DOM data

[ssg10]

Hi, how can we inquire DOM data (ask, bid, ask vol, bid vol, #contract sold at bid or ask , tick up or tick down etc) for indicator developement?

[NinjaTrader_JoshP]

You will want to take a look at OnMarketData().

[ssg10]

Thanks.

What's the different between last and ask/bid? Is last either a price hit at the bid or ask?

protected override void OnMarketData(MarketDataEventArgs e)
{
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Last)
Print("Last = " + e.Price + " " + e.Volume);
else if (e.MarketDataType == MarketDataType.Ask)
Print("Ask = " + e.Price + " " + e.Volume);
else if (e.MarketDataType == MarketDataType.Bid)
Print("Bid = " + e.Price + " " + e.Volume);
}


So, if I want to know how many contracts sold at ask, then I will do
if MarketDataType.Ask
then Volume is the contracts sold at ask ?

If I want to detect the price has moved one level of depth, then I will do:
if MarketDataType.Ask is greater than previous MarketDataType.Ask, then
price has move one level up

How do I know how many asks at current level?

Above is just pseudo code. If you can confirm my analysis, it'll be appreciated

[NinjaTrader_JoshP]

Perhaps this reference sample will be more helpful: http://www.ninjatrader-support2.com/...ead.php?t=3478

Last is the last traded price. Bid/ask are just the bid and ask price. Also, consider using GetCurrentBid() and GetCurrentAsk(). For volume you can also use GetCurrentBidVolume()/GetCurrentAskVolume().

[ssg10]

Could you help to explain this section?


// Checks to see if the action taken by the Ask data was an insertion into the ladder
if (e.Operation == Operation.Insert)
rows.Insert(e.Position, new LadderRow(e.Price, e.Volume, e.MarketMaker));

/* Checks to see if the action taken by the Ask data was a removal of itself from the ladder
Note: Due to the multi threaded architecture of the NT core, race conditions could occur
-> check if e.Position is within valid range */
else if (e.Operation == Operation.Remove && e.Position < rows.Count)
rows.RemoveAt(e.Position);

[NinjaTrader_JoshP]

Prices move in and out of the DOM. That is what you are seeing with the insertion and removals.

[ssg10]

Sorry. Did you mean removal happens when somebody pulls out the order from the immediate bid or ask level? And, insertion is when somebody placed orders at bid or ask?

[NinjaTrader_Bertrand]

Right ssg10, order placed and pulled from the DOM bid / ask levels.

[ssg10]

I tried on FESX just now, and it shows a lot of updates. What does UPDATE mean? There are many updates not only at current price neigbors, but also far away in the depth.

Bid Update 2353 846 2355
Depth: Ask Update 2355 735 2355
Depth: Bid Update 2354 178 2355
Depth: Bid Update 2352 708 2355
Depth: Bid Update 2351 871 2355
Depth: Ask Update 2355 737 2355
Depth: Bid Update 2354 181 2355
Depth: Ask Update 2358 780 2355
Depth: Bid Update 2352 735 2355
Depth: Bid Update 2351 851 2355
Depth: Ask Update 2355 716 2355
Depth: Ask Update 2355 737 2355
Depth: Bid Update 2354 171 2355
Depth: Ask Update 2358 779 2355
Depth: Bid Update 2350 679 2355
Depth: Ask Update 2355 716 2355
Depth: Bid Update 2354 181 2355
Depth: Ask Update 2362 523 2355
Depth: Bid Update 2350 669 2355
Depth: Bid Update 2346 746 2355
Depth: Ask Update 2355 717 2355
Depth: Ask Update 2355 738 2355
Depth: Ask Update 2355 717 2355
Depth: Ask Update 2355 738 2355
Depth: Ask Update 2358 829 2355
Depth: Ask Update 2355 737 2355
Depth: Bid Update 2354 182 2355
Depth: Bid Update 2353 867 2355
Depth: Bid Update 2348 593 2355
Depth: Bid Update 2354 181 2354
Depth: Bid Update 2353 865 2354
Depth: Bid Update 2352 737 2354
Depth: Bid Update 2354 171 2354
Depth: Bid Update 2354 172 2354
Depth: Ask Update 2358 838 2354
Depth: Bid Update 2351 841 2354
Depth: Ask Update 2355 708 2354
Depth: Bid Update 2353 869 2354
Depth: Ask Update 2355 738 2354
Depth: Ask Update 2359 749 2354
Depth: Bid Update 2353 895 2354
Depth: Ask Update 2355 717 2354
Depth: Ask Update 2360 823 2354
Depth: Ask Update 2364 685 2354
Depth: Ask Update 2355 705 2354
Depth: Bid Update 2354 173 2354
Depth: A

[NinjaTrader_Bertrand]

This just means there's a change in the market depth occuring, people placing / pulling / parking orders at the various bid / ask levels, then the reported depth is udpated with the new contract quantity 'sitting' at those levels.

[ssg10]

Thanks. So, insertion and removal events are basically redundant, then?

[NinjaTrader_JoshP]

Why would they be redundant? One removes a price, one adds a price.

[ssg10]

I meant we have:

- update
-insert
- remove

update is basically $x (t) - $x (t-1). So, if we get "update" event at time t at price $x = 100 and at time (t-1), it was 90, then we get insertion of 10. Right?

It is the same as "insert" event = 10 at $x

Am I thinking the right way?

Basically, right now, I am trying to make an indicator to calculate net bids lifted and bids inserted at current bid level (minus) contracts sold at that level. The same for asks.

[NinjaTrader_JoshP]

Not following you. They are absolutely different events. An update is an update of a certain price. An insert is adding of a new one. A removal is removing of a price.

[ssg10]

Ok, that means my understanding is incorrect.

How do you define "adding a price" ? some examples are appreciated