accesing LevelII

[level2]

Hi everybody...
first of all thanks for giving support.

Now, this question has been already asked but not properly answered yet, I'm afraid

I need to read data from level II, using onmarketdepth()

But how can I sum de total sizes in each side?

And how can my code change the color of the background, in order to stress the biggest size in the levelII window?

Any idea?
thanks


If you were as kind as to avoid redirecting me to the famous link http://www.ninjatrader-support.com/H...?OnMarketDepth, i would appreciate it

[NinjaTrader_Austin]

Hi level2, welcome to the forums!

I'm afraid this question has been answered correctly.. I actually programmed this myself a few weeks back. Please see post #6 by auspiv (me) on this thread. After you import the indicator, it will show up as SampleMarketDepth in the indicator list.

[level2]

Thanks for your welcome

Sorry, I read several threads on this topic but it seems that I missed that thread. Terrific one, congratulations. I'll read it in further detail right now.

Just a little question...
When reading the MarketDepthEventArgs we find the 'Operation' argument with three possible values:

Insert, Remove and Update.

Insert means that a new price appears in this side (bid/ask)
Update means that values are updated in a previously displayed price
And Remove means....?

[NinjaTrader_Austin]

Insert, Remove and Update.

Insert means that a new price appears in this side (bid/ask)
Update means that values are updated in a previously displayed price
And Remove means....?

Those terms refer to the necessary action to keep the Level II book updated. You have Insert and Update correct, and Remove simply means remove that price from the Level II book.

In general, you can probably ignore all those functions, and just run all your Level II codes below the insert/update/remove functions (at the very bottom of OnMarketDepth()). That way everything is up to date, and you don't have to worry about how to update the book yourself.

[eDanny]

Here is an interesting way to use it, in the bottom indicator, user selectable from 5 - 10 levels. Lets you keep your eye off the Dom and colored background is a quick givaway.

[level2]

Thanks for all your answers guys. Let's hope this post will be useful for other people interested as well

What I'm trying is to PAINT the book dinamically INTO the chart in order to keep track all the time of "where is the biggest size" in relation with the last price traded whitout need to look at a book ever changing.

Those terms refer to the necessary action to keep the Level II book updated.

Maybe that explains why before an UPDATE usually appears a REMOVE?
A REMOVE with size=0, by the way.

In general, you can probably ignore all those functions, and just run all your Level II codes below the insert/update/remove functions (at the very bottom of OnMarketDepth()). That way everything is up to date, and you don't have to worry about how to update the book yourself.

May I be so bold as to ask you to develop a little bit further this last paragraph ?

[NinjaTrader_Austin]

If you're trying to get a visual display of the book onto your chart, you might want to take a look at Eds Level II on this page. I think it might be exactly what you're looking for.

Expanding on the last paragraph: The NinjaTrader SampleMarketDepth script is a well-developed sample that generates and then continuously updates a Level II book. I was referring to placing any L-II logic below all the insert/update/remove functions so you wouldn't have to worry about modifying the price ladders yourself. By the time OnMarketDepth gets to this,

else if (e.Operation == Operation.Update && e.Position < rows.Count)
            {
                rows[e.Position].MarketMaker    = e.MarketMaker;
                rows[e.Position].Price            = e.Price;
                rows[e.Position].Volume            = e.Volume;
            }

you have a readable, accurate array that can be accessed very easily.

The below code would print the bid and the ask. The two arrays that contain the book are called askRows and bidRows, and the best bid is indexed at bidRows[0], and the best ask is indexed at askRows[0]. The second level of bid/ask prices would be accessable at bidRows[1] and askRows[1], and so on.

if (e.Operation == Operation.Update && e.Position == 0)
            {
                Print("Ask Price=" + askRows[0].Price + " Volume=" + askRows[0].Volume);
                Print("Bid Price=" + bidRows[0].Price + " Volume=" + bidRows[0].Volume);
            }

[RJay]

http://forum.bigmiketrading.com/free_downloads/ninjatrader/indicators/page-3.html

Scroll down to jtstats level II indicator and download.

[trader1512]

ready for nt7?

has this indicator been converted to nt7.

[suprsnipes]

OnMarketDepth

Hi,

I would like to ask a question related to the post below, specifically the code after the line (e.Operation == Operation.Update && e.Position == 0). How would you go about exposing the bidRows[0].Price to access from another indicator?

If you're trying to get a visual display of the book onto your chart, you might want to take a look at Eds Level II on this page. I think it might be exactly what you're looking for.

Expanding on the last paragraph: The NinjaTrader SampleMarketDepth script is a well-developed sample that generates and then continuously updates a Level II book. I was referring to placing any L-II logic below all the insert/update/remove functions so you wouldn't have to worry about modifying the price ladders yourself. By the time OnMarketDepth gets to this,

else if (e.Operation == Operation.Update && e.Position < rows.Count)
            {
                rows[e.Position].MarketMaker    = e.MarketMaker;
                rows[e.Position].Price            = e.Price;
                rows[e.Position].Volume            = e.Volume;
            }

you have a readable, accurate array that can be accessed very easily.

The below code would print the bid and the ask. The two arrays that contain the book are called askRows and bidRows, and the best bid is indexed at bidRows[0], and the best ask is indexed at askRows[0]. The second level of bid/ask prices would be accessable at bidRows[1] and askRows[1], and so on.

if (e.Operation == Operation.Update && e.Position == 0)
            {
                Print("Ask Price=" + askRows[0].Price + " Volume=" + askRows[0].Volume);
                Print("Bid Price=" + bidRows[0].Price + " Volume=" + bidRows[0].Volume);
            }

Regards,
suprsnipes

[NinjaTrader_AdamP]

suprsnipes,

I am happy to assist you.

Here is a reference sample on exposing indicator values : http://www.ninjatrader.com/support/f...ead.php?t=4991

Please let me know if I may assist further.