OnBarUpdate

[eqtrader]

My understanding is that OnBarUpdate() is called whenever the bid, offer, or new trade occurs.

Suppose I want to be able to differentiate an update of the bid/offer from an update resulting from a new trade taking place.

How do I accomplish this?

Thank you

[NinjaTrader_RyanM1]

Hello eqtrader,

OnBarUpdate is called during bar updates, so these would be actual transactions. It does not get called during updates to the bid or ask prices. You would have to use OnMarketData() for this.

The following reference sample is useful for creating your own level II book and working with market depth.
Creating your own Level II data book (Accessing market depth)

[eqtrader]

So OnBarUpdate() gets updated only when a new value of volume[0] is updated from the exchange?

[NinjaTrader_RyanM1]

Yes, it is only updated when there are updates to bars. Volume updates are included here if it pertains to actual trades made, not bid or ask volume changes.

See here for an overview of the different events.

[eqtrader]

I assume that OnBarUpdate() gets called once once per bar to update OHLC and the volume when the bar interval ends ( i.e. 1-minute, or y-minute ). Are there any cases in which this function is called more than once per interval?

Thanks

[NinjaTrader_RyanM1]

It is called on every incoming tick (transaction) or on bar close, depending on CalculateOnBarClose settings.