How can i get the number of placed orders (not the total volume) at each bid/ask levels from level two market data ?
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Partner 728x90
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NinjaTrader
Level II question...
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jerome,
Can you then clarify what you mean by the number of placed orders and not the volume?
When you say volume do you mean the real-time executed volume? Are you looking for the resting orders at additional price levels?
For example if you go to File--> New--> Level II, please give me an idea of what information displayed here you would like to extract.MatthewNinjaTrader Product Management
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"When you say volume do you mean the real-time executed volume?"
No, i mean the real-time size of each bid/ask rows available.
well, to clarify "placed orders", for example: ES current ask size is 100, 10 pending orders of 10 shares
Is the "orders" information available in real time ? I didn't find it in the level II window, so, i guess it's not...Last edited by jerome; 08-25-2011, 02:07 PM.
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