Let me build a fake market environment first, because it is easier for us to communicate.
there is a moment
time: 10:10:10 am
ask price: $10
bid price: $9
there are three people, one is buyer, one is seller and me. at this exactly moment, i pay $11 to buy stock, position is 1 share then
the sequence of OnMarketData that I guess is
Event1: MarketDataEventArgs.MarketDataType is MarketDataType.Ask
MarketDataEventArgs.Ask is $10
MarketDataEventArgs.Bid is $9
MarketDataEventArgs.Volume is 1
MarketDataEventArgs.Price is $11
MarketDataEventArgs.Time is 10:10:10 am
Event 2: MarketDataEventArgs.MarketDataType is MarketDataType.Last
MarketDataEventArgs.Ask is $10
MarketDataEventArgs.Bid is $9
MarketDataEventArgs.Volume is 1
MarketDataEventArgs.Price is $11
MarketDataEventArgs.Time is 10:10:10 am
Q1: is the sequence and values correct?
Q2: what if the event MarketDataType.Bid? do not happen?
Q3: is there a document to explan every value of MarketDataEventArgs.MarketDataType?
Thanks
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