I am experimenting with OnMarketData using the following code;
protected override void OnMarketData(MarketDataEventArgs e) { if (e.MarketDataType == MarketDataType.Ask) askPrice = e.Price; [COLOR=Red][B] askVol = e.Volume;[/B][/COLOR] else if (e.MarketDataType == MarketDataType.Bid) bidPrice = e.Price; else if (e.MarketDataType == MarketDataType.Last) { if (e.Price == askPrice) Print("Last price traded at ask"); else if (e.Price == bidPrice) Print("Last price traded at bid"); else Print("Last price occurred at neither bid/ask"); } }
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