OnMarketDepth question

[login_dejavu]

Hello guys,

I have a question, which I could not find answer in documentation.
I want to understand what is performed on Add/Update/Remove

Here is simplified example, suppose we start from 0(or nothing) volume at position #1:

1,Add(5) - at position 1 volume after is (5)
1,Add(5) - at position 1 volume after is (10)
1,Add(5) - at position 1 volume after is (15)
1,Update(3) - at position 1 volume after is (3)??? or (18)??? or (13)??? or ???
1,Remove(0) - at position 1 volume after(0)??? or (15)??? or ???


*question if Update updates/edit last operation at #Position, or it is overrides whole #Position
*and if Remove deletes last operation at #Position, or it is overrides(delete) whole #Position (reset to volume 0)
*or there is some merging possible
*and also question about operations orders, as I understand it can be only this order: Add/Update/Remove for one position number? Or?

Thanks

[NinjaTrader_Jim]

Hello login_dejavu,

Thanks for your questions.

Add would be used to create a price row in a level 2 book and add the current volume. Update would be used to update the volume at an existing price level. Remove would then remove that price level from the level 2 book.

Position is used to index the position the price level resides in the level 2 book.

It can be possible to see an Update before an Add depending on when the script starts, but this operation could be treated as an Add.

I suggest using the SampleLevel2Book example to better visualize how OnMarketDepth can be used. I've included a link below.

https://ninjatrader.com/support/help...vel_ii_dat.htm

Please let us know if you have any additional questions.

[login_dejavu]

Ok, thanks for your response! But most of my questions was around what will happen with existing volume.

Will 'Add/Update' add on top of existing value? or set/reset it to value in the event?

[NinjaTrader_Jim]

Hello login_dejavu,

Add/Update will be used to set the volume to the current level, it would not be used for accumulation. You could test something like the following in the Update and Add blocks of the SampleLevel2Book example to visualize.

                        ClearOutputWindow();
                        Print((e.MarketDataType == MarketDataType.Ask ? "Ask " : "Bid ") + "Volume: " + e.Volume + " Position: " + e.Position);
                        Print("Ask Book");
                        for (int idx = 0; idx < askRows.Count; idx++)
                            Print("Ask Price=" + askRows[idx].Price + " Volume=" + askRows[idx].Volume + " Position=" + idx);

                        Print("Bid Book");
                        for (int idx = 0; idx < bidRows.Count; idx++)
                            Print("Bid Price=" + bidRows[idx].Price + " Volume=" + bidRows[idx].Volume + " Position=" + idx);

Let us know if there is anything else we can do to help.

[login_dejavu]

Thanks, you reply to my question!