Calculation for OnMarketDepth Method

[Ceraphen]

Let's assume that two different people both cancel one contract of a certain instrument at the same price. Is the OnMarketDepth method called twice (once for each user) or is it only called one time? I am essentially asking if OnMarketDepth is called every time a person adds/removes an order or if it groups together orders that happen at the same time and price and performs a calculation on this group of orders.

[NinjaTrader_BrandonH]

Hello Ceraphen,

Thanks for your post.

This would ultimately depend on your data provider.

Data providers will either give level 2 updates as snapshots (aggregated data) or as individual updates.

Please reach out to your data feed provider directly for clarification on if they aggregate level 2 data or not.

Let me know if I may assist further.