• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Decoding Level 2 commands

Collapse
X
  • Filter
  • Time
  • Show
Clear All
new posts

  • ren37
    started a topic Decoding Level 2 commands

    Decoding Level 2 commands

    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.
    Last edited by ren37; 02-08-2017, 08:58 AM.

  • ren37
    replied
    Thank you.
    Error was in handling DOM via Dictionary which does not change position of resting DOM ladders on Dictionary.Remove(position).

    Leave a comment:


  • NinjaTrader_PatrickH
    replied
    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:
    Please let me know if you have any questions.

    Leave a comment:


  • ren37
    replied
    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).

    Leave a comment:


  • NinjaTrader_PatrickH
    replied
    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.

    Leave a comment:

Latest Posts

Collapse

Topics Statistics Last Post
Started by kitwit, Today, 09:47 AM
0 responses
5 views
0 likes
Last Post kitwit
by kitwit
 
Started by vantojo, Today, 08:35 AM
1 response
7 views
0 likes
Last Post NinjaTrader_PatrickG  
Started by frankduc, Today, 08:28 AM
1 response
9 views
0 likes
Last Post NinjaTrader_Jim  
Started by EddieBeanPit, 06-21-2019, 07:17 PM
1 response
20 views
0 likes
Last Post NinjaTrader_Jesse  
Started by futures2018!, Yesterday, 05:01 PM
3 responses
15 views
0 likes
Last Post NinjaTrader_Jesse  
Working...
X