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NinjaTrader
Level 1 & 2 Data
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Hello GKonheiser,
Thanks for opening the thread.
OnMarketDepth() is guaranteed to provide level 2 data in the correct sequence for every change of level 2 data.
OnMarketData() is guaranteed to be in the correct sequence for every change in level 1 data.
For all changes in level 1 data, I would suggest to use OnMarketData(). Further reading can be found below:
OnMarketData() - https://ninjatrader.com/support/help...marketdata.htm
OnMarketDepth() - https://ninjatrader.com/support/help...arketdepth.htm
Please let me know if I may be of further assistance.JimNinjaTrader Customer Service
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Hi Jim,
Thanks for the reply, if level 2 data include the most the bid and offer at position 0 , ie the current best bid and offer why would this not be identical to level 1 data ?
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Hello GKonheiser,
Thanks for the additional question.
The bigger difference between the two methods lies in the MarketDataEventArgs and MarketDepthEventArgs. OnMarketData() which is used for outputting level 1 data has the following MarketDataType's:
MarketDataType.Ask
MarketDataType.Bid
MarketDataType.DailyHigh
MarketDataType.DailyLow
MarketDataType.DailyVolume
MarketDataType.Last
MarketDataType.LastClose (prior session close)
MarketDataType.Opening
MarketDataType.OpenInterest (supported by IQFeed, Kinetick)
MarketDataType.Settlement
MarketDataType.Ask
MarketDataType.Bid
If you have any additional questions, please don't hesitate to ask.JimNinjaTrader Customer Service
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