Decoding Level 2 commands

[ren37]

Hello

I found some difference in Level 2 coding rules for different data feeds.

This data is from CQG data feed printed in OnMarketDepth()

Instrument='6E 03-17 Globex' Type=Bid MM='' Operation=Update Pos=7 Price=1,08035 Volume=52 Time=01.02.2017 8:00:14 bar=417726
Instrument='6E 03-17 Globex' Type=Bid MM='' Operation=Update Pos=7 Price=1,0803 Volume=69 Time=01.02.2017 8:00:20 bar=417726

To build correct DOM for 6E futures this should be interpreted as: "Set volume 69 for price 1,0803 at Bid side".
So I need Dictionary<price, volume> to manage this.

But for data from IQFeed for e.g. AAPL stock this should be interpreted as: "Overwrite position 7 at Bid side. Set price 1,0803 and volume 69"
In this case I need Dictionary<position, {price, volume, optional MM}> to manage this.

Am I right or not?
NT7 Level II window displays correct Level 2 for both data feed.

[NinjaTrader_PatrickH]

Hello ren37,

Thank you for your post.

You are correct on how to interpret the updates of the Level 2.

Please let me know if you have any questions.

[ren37]

Patrick, ty for reply.

How I can know what algo to use?
One algo is position based (for stocks) and other one is price based (for futures).

[NinjaTrader_PatrickH]

Hello ren37,

Thank you for your response.

It would depend on what values you wish to assign to your Dictionary.

You can find two examples of working with Level 2 data at the following links:

• http://ninjatrader.com/support/forum...ead.php?t=5965
• http://ninjatrader.com/support/forum...ead.php?t=3478

Please let me know if you have any questions.

[ren37]

Thank you.
Error was in handling DOM via Dictionary which does not change position of resting DOM ladders on Dictionary.Remove(position).