I've received a message back from our development that CurrentBar is fine to use outside of OnBarUpdate and does not have the same stipulations as IsFirstTickOfBar.
soulfx,
Your question appears to be: Should a variable you have created and that you set yourself need to be locked to use in OnMarketDepth, is this correct?
No, if your variable is not a collection that is being changed in another method, then you will not need to lock the variable to prevent changes.
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