped!!!
How do I go about collecting this data???
Thanks,
RJay
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