I try to get similar info as you can get from footprints. Realtime data indicator is enough for me now. I use OnMarketData event, where I process incoming data this way:
if (e.MarketDataType == MarketDataType.Ask)
{
askPrice = e.Price;
return;
}
else if (e.MarketDataType == MarketDataType.Bid)
{
bidPrice = e.Price;
return;
}
else if (e.MarketDataType != MarketDataType.Last || askPrice == 0 || bidPrice == 0)
return;
if (e.Price >= askPrice)
askVolume += e.Volume;
else if (e.Price <= bidPrice)
bidVolume += e.Volume; }
It's from another thread of this forum - you confirmed it like correct solution. But I get different information compare to commercial footprints (like FinAlg Market Balance). They have differnet ask/bid volume - sometimes inverse (not exact values, but I have bigger ask and they have bigger bid volume !! ) My question is, where is the problem ??
I have ZenFire like data provider. See attached pic.Last visible bar has different bid ask volumes on price levels !
Thank you for your help.
Alex
(www.jazzibaba.cz/A/DataProblem.jpg)
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