In trying to understand the OnMarketData event, I started writing to the output window using:
protected override void OnMarketData(MarketDataEventArgs e) { string event_string = e.ToString(); Print(DateTime.Now.ToString("HH:mm:ss.ffffff") + " OnMarketData event , Bar# " + CurrentBar + ", event time: " + e.Time + ", event type: " + e.MarketDataType + ", event string: " + event_string );
20:26:00.000000 OnBarUpdate event , Bar# 1318 20:26:00.000000 OnBarUpdate event , Bar# 1318 20:26:00.000000 OnBarUpdate event , Bar# 1318 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Last, event string: instrument='GC 12-17 Nymex' type=Last price=1278.6 volume=1 time='11/15/2017 8:21:41 PM' bid=1278.5 ask=1278.6 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Last, event string: instrument='GC 12-17 Nymex' type=Last price=1278.6 volume=1 time='11/15/2017 8:21:41 PM' bid=1278.5 ask=1278.6 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Last, event string: instrument='GC 12-17 Nymex' type=Last price=1278.6 volume=1 time='11/15/2017 8:21:41 PM' bid=1278.5 ask=1278.6 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Last, event string: instrument='GC 12-17 Nymex' type=Last price=1278.6 volume=1 time='11/15/2017 8:21:41 PM' bid=1278.5 ask=1278.6 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: DailyVolume, event string: instrument='GC 12-17 Nymex' type=DailyVolume price=0 volume=10536 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: DailyVolume, event string: instrument='GC 12-17 Nymex' type=DailyVolume price=0 volume=10536 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: DailyVolume, event string: instrument='GC 12-17 Nymex' type=DailyVolume price=0 volume=10536 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: DailyVolume, event string: instrument='GC 12-17 Nymex' type=DailyVolume price=0 volume=10536 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Ask, event string: instrument='GC 12-17 Nymex' type=Ask price=1278.7 volume=31 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Ask, event string: instrument='GC 12-17 Nymex' type=Ask price=1278.7 volume=31 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Ask, event string: instrument='GC 12-17 Nymex' type=Ask price=1278.7 volume=31 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.829010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Ask, event string: instrument='GC 12-17 Nymex' type=Ask price=1278.7 volume=31 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.830010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Bid, event string: instrument='GC 12-17 Nymex' type=Bid price=1278.5 volume=25 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.830010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Bid, event string: instrument='GC 12-17 Nymex' type=Bid price=1278.5 volume=25 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.830010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Bid, event string: instrument='GC 12-17 Nymex' type=Bid price=1278.5 volume=25 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False 20:21:33.830010 OnMarketData event , Bar# 1318, event time: 11/15/2017 8:21:41 PM, event type: Bid, event string: instrument='GC 12-17 Nymex' type=Bid price=1278.5 volume=25 time='11/15/2017 8:21:41 PM' bid=-1.79769313486232E+308 ask=-1.79769313486232E+308 isReset=False
Is this normal?
When trying to calculate tick volume at bid or ask, this appears to be wrecking my calculations by tripling trade transaction volume.
What do you suggest I do to start troubleshooting?
I have closed all other charts, so only 1 chart is open, script editor, control center, and output window.
I have had NT8 running continuously for 3 days, should I reboot for a fresh start?
Could these duplicates be caused by additional socket connections to the data provider being opened without the original socket connections being closed?
Does a typical marketdata stream contains such a firehose of data? wow
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