I have some code that uses OnMarketDepth. I have mostly been running it on futures contracts. I have switched to stocks and I can see some discrepancies.
I am using OnMarketDepth(MarketDepthEventArgs e) and then using e.Volume to get the volume bid or offer at any level.
This is working fine in futures but not do well in stocks. With stocks, it just takes the volume from the first market maker and not the volume for the level.
Is there a way to get the depth for a specific bid/ask level from OnMarketDepth or do I need to loop through the volume for each market maker?
Confused....
Pete
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