protected override void OnMarketData(MarketDataEventArgs e)
{
ZPFRegister.SaveEvent(e.Time, "Raw", Instrument.FullName, "L1 " + e.Time.ToString("yyyy-MM-dd HH:mm:ss")
+ " " + e.MarketDataType.ToString()
+ " " + e.Price.ToString()
+ " " + e.Volume.ToString());
}
And all is ok till a find this:
...
L1 2010-04-20 13:05:00 Last 2906 8
L1 2010-04-20 13:05:00 DailyVolume 0 564639
L1 2010-04-20 13:05:00 DailyVolume 0 565269
L1 2010-04-20 13:05:00 Last 2906 22
...
Where are 565269 - 564639 = 630 contracts?
Best regards,
Paco Ferre
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