I want to write a strategy that uses top of book data (the book size at Bid/Ask) to make decisions, but I can't seem to find any documentation on this, please help.
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Strategy using top of book
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Hello orenshkol,
Yes, the example I provided demonstrates how an if statement could be used to run certain action if the last update was a bid or ask.
You would want to write your if statement under,
Code:protected override void OnMarketDepth(MarketDepthEventArgs e)
Alan P.NinjaTrader Customer Service
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