The documentation for OnMarketData states that it is "guaranteed to be in the correct sequence for every change in level one market data for the underlying instrument", so I would expect the ask/bid stream to perfectly sync with last update events. Is there possibly a problem with the data feed from Kinetick? Can you refer this to them?
Also, I have used OnMarketDepth extensively before and the problem there is that OnMarketDepth doesn't provide last update events and you cannot rely on e.g. OnMarketDepth always being called before OnMarketData, as NinjaTrader is multi-threaded (also from the docs). In any case, I'm only interested in level one data, for continuous last, bid and ask events and volumes. It's looking very like this data is not reliable, which is disappointing.
Thanks again for investigating this issue.
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