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Is OnMarketDepth() an unfiltered Level 2 real time stream + time

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    Is OnMarketDepth() an unfiltered Level 2 real time stream + time

    Hello,

    Is the override invoked for each and every price/volume change in the ladder as in the underlying feed?
    Is the time field locally generated or is it the timestamp provided by the exchange?

    Thanks,
    Adi

    #2
    Hello Adi,

    Yes, OnMarketDepth() is triggered for every level 2 update.


    The time is converted from the timestamp provided by the provider to your local time using the PC clock (the same as historical data).
    Chelsea B.NinjaTrader Customer Service

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