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How to programatically access Level II depth-of-market data...

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    How to programatically access Level II depth-of-market data...

    Hello awesome NinjaTrader people!

    Is it possible to programmatically access Level II depth-of-market data?

    I would like to create an indicator and strategy that obtains the data in the 'Level II' window in NT8.

    Q1: Are there sample indicators / strategies that show how this is done?
    Q2: Is there a stock indicator that exists that 'flattens' the level II data into one value for buy strength and the other for sell strength?

    Thanks for the awesomeness!

    Jean-Pierre

    #2
    Hello JPPoulin, thank you for your post.

    See this example that implements a SuperDOM type price/volume ladder in a NinjaScript indicator. All of the info on that page is essential for emulating a SuperDOM.

    I do not know of an example that takes this any further, but what you would need to do is manipulate the askRows and bidRows List. If you wanted to compare the buy strength to the sell strength, subtract the ask volume from the bid volume at the respective rows of each list and that would be the delta.

    Kind regards.
    Chris L.NinjaTrader Customer Service

    Comment


      #3
      Awesome! Looks like what I need to study.

      I'll look into this and report what I find. Thanks!

      Comment

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