I have a strange problem in NT in OnMarketData() funtion. e.Price seems to be corrupted under certain circumstances! the OHLC values for a
Today FDAX data stream logged in OnMarketData():
e.Price e.Volume e.Time DateTime.Now
OnMarketData 3713,5 0 06/03/2009 13.04.30 06/03/2009 13.04.30
OnMarketData 3683,5 1 06/03/2009 13.04.31 06/03/2009 13.04.31
OnMarketData 3683 3 06/03/2009 13.04.31 06/03/2009 13.04.31
OnMarketData 3731 0 06/03/2009 13.04.31 06/03/2009 13.04.31
OnMarketData 3637,5 0 06/03/2009 13.04.31 06/03/2009 13.04.31
OnMarketData 3704,5 0 06/03/2009 13.04.31 06/03/2009 13.04.31
OnMarketData 3713,5 0 06/03/2009 13.04.31 06/03/2009 13.04.31
OnMarketData 3683 1 06/03/2009 13.04.31 06/03/2009 13.04.31
OnMarketData 3683,5 2 06/03/2009 13.04.31 06/03/2009 13.04.31
OnMarketData 3682,5 5 06/03/2009 13.04.31 06/03/2009 13.04.31
OnMarketData 3683 6 06/03/2009 13.04.31 06/03/2009 13.04.31
Looking at the Chart Trader Window however I see FDAX bid ans ask around 3680.
How come I have spurious data 3637,5 3731 3704,5 and 3713,5 in OnMarketData()?
Note that 3731 is HighoDay and 3713,5 is OpenofDay and 3637,5 is LowOfDay
Why are these values sent in OnMarketData() at the obvious wrong time?
The value 3704,5 cannot be resolved so easily, but: At 9.59 the Close of the 1 Minute bar was 3704,5 and at exact 10.02 I have a connection lost log event. ( I deliberately disconnected the Network cable for checks)
So in my case I get the following Data series in OnMalrketData():
O
some correct data (2 or 3 or 4)
H
L
C
O
some correct data
H
L
C
Please check and give me advice on how to proceed!
Best regards
Andreas
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