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Market Depth Data vs DOM Data

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    Market Depth Data vs DOM Data

    Quick question on where the data for the Market Depth visualization comes from seeing as DOM data is only 10 levels deep... I subscribe to L2 via Continuum

    Thanks in advance for the clarification!

    #2
    Hello TheFil,

    Thank you for your reply.

    It would actually work off 20 levels of depth, you get 10 on the ask side and 10 on the bid side. Both the DOM and the Order Flow Market Depth indicator would get that data from OnMarketDepth:

    https://ninjatrader.com/support/help...p.htm#Overview

    Please let us know if we may be of further assistance to you.

    Kate W.NinjaTrader Customer Service

    Comment


      #3
      Thanks NinjaTrader_Kate,

      I was referring to the Depth Chart, actually... so in the visual below, for example, there is data for +/- 20 index points (80 levels of depth); my question is where does that data come from and how is the data "controlled" in the sense that in the DOM there are10 levels per side visible but obviously for the Depth Chart you need data beyond those levels of depth to construct the Depth Chart...

      Thanks so much.


      Click image for larger version  Name:	esDepthChart.png Views:	0 Size:	233.7 KB ID:	1207199

      Comment


        #4
        Hello TheFil,

        Thank you for your clarification.

        I did some digging, and it appears that for certain instruments, if you're using a CQG based connection, more than 10 levels are available. In my testing with NinjaTrader Continuum, which is CQG based, CL and ES specifically have more levels than say, NQ. What you're seeing is all of those price levels coming through.

        Please let us know if we may be of further assistance to you.
        Kate W.NinjaTrader Customer Service

        Comment

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