I want to get market depth feed for several instruments.
I use the following:
protected override void Initialize()
{
Add("ES 03-14", PeriodType.Second, 30);
Add("CL 03-14", PeriodType.Second, 30);
}
and then override the method:
protected override void OnMarketData(MarketDataEventArgs e)
{}
My question is how and at which stage can I get the minimal price increment (tick), and price multiplier for each instrument? For example, ES, and CL have tick/multiplier 0.25 50, and 0.01 1000 correspondingly.
In addition, is it possible to know how many levels of depth are transmitted?
Thank you!
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