I have to code an indicator for a client that wants to have accumulated Bid and Ask Volume at specific time during the day.
I get weird result.
Here is how I get my bid and ask data and cumulate them :
protected override void OnMarketData(MarketDataEventArgs e) { if(e.MarketDataType == MarketDataType.Ask) accumulatedAsk += e.Volume; else if(e.MarketDataType == MarketDataType.Bid) accumulatedBid += e.Volume; }
the data I get is way too high !
Thanks
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