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Decoding Level 2 commands

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    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.

    #2
    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.
    Patrick H.NinjaTrader Customer Service

    Comment


      #3
      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).

      Comment


        #4
        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.
        Patrick H.NinjaTrader Customer Service

        Comment


          #5
          Thank you.
          Error was in handling DOM via Dictionary which does not change position of resting DOM ladders on Dictionary.Remove(position).

          Comment

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