Market Replay, chaotic data lvl 2

[Fernand0]

Hey!

1 - I've trying to make some tests with lvl2, sometimes I have problems with the Market Replay. I'll leave you an image so you can take a look and explain me why this is happening.

2 - With OnMarketData, when e.MarketDataType == MarketDataType.Ask, what is it supposed to mean the e.Volume? Because I can't find that same value anywhere, not in the DOM, not even doing some math. When MarketDataType.Last occurs, that's different, the volume is the number of "hitted contracts".

3 - There is any way to get the "Last Volume"("hitted contracts") outside the OnMarketData? Let's say in OnBarUpdate?

[NinjaTrader_ChelseaB]

Hello Fernand0,

The MNQ was trading the 09-19 contract month during April 9th 2019. The volume for the 12-19 contract month is very low as it does not begin active trading until September 12th.

e.Volume is the volume of the last market update. This would be the value you see for the volume in the Time & Sales window.

Below is a link to an indicator example that prints the information of the T & S window to the output window.
http://ninjatrader.com/support/forum...265#post503265


In OnBarUpdate(), you can add a 1 tick last, ask, or bid series and trigger for each tick using AddDataSeries().
https://ninjatrader.com/support/help...dataseries.htm

[Fernand0]

NinjaTrader_ChelseaB Thanks a lot!

1 - I found the same scenario for NQ and ES in other dates. And the values of the DOM looked pretty weird.
There is any sort of.. IDK, property/method, indicator or algorithm that allow us to identificate this state? Because is not always about the spread. With a small spread i've have seen the DOM act strange.

[NinjaTrader_ChelseaB]

Hello Fernand0,

Are you referring to the low volume and slow updates on the DOM?

[Fernand0]

I'm talking about gaps in the DOM, as you can see in the image that i uploaded
E.g.
...
7721.75 - in spread
7722.00 - in spread
7722.25 - 20 <-- Ask price
7722.50 - nothing
7722.75 - nothing
7723.00 - nothing
7723.25 - 200
7723.50 - nothing
7723.75 - nothing
so on..

[NinjaTrader_ChelseaB]

Hello Fernand0,

The gaps are likely because of low volume and very few trades as the 12-19 was not actively trading at that time.

[Fernand0]

But it is active now, as far as i know
There are 4 minutes between each image.

This is no ES and NQ, but ES and NQ are supposed to have an important volume, and i've have seen it on those instruments too.
I don't have experience with other servers, but it is odd.

Thanks for your time!

[NinjaTrader_ChelseaB]

Hello Fernand0,

Are you still connected to playback?

What day is playing back?

Is this still playing back september 4th when the MNQ 09-19 was actively trading?

[Fernand0]

No playback.

Those images are from today, 10 minutes before i posted. At 7:14 PM (UTC-03:00)
And i took one with a similar behaviour with NQ. But I can't find it, maybe I saved another screenshot with the same name

[NinjaTrader_ChelseaB]

Hello Fernand0,

So this is real-time data coming from a connected provider?

Who are you connected to?

This is shown with a green dot in the Connections menu of the Control Center.


Try clearing the cache to see if this makes any difference with the SuperDOM with real-time data.

• Close NinjaTrader
• Open (My) Documents\NinjaTrader 8\db\cache\
• Delete all files within this folder
• Restart NinjaTrader
• Connect

[Fernand0]

Connection: CQG Demo

I will try dealing with the cache.
Thank you.