OnMarketData & OnMarketDepth should be the same method

[ttodua]

thanks to you for informative posts, helped quite. Also, balltrader you nailed it, excellent post, re-read it two times. I quite agree onto said. And about NT, at this moment I don't know other platform alike NT (though i am not "platforms" expert). // Only thing I regret is the ignorance of requests.

[balltrader]

the order sequence of data might be a data provider issue.
perhaps other data providers would be able to deliver your data in sequential time order?
Perhaps your data provider is delivering transaction data with higher priority over dom order book data? Or the opposite?

OMDepth can change many times before a OMData event is recvd, that is why they need to remain as separate events.

if you see an order on the dom with volume of 100, when the next OMDepth event is recvd, is there a remove or update operation at position 0 which reduces the volume from 100, and is there an OMData event which records a transaction of volume of 100?

Then your code might be able to guess that the order was a spoof and pulled at the last minute before a transaction hit that price level.

If you stored both data streams in a memory list<double, long>,
when a OMDepth event showed a decrease in order book volume at position 0,
you could do a quick loop thru the items in the list of OMData within the time range during the last minute,
to estimate if the order book volume was reduced by a market order being filled, or a limit order in the DOM being cancelled?
Then the time sequence would not matter, because your code would be able to estimate why the order of 100 contracts was no longer in the dom.

In the end, realize unless you are co-hosting at the market exchange data center, there will be transmission delays in the data you are receiving, so by the time your code calculates what happened you might have missed your chance.

If you are aware of other platforms which provide this level of granularity and enable to you have access to a c# programming framework like ninjatrader does, and at the affordable cost of NT, why would you choose to stay with the inferiority of NT? Is it bcuz ther are no other platforms that offer what NT does at the cost level NT charges?

[Fernand0]

Dear Josh,

So, about this question:

"

There are 100 contracts(ES) that disappear, ok, what happened? 100 contracts were hitted or a big player removed 100 contracts?"

i'm able to check this for the first level of book ? or are there problems also in this case ?

thank you, best regards.
AndreaBhs

You don't have the property MarketDepthEventArgs.Operation in Level 1.. so you can't. You can only know HOW MUCH the volume of Level 1 changed, but not WHY.

[AndreaBhs]

Dear Josh,

So, about this question:

"

There are 100 contracts(ES) that disappear, ok, what happened? 100 contracts were hitted or a big player removed 100 contracts?"

i'm able to check this for the first level of book ? or are there problems also in this case ?

thank you, best regards.
AndreaBhs

[NinjaTrader_JoshG]

AndreaBhs,

Are Data.MarketDataType.Bid and Data.MarketDataType.Ask perfectly in sync with the trades event that occurs only for this level?

That is correct.

[AndreaBhs]

Dear Josh,

I want to clarify a question about OnMarketData method.

I know that (

e.MarketDataType == Data.MarketDataType.Last) will trigger when last trade occurs.
While, before last trade occurs,

(e.MarketDataType ==

Data.MarketDataType.Bid) and (

e.MarketDataType ==

Data.MarketDataType.Ask) can change many times.

With the OnMarketData method we can have accesso only to level 1 of the book.
Are

Data.MarketDataType.Bid and Data.MarketDataType.Ask

perfectly in sync with the trades event that occurs only for this level?
is it correct what I understood ?

thank you, best regards

AndreaBhs

[NinjaTrader_JoshG]

AndreaBhs,

These are two separate threads and are not guaranteed to be updated synchronously. There is not a lot of demand for this item but we are tracking all feedback for a potential change in the future.

Let me know if there is anything else I can do to assist.

[AndreaBhs]

AndreaBhs

No, sorry, OnMarketData keeps RECEIVING the data on time(sometimes), BUT there are a lot of cases where it's DELIVERED late.
That discrepancy between the time of the event when it occurs and the time when you get the data shows that the sequence of events is not trustworthy.

You can try with Simulated Data Feed, you won't find this problem, but as the name says, it's a simulation.

The worst problem of this is for example when you want to use a RNN(Recurrent Neural Network), the data has to be in the right sequence, otherwise the system won't understand what's going on...


Indeed, this is an issue that they should tackle as a PRIORITY.. but, it doesn't seem like they did, or will.


My possibilities can't modify the configuration of this 2 methods(OnMarketData and OnMarketDepth). So I can't do anything at all.
Just wait or find another platform, because we are in 2019 and Level 2 is no joke, it has been used for a while now, and NinjaTrader is failing at providing this paramount feature.

Dear Fernand, thank you very much for your reply.
I like Ninjatrader and Ninjascript, but this is not a little limitation.

Hi Josh, I programmed in Ninjasript for a few months and it is one of the first things I noticed, no one else has requested this updates of OnMarketData method?

thank you, regards

[Fernand0]

Hello AndreaBhs,
Welcome to the NinjaTrader forum.

This is a threading limitation, and there are not any updates on this item at this time. I will go ahead and have a vote added to Fernand0's feature request on your behalf. We're taking all of the feedback provided regarding this change into consideration, however, there is no timeline on when or if this will be changed.

Sorry Josh, but it's not good enough. This is not about "feedbacks" or "votes". This is a SERIOUS problem that other platforms don't have because they are aware of its importance.
And while this has to be fixed, I see how NT Devs are more interested in releasing indicators to be bought........

[NinjaTrader_JoshG]

Hello AndreaBhs,
Welcome to the NinjaTrader forum.

This is a threading limitation, and there are not any updates on this item at this time. I will go ahead and have a vote added to Fernand0's feature request on your behalf. We're taking all of the feedback provided regarding this change into consideration, however, there is no timeline on when or if this will be changed.

[Fernand0]

Dear Support and Fernand0,
are there some updates about this request?
I found the same problem, OnMarketData and OnMarketDepth are not in sync.

AndreaBhs

No, sorry, OnMarketData keeps RECEIVING the data on time(sometimes), BUT there are a lot of cases where it's DELIVERED late.
That discrepancy between the time of the event when it occurs and the time when you get the data shows that the sequence of events is not trustworthy.

You can try with Simulated Data Feed, you won't find this problem, but as the name says, it's a simulation.

The worst problem of this is for example when you want to use a RNN(Recurrent Neural Network), the data has to be in the right sequence, otherwise the system won't understand what's going on...

it is a very important thing to know, otherwise is useless to have access to level 2.

Indeed, this is an issue that they should tackle as a PRIORITY.. but, it doesn't seem like they did, or will.

How can I resolve this ?

My possibilities can't modify the configuration of this 2 methods(OnMarketData and OnMarketDepth). So I can't do anything at all.
Just wait or find another platform, because we are in 2019 and Level 2 is no joke, it has been used for a while now, and NinjaTrader is failing at providing this paramount feature.

[AndreaBhs]

Dear Support and Fernand0,
are there some updates about this request?
I found the same problem, OnMarketData and OnMarketDepth are not in sync.

this matter that Fernand0 said:
"

There are 100 contracts(ES) that disappear, ok, what happened? 100 contracts were hitted or a big player removed 100 contracts?"

it is a very important thing to know, otherwise is useless to have access to level 2.
How can I resolve this ?
thank you, best regards

Andrea

[Fernand0]

Cool, hope it gets released fast, is really importan if you want to process DOM data
Thanks again.

Regards.
Fernando.-

[NinjaTrader_JoshG]

Thanks for your patience.

The internal tracking number for your feature request is SFT-3592. Please reference this internal tracking number if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find it in the release notes:

http://ninjatrader.com/support/helpGuides/nt8/en-us/?release_notes.htm

[Fernand0]

thanks Josh